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ElderThermometer

Incremental, causal technical analysis documentation

Summary

ElderThermometer measures how far the current bar extends beyond the previous bar's high or low. It returns the raw temperature, its ratio to a 22-period EMA by default, and a flag for temperature above that average.

Update API

result = rtta.ElderThermometer(fillna=True).update(high, low)
result = rtta.ElderThermometer(window=22, fillna=True).update(high, low)
# result.ratio, result.hot, result.range

The overload with only fillna preserves the original constructor API. window controls the EMA of temperature. If high < low, the inputs are swapped.

Theory Of Operation

Elder's thermometer measures outward expansion, rather than the current bar's ordinary high-low range or its ratio to yesterday's range. A higher high is a positive upward extension; a lower low is a positive downward extension. An inside bar has zero temperature.

Recurrence

For \(t\ge1\):

\[T_t=\max(H_t-H_{t-1},\;L_{t-1}-L_t,\;0).\]

Let \(A_t=EMA_n(T_t)\), with \(n=22\) by default. Then

\[ratio_t=\frac{T_t}{A_t},\qquad hot_t=1_{\{T_t>A_t\}}.\]

The result field named range is retained for API compatibility, but contains \(T_t\), the outward-extension temperature—not \(H_t-L_t\).

The first bar has no prior high/low. With fillna=True, it returns zeros; with fillna=False, all fields are NaN. Strict mode remains NaN until window temperature observations (and therefore window + 1 bars) have been consumed.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class ElderThermometer. Result fields are ratio, hot, and the backward-compatible range field.

Reference