Add script for generating Connors VIX Reversal 1 swing trading signals

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