AccelerationBands

Summary

AccelerationBands is RTTA's streaming Price Headley acceleration bands: upper and lower envelopes formed by simple averages of range-scaled highs and lows, with a middle SMA of close.

Update API

result = rtta.AccelerationBands(window=20, factor=4.0, fillna=True).update(close, high, low)

update(...) returns a result with fields middle, upper, lower. advance(close, high, low) updates state; last() returns the cached result.

Theory Of Operation

Each bar's high and low are expanded or contracted by a fraction of the bar range relative to the bar's mid-range \(h+l\):

The upper source is \(h_t(1+s_t)\) and the lower source is \(l_t(1-s_t)\). Wide range bars push the sources farther apart (more "acceleration"); quiet bars pull them in. Independent SMAs of those sources form the plotted bands; the middle band is a plain SMA of close for reference.

Breaks above the upper band or below the lower band are often read as momentum extremes; tags of the middle can act as mean-reversion context.

Recurrence

Let \(c_t,h_t,l_t\) be close, high, low; \(n\) the window; \(f\) the factor.

(division is safe-divided in C++ when \(h_t+l_t=0\)).

Result: middle \(= M_t\), upper \(= U_t\), lower \(= L_t\).

When fillna=False and fewer than \(n\) samples have been seen, all three fields are NaN. Upper/lower SMAs always use fillna=True internally so their partial averages exist; the outer fillna gate controls the returned struct.

Implementation Notes

• Implemented in src/rtta/indicator.cpp in class AccelerationBands.
• Result type: AccelerationBandsResult (middle, upper, lower).
• Three independent SMA instances: upper_sma_, lower_sma_, middle_sma_.
• Batch helper: batch_acceleration_bands.

Reference

• TradingView — Acceleration Bands
• Price Headley acceleration bands overview