Summary
MovingAverageVariablePeriod is RTTA's TA-Lib-style MAVP: a simple moving
average of value whose lookback length is supplied per bar and clamped to
[min_period, max_period].
Update API
value = rtta.MovingAverageVariablePeriod(
max_period=30, min_period=2, fillna=True
).update(value, period)
period is rounded to the nearest integer with llround, then clamped. With
fillna=False, output is NaN when fewer than the (clamped) period samples are
available.
Theory Of Operation
Variable-period averages let another series — efficiency ratio, volatility,
cycle period, etc. — control the smoother's memory on each bar. RTTA keeps a
rolling buffer of length max_period and, each update, averages only the most
recent \(p\) samples where \(p\) is the clamped requested period. This matches
the common TA-Lib MAVP interpretation of a plain SMA with dynamic length.
Recurrence
Let \(x_t\) be value, \(p^{\text{raw}}_t\) be period, \(p_{\min}\) be
min_period, and \(p_{\max}\) be max_period.
Maintain a FIFO buffer of the last up to \(p_{\max}\) values. Let \(n_t\) be the current buffer size and \(u_t = \min(n_t, p_t)\). Sum the most recent \(u_t\) samples:
If fillna=False and \(n_t < p_t\), return NaN. Defaults: \(p_{\max}=30\),
\(p_{\min}=2\).
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in
class MovingAverageVariablePeriod. The buffer capacity is always max_period.