signals.py

import pandas as pd
import numpy as np
from pypm.indicators import calculate_macd_oscillator, \
    calculate_bollinger_bands
from pypm.data_io import load_eod_data


def create_macd_signal(series: pd.Series, n1: int=5, n2: int=34) -> pd.Series:
    """
    Create a momentum-based signal based on the MACD crossover principle. 
    Generate a buy signal when the MACD crosses above zero, and a sell signal when
    it crosses below zero.
    """

    # Calculate the macd and get the signs of the values.
    macd = calculate_macd_oscillator(series, n1, n2)
    macd_sign = np.sign(macd)

    # Create a copy shifted by some amount.
    macd_shifted_sign = macd_sign.shift(1, axis=0)

    # Multiply the sign by the boolean. This will have the effect of casting
    # the boolean to an integer (either 0 or 1) and then multiply by the sign
    # (either -1, 0 or 1).
    return macd_sign * (macd_sign != macd_shifted_sign)


def create_bollinger_band_signal(series: pd.Series, n: int=20) -> pd.Series:
    """
    Create a reversal-based signal based on the upper and lower bands of the 
    Bollinger bands. Generate a buy signal when the price is below the lower 
    band, and a sell signal when the price is above the upper band.
    """
    bollinger_bands = calculate_bollinger_bands(series, n)
    sell = series > bollinger_bands['upper']
    buy = series < bollinger_bands['lower']
    return (1*buy - 1*sell)