Cinar/issue69 (#71)

* Implement the Larry Connors the 2-period RSI strategy
Fixes #69

* Implement the Larry Connors the 2-period RSI strategy.
Fixes #69

README.md

@@ -105,6 +105,7 @@ The following list of strategies are currently supported by this package:
 
 - [Awesome Oscillator Strategy](src/strategy/momentum/index.md#awesome-oscillator-strategy)
 - [Ichimoku Cloud Strategy](src/strategy/momentum/index.md#ichimoku-cloud-strategy)
+- [RSI 2 Stategy](src/strategy/momentum/index.md#rsi-2-strategy)
 - [Stochastic Oscillator Strategy](src/strategy/momentum/index.md#stochastic-oscillator-strategy)
 - [Williams R Strategy](src/strategy/momentum/index.md#williams-r-strategy)
 

src/index.ts

@@ -69,6 +69,7 @@ export * from './strategy/asset';
 export * from './strategy/buyAndHoldStrategy';
 export * from './strategy/momentum/awesomeOscillatorStrategy';
 export * from './strategy/momentum/ichimokuCloudStrategy';
+export * from './strategy/momentum/rsi2Strategy';
 export * from './strategy/momentum/stochasticOscillatorStrategy';
 export * from './strategy/momentum/williamsRStrategy';
 export * from './strategy/strategyFunction';

src/strategy/momentum/index.md

@@ -4,6 +4,7 @@ Momentum strategies generate signals based on a momentum indicator.
 
 - [Awesome Oscillator Strategy](#awesome-oscillator-strategy)
 - [Ichimoku Cloud Strategy](#ichimoku-cloud-strategy)
+- [RSI 2 Strategy](#rsi-2-strategy)
 - [Stochastic Oscillator Strategy](#stochastic-oscillator-strategy)
 - [Williams R Strategy](#williams-r-strategy)
 
@@ -27,6 +28,16 @@ import {ichimokuCloudStrategy} from 'indicatorts';
 const actions = ichimokuCloudStrategy(asset);
 ```
 
+#### RSI 2 Strategy
+
+The [rsi2Strategy](./rsi2Strategy.ts) uses the _rsi_ values that are generated by the [RSI 2](../../indicator/momentum/index.md#rsi-2) indicator function to provide a _BUY_ action when 2-period RSI moves below 10, and a _SELL_ action when the 2-period RSI moved above 90, and a _HOLD_ action otherwise.
+
+```TypeScript
+import {rsi2Strategy} from 'indicatorts';
+
+const actions = rsi2Strategy(asset);
+```
+
 #### Stochastic Oscillator Strategy
 
 The [stochasticOscillatorStrategy](./ichimokuCloudStrategy.ts) uses the _ao_ values that are generated by the [Stochastic Oscillator](../../indicator/momentum/index.md#stochastic-oscillator) indicator function to provide a _BUY_ action when _k_ and _d_ are less than 20, a _SELL_ action when the _k_ and _d_ are greather than 80, a _HOLD_ action otherwise.

src/strategy/momentum/rsi2Strategy.ts

@@ -0,0 +1,30 @@
+// Copyright (c) 2022 Onur Cinar. All Rights Reserved.
+// https://github.com/cinar/indicatorts
+
+import { Asset } from '../asset';
+import { Action } from '../action';
+import { rsi2 } from '../../indicator/momentum/rsi2';
+
+/**
+ * RSI 2. When 2-period RSI moves below 10, it is considered deeply oversold,
+ * and the other way around when moves above 90.
+ *
+ * @param asset asset object.
+ * @returns strategy actions.
+ */
+export function rsi2Strategy(asset: Asset): Action[] {
+  const indicator = rsi2(asset.closings);
+
+  const actions = new Array<Action>(indicator.length);
+  for (let i = 0; i < actions.length; i++) {
+    if (indicator[i] < 10) {
+      actions[i] = Action.BUY;
+    } else if (indicator[i] > 90) {
+      actions[i] = Action.SELL;
+    } else {
+      actions[i] = Action.HOLD;
+    }
+  }
+
+  return actions;
+}