HitRateDriftDetector

Summary

HitRateDriftDetector is RTTA's streaming implementation of: EWMA hit-rate degradation detector using miss-rate hysteresis.

Update API

result = rtta.HitRateDriftDetector().update(hit)

The update(...) call consumes one observation using hit. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

HitRateDriftDetector first constructs a scalar market-state metric from the current observation and compact streaming state, then passes that metric through explicit entry/exit hysteresis. The metric is named in the recurrence below; the hysteresis keeps the output stable until the metric crosses the opposite exit band.

Recurrence

Let \(z_t = hit_t\) denote the observation consumed by one update(...) call and let \(\theta\) denote constructor parameters such as window lengths, thresholds, and smoothing constants.

\[m_t=\mathbf{1}[hit_t\le0], \qquad q_t=\alpha m_t+(1-\alpha)q_{t-1}\]

The metric is an EWMA miss rate; high values indicate deteriorating hit rate.

\[r_t = \begin{cases} 1, & r_{t-1} = 0 \text{ and } q_t \ge e \\ 0, & r_{t-1} = 1 \text{ and } q_t \le x \\ r_{t-1}, & \text{otherwise} \end{cases}, \qquad x < e\]

The return value is the current scalar indicator value.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class HitRateDriftDetector.

Reference

Background reference