Add script for generating IBS + RSI strategy signals

strategies/ibs_rsi.py

@@ -0,0 +1,35 @@
+import numpy as np
+import pandas as pd
+
+def calculate_rsi(data: pd.DataFrame, period: int = 21) -> pd.Series:
+    """
+    Calculate the RSI for a given period and return it as a Series.
+    """
+    delta = data['Close'].diff()    
+    gain = np.where(delta > 0, delta, 0)
+    loss = np.where(delta < 0, -delta, 0)
+
+    alpha = 1 / period
+    avg_gain = pd.Series(gain).ewm(alpha = alpha, adjust = False).mean()
+    avg_loss = pd.Series(loss).ewm(alpha = alpha, adjust = False).mean()
+
+    rs = avg_gain / avg_loss
+    return 100 - (100 / (1 + rs))
+
+def calculate_ibs(data: pd.DataFrame) -> pd.Series:
+    """
+    Calculate the IBS and return it as a Series.
+    """
+    return (data['Close'] - data['Low']) / (data['High'] - data['Low'])
+
+def signals(data: pd.DataFrame) -> pd.Series:
+    """
+    Generate swing trading signals based on the IBS + RSI strategy.
+
+    Returns a Series with 'L' for long signals and 'N' otherwise.
+    """
+    ibs = calculate_ibs(data)
+    rsi_21 = calculate_rsi(data, period = 21)
+
+    conditions = (ibs < 0.25) & (rsi_21 < 45)
+    return pd.Series(np.where(conditions, 'L', 'N'), index = data.index)