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GuppyMMARibbon

Incremental, causal technical analysis documentation

Summary

GuppyMMARibbon is RTTA's full Daryl Guppy Multiple Moving Average ribbon. It tracks twelve EMAs (six short-term trader lengths and six long-term investor lengths), their group averages, and the short-minus-long spread.

Update API

result = rtta.GuppyMMARibbon(fillna=True).update(price)
# short: result.s3, s5, s8, s10, s12, s15
# long:  result.l30, l35, l40, l45, l50, l60
# aggs:  result.short_average, result.long_average, result.spread

Periods are fixed at the classic Guppy lengths. With fillna=False, all fields are NaN until 60 samples (longest EMA period) have been seen.

Theory Of Operation

Guppy's MMAs separate "traders" (fast EMAs) from "investors" (slow EMAs). When the short group is tightly bunched and pulls away from a similarly coherent long group, trend conviction is high. Compression or interleaving of the groups suggests indecision. The ribbon form exposes every EMA for charting, not only the two averages.

RTTA also provides a compact sibling GuppyMultipleMovingAverage that returns only the averages and spread.

Recurrence

Let \(x_t\) be price. Define fixed period sets

\[\mathcal{S} = \{3,5,8,10,12,15\}, \qquad \mathcal{L} = \{30,35,40,45,50,60\}.\]
\[E^{(p)}_t = \operatorname{EMA}_p(x_t) \quad\text{for each } p \in \mathcal{S} \cup \mathcal{L}\]

(RTTA's EMA uses multiplier \(\alpha = 2/(p+1)\).)

\[\begin{aligned} S^{\text{avg}}_t &= \tfrac16 \sum_{p\in\mathcal{S}} E^{(p)}_t \\ L^{\text{avg}}_t &= \tfrac16 \sum_{p\in\mathcal{L}} E^{(p)}_t \\ \operatorname{spread}_t &= S^{\text{avg}}_t - L^{\text{avg}}_t \end{aligned}\]

Named outputs map directly: s3 \(= E^{(3)}_t\), …, s15 \(= E^{(15)}_t\), l30 \(= E^{(30)}_t\), …, l60 \(= E^{(60)}_t\), plus the three aggregates above. Nested EMAs are constructed with fillna=True so partial values exist during warmup; the outer fillna only gates emission of NaN for the first 59 bars when false.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class GuppyMMARibbon. Result fields are s3–s15, l30–l60, short_average, long_average, and spread.

Reference