Summary
High is RTTA's streaming implementation of: Rolling highest value.
Update API
result = rtta.High(window=30).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
High 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.
\[W_t = \operatorname{push}(W_{t-1}, z_t, n)\]
\[y_t = G(W_t)\]
The return value is the current scalar indicator value.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class High.