Add script for generating swing trading signals based on advances

strategies/advances.py

@@ -0,0 +1,22 @@
+from pandas import DataFrame, Series
+from daily_data import get_daily_data
+
+def signals(data: DataFrame) -> Series:
+    """
+    Generate long signals based on the Advance / Decline Ratio strategy.
+
+    Returns a Series with 'L' for long signals and 'N' for no signal.
+    """
+    above_200_ma = data['Close'] > data['Close'].rolling(window = 200).mean()
+
+    start_date = data['Date'].min()
+    end_date = data['Date'].max()
+    advances = get_daily_data(symbol = 'IINA.Z', start_date = start_date, end_date = end_date)
+    declines = get_daily_data(symbol = 'IIND.Z', start_date = start_date, end_date = end_date)
+
+    ratio = advances['Close'] / declines['Close']
+    ratio_greater_than_2 = ratio >= 2
+
+    signals = Series('N', index = data.index)
+    signals[above_200_ma & ratio_greater_than_2] = 'L'
+    return signals