feat: add regime and breakout alpha modules

research/regime_filters.py

@@ -0,0 +1,23 @@
+import pandas as pd
+
+
+LONG_MA_WINDOW = 200
+RS_WINDOW = 63
+
+
+def build_regime_filter(etf_close: pd.DataFrame, market_col: str = "SPY") -> pd.Series:
+    """Return a next-day tradable regime flag based on market trend and ETF leadership."""
+    prices = etf_close.sort_index()
+    if market_col not in prices.columns:
+        raise KeyError(f"{market_col} not found in etf_close")
+
+    market = prices[market_col]
+    market_ma = market.rolling(LONG_MA_WINDOW, min_periods=LONG_MA_WINDOW).mean()
+    market_ok = market.gt(market_ma)
+
+    rs = prices.pct_change(RS_WINDOW, fill_method=None)
+    non_market_rs = rs.drop(columns=[market_col], errors="ignore")
+    leader_ok = non_market_rs.gt(rs[market_col], axis=0).any(axis=1)
+
+    regime = (market_ok & leader_ok).astype(bool)
+    return regime.shift(1, fill_value=False)