42 lines
1.1 KiB
Python
42 lines
1.1 KiB
Python
import pandas as pd
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import numpy as np
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from datetime import datetime, timedelta
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from ohlc import ohlc
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symbol = 'SPY'
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today = datetime.today()
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data = ohlc(symbol = symbol, start_date = today - timedelta(days = 365), end_date = today)
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def calculate_moving_average(data, window = 200):
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data['200_MA'] = data['Close'].rolling(window = window).mean()
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return data
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def calculate_rsi(data, period = 2):
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delta = data['Close'].diff()
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gain = np.where(delta > 0, delta, 0)
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loss = np.where(delta < 0, -delta, 0)
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alpha = 1 / period
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avg_gain = pd.Series(gain).ewm(alpha = alpha, adjust = False).mean()
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avg_loss = pd.Series(loss).ewm(alpha = alpha, adjust = False).mean()
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rs = avg_gain / avg_loss
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rsi = 100 - (100 / (1 + rs))
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data['RSI_2'] = rsi
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return data
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def generate_signals(data):
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conditions = (data['Close'] > data['200_MA']) & (data['RSI_2'] < 5)
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data['Signal'] = np.where(conditions, 'Long', 'None')
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return data
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data['Date'] = pd.to_datetime(data['Date'])
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data = calculate_moving_average(data)
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data = calculate_rsi(data)
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data = generate_signals(data)
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print(data)
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