RTTADocumentation Built by Goblin Reactor ↗

ParabolicSARExtended

Incremental, causal technical analysis documentation

Summary

ParabolicSARExtended is a TA-Lib SAREXT-style Parabolic Stop and Reverse with independent long/short acceleration-factor (AF) chains, optional fixed start SAR, and an offset applied when the trend reverses. Each update returns the current SAR level.

Update API

import rtta

ind = rtta.ParabolicSARExtended(
    start=0.0,
    offset_on_reverse=0.0,
    af_init_long=0.02,
    af_long=0.02,
    af_max_long=0.2,
    af_init_short=0.02,
    af_short=0.02,
    af_max_short=0.2,
)
sar = ind.update(high, low)

If start != 0, that value seeds the SAR; otherwise the first bars use extremes of high/low. Long and short sides have separate AF init, step, and max parameters.

Theory Of Operation

Wilder's Parabolic SAR trails price with a stop that accelerates toward the extreme price as the trend persists. SAREXT generalizes the classic single AF schedule so long and short trends can accelerate at different rates, and allows an additive offset when flipping sides. RTTA follows the usual SAR update

\[\mathrm{SAR}_{t} = \mathrm{SAR}_{t-1} + \mathrm{AF}\,(\mathrm{EP} - \mathrm{SAR}_{t-1}),\]

clamped so the stop does not penetrate the prior two bars' range, then checks for penetration of the current low (long) or high (short) to reverse.

Recurrence

Bar 0: store \(H_0,L_0\); \(\mathrm{SAR} = \mathrm{start}\) if nonzero else \(L_0\); \(\mathrm{EP}=H_0\); \(\mathrm{AF}=\mathrm{af\_init\_long}\); rising.

Bar 1: set rising if \(H_1 \ge H_0\); SAR from start or \(\min(L_0,L_1)\) / \(\max(H_0,H_1)\); EP from highs/lows; AF from the corresponding side's init.

Bars \(t \ge 2\):

\[\mathrm{SAR}' = \mathrm{SAR} + \mathrm{AF}\,(\mathrm{EP} - \mathrm{SAR}).\]

If rising:

\[\mathrm{SAR}' \leftarrow \min(\mathrm{SAR}',\, \min(L_{t-1}, L_t)).\]

If \(L_t < \mathrm{SAR}'\) (reverse to short):

\[\mathrm{SAR}' \leftarrow \mathrm{EP} + \mathrm{offset\_on\_reverse},\quad \mathrm{EP}\leftarrow L_t,\quad \mathrm{AF}\leftarrow \mathrm{af\_init\_short}.\]

Else if \(H_t > \mathrm{EP}\): \(\mathrm{EP}\leftarrow H_t\), \(\mathrm{AF}\leftarrow \min(\mathrm{AF}+\mathrm{af\_long},\, \mathrm{af\_max\_long})\).

If short:

\[\mathrm{SAR}' \leftarrow \max(\mathrm{SAR}',\, \max(H_{t-1}, H_t)).\]

If \(H_t > \mathrm{SAR}'\) (reverse to long):

\[\mathrm{SAR}' \leftarrow \mathrm{EP} - \mathrm{offset\_on\_reverse},\quad \mathrm{EP}\leftarrow H_t,\quad \mathrm{AF}\leftarrow \mathrm{af\_init\_long}.\]

Else if \(L_t < \mathrm{EP}\): \(\mathrm{EP}\leftarrow L_t\), \(\mathrm{AF}\leftarrow \min(\mathrm{AF}+\mathrm{af\_short},\, \mathrm{af\_max\_short})\).

Commit \(\mathrm{SAR}\leftarrow\mathrm{SAR}'\) and store current high/low as previous.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class ParabolicSARExtended. Returns a scalar double SAR each bar.

Reference