Summary
HighLow is RTTA's streaming implementation of: Combined rolling minimum and maximum values.
Update API
result = rtta.HighLow().update(value)
The update(...) call consumes one observation using value. advance(...)
uses the same inputs when the caller wants to update state without materializing
a Python return value.
Theory Of Operation
HighLow maintains rolling extrema, ranges, or envelopes. The C++ state updates the relevant window/range statistics once per input sample.
Recurrence
Let \(z_t = value_t\) denote the observation consumed by one
update(...) call and let \(\theta\) denote constructor parameters such as
window lengths, thresholds, and smoothing constants.
\[H_t=\max_{i\in W_t} high_i, \qquad L_t=\min_{i\in W_t} low_i\]
\[y_t = G(H_t,L_t,close_t)\]
update(...) returns a result struct with fields min, max.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class HighLow.