Summary
HighLowIndex is RTTA's streaming implementation of: Combined offsets/indexes of rolling minimum and maximum values.
Update API
result = rtta.HighLowIndex().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
HighLowIndex 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.
update(...) returns a result struct with fields min_index, max_index.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class HighLowIndex.