Initial commit of Triple RSI Drop strategy

strategies/triple_rsi_drop.py

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+from numpy import where
+from pandas import DataFrame, Series
+
+from indicators import sma, rsi
+
+def triple_rsi_drop(data: DataFrame) -> Series:
+    """
+    Generate swing trading signals based on the Triple RSI Drop strategy.
+
+    Returns a Series with 'L' for long signals and 'N' otherwise.
+    """
+    ma_200 = sma(data, period = 200)
+    rsi_5 = rsi(data, period = 5)
+
+    above_ma_200 = data['Close'] > ma_200
+    rsi_below_60_three_days_ago = rsi_5.shift(2) < 60
+    rsi_decline_for_three_days = (rsi_5 < rsi_5.shift(1)) & (rsi_5.shift(1) < rsi_5.shift(2))
+    rsi_below_30 = rsi_5 < 30
+
+    conditions = above_ma_200 & rsi_below_60_three_days_ago & rsi_decline_for_three_days & rsi_below_30
+    return Series(where(conditions, 'L', 'N'), index = data.index)