Add script for generating signals based on RSI PowerZones strategy

strategies/rsi_power_zones.py

@@ -0,0 +1,38 @@
+import numpy as np
+
+from pandas import DataFrame, Series
+
+def calculate_moving_average(data: DataFrame, window: int = 200) -> Series:
+    """
+    Calculate the moving average and return it as a Series.
+    """
+    return data['Close'].rolling(window=window).mean()
+
+def calculate_rsi(data: DataFrame, period: int = 4) -> Series:
+    """
+    Calculate the RSI and return it as a Series.
+    """
+    delta = data['Close'].diff()
+    gain = np.where(delta > 0, delta, 0)
+    loss = np.where(delta < 0, -delta, 0)
+
+    alpha = 1 / period
+    avg_gain = Series(gain).ewm(alpha=alpha, adjust=False).mean()
+    avg_loss = Series(loss).ewm(alpha=alpha, adjust=False).mean()
+
+    rs = avg_gain / avg_loss
+    return 100 - (100 / (1 + rs))
+
+def signals(data: DataFrame) -> Series:
+    """
+    Calculate signals for the RSI PowerZones strategy.
+    Returns a Series with 'L' for long signals and 'N' otherwise.
+    """
+    ma_200 = calculate_moving_average(data, window = 200)
+    rsi_4 = calculate_rsi(data, period = 4)
+
+    above_ma_200 = data['Close'] > ma_200
+    rsi_below_30 = rsi_4 < 30
+
+    conditions = above_ma_200 & rsi_below_30
+    return Series(np.where(conditions, 'L', 'N'), index = data.index)