MassIndex - RTTA

Summary

MassIndex is RTTA's streaming implementation of: Range-expansion reversal indicator.

Update API

result = rtta.MassIndex().update(high, low)

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

Theory Of Operation

MassIndex studies range expansion rather than direction. It double-smooths the high-low range with EMA, forms their ratio, and sums that ratio over a window so persistent range bulges become visible as a reversal-risk signal.

Recurrence

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

\[R_t=high_t-low_t, \qquad E_t=\operatorname{EMA}_n(R_t), \qquad D_t=\operatorname{EMA}_n(E_t)\]

\[y_t=\sum_{i\in W_t}\frac{E_i}{D_i}\]

The return value is the current scalar indicator value.

Composed Primitives

EMA

Implementation Notes

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

Reference

Background reference