MinusDirectionalMovement

Summary

MinusDirectionalMovement is RTTA's streaming implementation of: Negative directional movement.

Update API

result = rtta.MinusDirectionalMovement().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

MinusDirectionalMovement is part of Wilder's directional-movement system. The update compares today's high/low extension with the previous bar, smooths directional movement and true range, and then reports either a directional component, a normalized directional imbalance, or an additional Wilder-smoothed trend-strength rating.

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.

\[up_t=high_t-high_{t-1}, \qquad down_t=low_{t-1}-low_t\]

\[DM^+_t=\begin{cases}up_t, & up_t>down_t \text{ and } up_t>0\\0,&\text{otherwise}\end{cases}\]

\[DM^-_t=\begin{cases}down_t, & down_t>up_t \text{ and } down_t>0\\0,&\text{otherwise}\end{cases}\]

\[y_t=\operatorname{WilderEMA}_n(DM^{\pm}_t)\]

The return value is the current scalar indicator value.

Implementation Notes

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

Reference

Background reference