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@quantra-go-algo
Created December 14, 2023 11:54
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# Function to implement Parabolic SAR trading strategy
def parabolic_sar_strategy(data):
# Calculate Parabolic SAR
data['SAR'] = talib.SAR(data['High'], data['Low'], acceleration=0.02, maximum=0.2)
# Generate trading signals
data['Signal'] = 0 # 0 means no signal
data['Signal'][data['Close'] > data['SAR']] = 1 # Buy signal
data['Signal'][data['Close'] < data['SAR']] = -1 # Sell signal
# Generate positions based on signals
data['Position'] = data['Signal'].diff()
return data
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