23 lines
847 B
Python
23 lines
847 B
Python
from pandas import DataFrame, Series
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from daily_data import get_daily_data
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def signals(data: DataFrame) -> Series:
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"""
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Generate signals based on the HILO Index Lows strategy.
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Returns a Series with 'L' for long signals and 'N' for no signal.
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"""
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above_200_ma = data['Close'] > data['Close'].rolling(window = 200).mean()
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start_date = data['Date'].min()
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end_date = data['Date'].max()
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new_highs = get_daily_data(symbol = 'FINH.Z', start_date = start_date, end_date = end_date)
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new_lows = get_daily_data(symbol = 'FINL.Z', start_date = start_date, end_date = end_date)
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hilo_index = new_highs['Close'] - new_lows['Close']
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hilo_5_day_low = hilo_index == hilo_index.rolling(window = 5).min()
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signals = Series('N', index = data.index)
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signals[above_200_ma & hilo_5_day_low] = 'L'
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return signals |