Add script for generating swing trading signals based on Connors VIX Reversal 3 strategy

strategies/vix_reversal_3.py

@@ -0,0 +1,21 @@
+from pandas import DataFrame, Series
+
+from daily_data import get_daily_data
+
+def signals(data: DataFrame) -> Series:
+    """
+    Generate long signals based on the Connors VIX Reversal 3 strategy.
+    Returns a Series with 'L' for long signals and 'N' for no signal.
+    """
+    start_date = data['Date'].min()
+    end_date = data['Date'].max()
+    vix_data = get_daily_data(symbol = 'VIX.XO', start_date = start_date, end_date = end_date)
+
+    vix_ma_50 = vix_data['Close'].rolling(window = 50).mean()
+
+    vix_low_above_50_ma = vix_data['Low'] > vix_ma_50
+    vix_close_10_percent_above_ma = vix_data['Close'] >= (1.1 * vix_ma_50)
+
+    signals = Series('N', index = data.index)
+    signals[vix_low_above_50_ma & vix_close_10_percent_above_ma] = 'L'
+    return signals