Add script for generating High Volume Days strategy signals

strategies/high_volume_days.py

@@ -0,0 +1,17 @@
+from pandas import DataFrame, Series
+
+def signals(data: DataFrame) -> Series:
+    """
+    Generate swing trading signals based on the High Volume Days strategy.
+
+    Returns a Series with 'L' for long signals and 'N' otherwise.
+    """
+    data['200_MA'] = data['Close'].rolling(window = 200).mean()
+    above_200_ma = data['Close'] > data['200_MA']
+
+    highest_volume = data['Total Volume'] == data['Total Volume'].rolling(window = 5).max()
+    close_lower_than_open = data['Close'] < data['Open']
+
+    signal_condition = above_200_ma & highest_volume & close_lower_than_open
+    signals = signal_condition.apply(lambda condition: 'L' if condition else 'N')
+    return signals