CointegrationBreakdownMonitor

Summary

CointegrationBreakdownMonitor is RTTA's streaming implementation of: Streaming residual-z monitor for pair relationship breakdowns using an EWMA hedge estimate.

Update API

result = rtta.CointegrationBreakdownMonitor().update(real0, real1)

The update(...) call consumes one observation using real0, real1. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

CointegrationBreakdownMonitor implements the streaming form of Streaming residual-z monitor for pair relationship breakdowns using an EWMA hedge estimate. Each update(...) call consumes exactly one new observation tuple and advances the internal state before returning the current value or result struct.

Recurrence

Let \(z_t = (real0_t, real1_t)\) denote the observation consumed by one update(...) call and let \(\theta\) denote constructor parameters such as window lengths, thresholds, and smoothing constants.

\[\beta_t=\frac{C^{xy}_t}{V^y_t}, \qquad e_t=x_t-(\beta_t y_t+\alpha_t)\]

\[q_t=\left|\frac{e_t-\bar{e}_{t-1}}{\sqrt{\max(s^2_{e,t-1},\epsilon)}}\right|\]

\[r_t = \begin{cases} 1, & r_{t-1} = 0 \text{ and } q_t \ge e \\ 0, & r_{t-1} = 1 \text{ and } q_t \le x \\ r_{t-1}, & \text{otherwise} \end{cases}, \qquad x < e\]

The return value is the current scalar indicator value.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class CointegrationBreakdownMonitor.

Reference

Background reference