swing-trading-dashboard/strategies/ibs_rsi.py

35 lines
1.1 KiB
Python

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)