Initial commit of ConnorsRSI strategy

strategies/connors_rsi.py

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+from numpy import where
+from pandas import DataFrame, Series
+
+from indicators import sma, connors_rsi as crsi
+
+def connors_rsi(data: DataFrame) -> Series:
+    """
+    Calculate signals for the ConnorsRSI strategy.
+
+    Returns a Series with 'L' for long signals and 'N' otherwise.
+    """
+    ma_200 = sma(data, period = 200)
+    connors_rsi_values = crsi(data)
+
+    above_ma_200 = data['Close'] > ma_200
+    connors_rsi_below_15 = connors_rsi_values < 15
+
+    conditions = above_ma_200 & connors_rsi_below_15
+    return Series(where(conditions, 'L', 'N'), index = data.index)