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AccumulativeSwingIndex

Incremental, causal technical analysis documentation

Summary

AccumulativeSwingIndex is RTTA's streaming cumulative sum of Wilder's Swing Index. Each bar contributes one SI increment; the indicator returns the running total, which tracks net directional swing pressure over the full history.

Update API

value = rtta.AccumulativeSwingIndex(limit=0.5).update(open, high, low, close)

The first bar seeds previous OHLC and returns 0.0. Every subsequent bar adds the current Swing Index increment to the running total.

Theory Of Operation

Welles Wilder's Swing Index measures how much of a bar's open/close structure represents a genuine swing relative to the prior bar, scaled by a limit (the largest expected price change). Accumulative Swing Index (ASI) is simply the indefinite sum of those increments, analogous to how AD or OBV accumulate bar contributions. Positive ASI growth suggests net bullish swing structure; negative growth suggests net bearish structure.

RTTA composes ASI from an internal SwingIndex member and a scalar accumulator.

Recurrence

Let \(O_t, H_t, L_t, C_t\) be open, high, low, close. Let \(\ell\) be limit (default \(0.5\)). Seed previous OHLC on the first bar and set \(ASI_0 = 0\).

Define absolute gaps versus the previous bar:

\[\begin{aligned} A_t &= |H_t - C_{t-1}|, & B_t &= |L_t - C_{t-1}|, \\ C'_t &= |H_t - L_{t-1}|, & D_t &= |C_{t-1} - O_{t-1}| \end{aligned}\]

The denominator factor \(R_t\) is chosen by the largest of \(A_t, B_t, C'_t\):

\[R_t = \begin{cases} A_t - \tfrac12 B_t + \tfrac14 D_t, & A_t \ge B_t \;\text{and}\; A_t \ge C'_t \\ B_t - \tfrac12 A_t + \tfrac14 D_t, & B_t \ge A_t \;\text{and}\; B_t \ge C'_t \\ C'_t + \tfrac14 D_t, & \text{otherwise} \end{cases}\]
\[K_t = \max(A_t, B_t)\]
\[N_t = (C_t - C_{t-1}) + \tfrac12(C_t - O_t) + \tfrac14(C_{t-1} - O_{t-1})\]
\[SI_t = \frac{50\, N_t\, K_t}{\ell\, R_t} \quad\text{(safe divide; \(0\) if denominator is zero)}\]
\[ASI_t = ASI_{t-1} + SI_t\]

The returned value is \(ASI_t\).

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class AccumulativeSwingIndex, which owns a SwingIndex member and accumulates its scalar output. See also SwingIndex.

Reference