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Add script for generating end of month swing trading signals

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moshferatu 2024-10-28 10:51:21 -07:00
parent 63e911323c
commit c2b2d00beb
1 changed files with 8 additions and 0 deletions
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strategies/end_of_month.py Normal file
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from pandas import DataFrame, Series
def signals(data: DataFrame) -> Series:
"""
Calculate the End of Month (EOM) signal.
Returns a Series with 'L' for long signals if the date is close to the end of the month and 'N' otherwise.
"""
return data['Date'].apply(lambda x: 'L' if x.day in [24, 25, 26] else 'N')