Investigating A VIX Trading Signal, Part 2: Finding A Signal

# Define the spike multiplier for detecting significant spikes
spike_level = 1.25

# =========================
# Simple Moving Averages (SMA)
# =========================

# Calculate 10-period SMA of 'High'
vix['High_SMA_10'] = vix['High'].rolling(window=10).mean()

# Shift the 10-period SMA by 1 to compare with current 'High'
vix['High_SMA_10_Shift'] = vix['High_SMA_10'].shift(1)

# Calculate the spike level based on shifted SMA and spike multiplier
vix['Spike_Level_SMA'] = vix['High_SMA_10_Shift'] * spike_level

# Calculate 20-period SMA of 'High'
vix['High_SMA_20'] = vix['High'].rolling(window=20).mean()

# Determine if 'High' exceeds the spike level (indicates a spike)
vix['Spike_SMA'] = vix['High'] >= vix['Spike_Level_SMA']

# Calculate 50-period SMA of 'High' for trend analysis
vix['High_SMA_50'] = vix['High'].rolling(window=50).mean()

# =========================
# Exponential Moving Averages (EMA)
# =========================

# Calculate 10-period EMA of 'High'
vix['High_EMA_10'] = vix['High'].ewm(span=10, adjust=False).mean()

# Shift the 10-period EMA by 1 to compare with current 'High'
vix['High_EMA_10_Shift'] = vix['High_EMA_10'].shift(1)

# Calculate the spike level based on shifted EMA and spike multiplier
vix['Spike_Level_EMA'] = vix['High_EMA_10_Shift'] * spike_level

# Calculate 20-period EMA of 'High'
vix['High_EMA_20'] = vix['High'].ewm(span=20, adjust=False).mean()

# Determine if 'High' exceeds the spike level (indicates a spike)
vix['Spike_EMA'] = vix['High'] >= vix['Spike_Level_EMA']

# Calculate 50-period EMA of 'High' for trend analysis
vix['High_EMA_50'] = vix['High'].ewm(span=50, adjust=False).mean()

# Ensure the index is a DatetimeIndex
vix.index = pd.to_datetime(vix.index)

# Create a new column for the year extracted from the date index
vix['Year'] = vix.index.year

# Group by year and the "Spike_SMA" and "Spike_EMA" columns, then count occurrences
spike_count_SMA = vix.groupby(['Year', 'Spike_SMA']).size().unstack(fill_value=0)

display(spike_count_SMA)