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

strategies/vix_above_moving_average.py

@@ -0,0 +1,23 @@
+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