MACDExt

Summary

MACDExt is RTTA's extended MACD: the same macd / signal / histogram structure as classic MACD, but with independently selectable SMA or EMA smoothers for the fast, slow, and signal stages (TA-Lib MACDEXT style).

Update API

result = rtta.MACDExt(
    fast=12, slow=26, signal=9,
    fast_ma_type=1, slow_ma_type=1, signal_ma_type=1,
    fillna=True,
).update(value)

update(value) returns macd, signal, histogram (same fields as MACD). advance(value) updates state; last() returns the cache.

Theory Of Operation

Classic MACD uses EMAs throughout. Some platforms and TA-Lib allow mixing SMA and EMA so users can, for example, use SMA signal lines or all-SMA MACD for research. MACDExt implements that flexibility with a small SelectableMA helper (0→SMA, anything else→EMA).

Interpretation is unchanged: MACD is the fast−slow spread, signal is a MA of that spread, histogram is MACD−signal. Zero-line and signal crosses retain the usual momentum meaning.

Recurrence

Let \(x_t\) be the input. Let \(\operatorname{MA}^{(type)}_n\) be SMA if type=0 and EMA if type=1.

Nested MAs always run with fillna=True so intermediate values exist. When outer fillna=False, all three outputs are NaN until \(\max(n_f,n_s)+n_g\) samples have been processed.

With all ma_type=1 and default lengths, results match EMA-based MACD aside from warm-up / fillna conventions.

Implementation Notes

• Implemented in src/rtta/indicator.cpp in class MACDExt and class SelectableMA.
• Result type: shared MACDResult (macd, signal, histogram).
• Batch helper: batch_macd_ext.
• Only SMA and EMA are selectable in this build (not DEMA/TEMA/etc. from full TA-Lib MA type enums).

Reference

• TA-Lib MACDEXT
• StockCharts — MACD