Initial commit of R3 strategy

strategies/r3.py

@@ -0,0 +1,23 @@
+import numpy as np
+
+from pandas import DataFrame, Series
+
+from indicators import sma, rsi
+
+def r3(data: DataFrame) -> Series:
+    """
+    Calculate signals for the R3 strategy.
+
+    Returns a Series with 'L' for long signals and 'N' otherwise.
+    """
+    ma_200 = sma(data, period = 200)
+    above_ma_200 = data['Close'] > ma_200
+
+    rsi_2 = rsi(data, period = 2)
+    first_day_condition = rsi_2.shift(2) < 60
+    second_day_condition = rsi_2.shift(1) < rsi_2.shift(2)
+    third_day_condition = rsi_2 < rsi_2.shift(1)
+    three_day_drop = first_day_condition & second_day_condition & third_day_condition
+
+    conditions = above_ma_200 & three_day_drop & (rsi_2 < 10)
+    return Series(np.where(conditions, 'L', 'N'), index = data.index)