Add script for generating signals based on VIX Above Moving Average strategy

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moshferatu 2024-11-21 12:28:22 -08:00
parent b25a4b3c96
commit d5a0e70c8b

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from pandas import DataFrame, Series
from daily_data import get_daily_data
def signals(data: DataFrame) -> Series:
"""
Generate long signals based on the VIX Above Moving Average strategy.
Returns a Series with 'L' for long signals and 'N' for no signal.
"""
ma_200 = data['Close'].rolling(window = 200).mean()
above_200_ma = data['Close'] > ma_200
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_10 = vix_data['Close'].rolling(window = 10).mean()
vix_close_10_percent_above_ma = vix_data['Close'] >= (1.1 * vix_ma_10)
signals = Series('N', index = data.index)
signals[above_200_ma & vix_close_10_percent_above_ma] = 'L'
return signals