KagiChart - RTTA

Summary

KagiChart is a streaming Kagi line: the line tracks price in the current direction and reverses only after an absolute move of size reversal against the line. Outputs are the current line level, yang/yin direction, and a reversal flag.

Update API

import rtta

ind = rtta.KagiChart(reversal=1.0)
result = ind.update(price)
# result.line, result.direction (+1 yang / -1 yin / 0 unset),
# result.reversal (1 if direction flipped this tick else 0)

reversal is an absolute price amount (not percent), floored at \(10^{-12}\).

Theory Of Operation

Kagi charts ignore time and small noise: the line extends as long as price continues in the active direction; only a counter-move of at least the reversal amount flips yang (up, \(+1\)) to yin (down, \(-1\)) or vice versa. Classic charting also uses thick/thin lines at prior highs/lows; this implementation exposes the line, signed direction, and reversal events for quantitative use.

Recurrence

Let \(\delta =\)reversal. First price: \(\ell = p_0\), direction \(d=0\), \(\mathrm{reversal}=0\).

If \(d \ge 0\) (flat or yang):

\[\begin{aligned} p_t > \ell &\Rightarrow \ell \leftarrow p_t \quad\text{(and if \(d=0\), set \(d\leftarrow +1\))},\\ p_t \le \ell - \delta &\Rightarrow d \leftarrow -1,\ \ell \leftarrow p_t,\ \mathrm{reversal}\leftarrow 1. \end{aligned}\]

If \(d < 0\) (yin):

\[\begin{aligned} p_t < \ell &\Rightarrow \ell \leftarrow p_t,\\ p_t \ge \ell + \delta &\Rightarrow d \leftarrow +1,\ \ell \leftarrow p_t,\ \mathrm{reversal}\leftarrow 1. \end{aligned}\]

Outputs: \(\mathrm{line}_t=\ell\), \(\mathrm{direction}_t=d\).

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class KagiChart. Result type is KagiChartResult.

Reference

Investopedia — Kagi Chart