diff --git a/strategies/vix_reversal_1.py b/strategies/vix_reversal_1.py new file mode 100644 index 0000000..3cc6467 --- /dev/null +++ b/strategies/vix_reversal_1.py @@ -0,0 +1,23 @@ +from pandas import DataFrame, Series + +from ohlc import ohlc + +def signals(data: DataFrame) -> Series: + """ + Generate long signals based on the VIX 15-day high 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 = ohlc(symbol='VIX.XO', start_date=start_date, end_date=end_date) + + vix_15_day_high = vix_data['High'] == vix_data['High'].rolling(window = 15).max() + + vix_close_below_open = vix_data['Close'] < vix_data['Open'] + + signals = Series('N', index = data.index) + signals[above_200_ma & vix_15_day_high & vix_close_below_open] = 'L' + return signals \ No newline at end of file