CrossAssetCorrelationBreakDetector

Summary

CrossAssetCorrelationBreakDetector is RTTA's streaming implementation of: Short-versus-long rolling correlation break detector for two assets.

Update API

result = rtta.CrossAssetCorrelationBreakDetector().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

CrossAssetCorrelationBreakDetector runs short and long rolling correlation estimates on the same pair of streams and measures their absolute divergence. An upper hysteresis state turns that divergence into a persistent break flag until the short/long correlations reconverge below the exit threshold.

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.

\[q_t=|\rho^{short}_t-\rho^{long}_t|\]

The short and long correlations are maintained by two rolling Correlation-style windows.

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

The return value is the current scalar indicator value.

Composed Primitives

Correlation

Implementation Notes

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

Reference

Background reference