PointAndFigure

Summary

PointAndFigure is a streaming point-and-figure (P&F) chart state: price is quantized to a box grid of size box_size, and a column reverses only after a move of reversal_boxes boxes against the current direction. Outputs are the current box price, direction, boxes drawn this tick, and a reversal flag.

Update API

import rtta

ind = rtta.PointAndFigure(box_size=1.0, reversal_boxes=3)
result = ind.update(price)
# result.box_price, result.direction (+1 X / -1 O / 0 unset),
# result.boxes (signed count moved this tick), result.reversal

Initial box is \(\lfloor p_0 / b\rfloor \cdot b\) with \(b=\)box_size.

Theory Of Operation

P&F charts discard time and intra-box noise. An up column (X, \(+1\)) extends whenever price reaches the next higher box; a down column (O, \(-1\)) extends to lower boxes. A reversal requires a move of at least \(R\) boxes from the current box price, after which the column direction flips and the box jumps to the floor-quantized target. This class exposes the live box level and per-tick box increments rather than a full column matrix.

Recurrence

Let \(b > 0\) be box size and \(R = \max(\mathrm{reversal\_boxes}, 1)\). Current box price \(B\), direction \(d\).

If \(d \ge 0\) (flat or rising):

\[\text{while } p_t \ge B + b:\quad B \leftarrow B + b,\ \Delta \leftarrow \Delta + 1 \quad\text{(if \(d=0\), set \(d\leftarrow +1\))}.\]

If no ascent (\(\Delta=0\)) and \(p_t \le B - R b\):

\[B^\star = \lfloor p_t / b\rfloor b,\quad \Delta = -\max\bigl(1, (B - B^\star)/b\bigr),\quad B \leftarrow B^\star,\ d \leftarrow -1,\ \mathrm{reversal}\leftarrow 1.\]

If \(d < 0\) (falling):

\[\text{while } p_t \le B - b:\quad B \leftarrow B - b,\ \Delta \leftarrow \Delta - 1.\]

If no descent and \(p_t \ge B + R b\):

\[B^\star = \lfloor p_t / b\rfloor b,\quad \Delta = \max\bigl(1, (B^\star - B)/b\bigr),\quad B \leftarrow B^\star,\ d \leftarrow +1,\ \mathrm{reversal}\leftarrow 1.\]

Outputs: \(\mathrm{box\_price}=B\), \(\mathrm{boxes}=\Delta\), \(\mathrm{direction}=d\).

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class PointAndFigure. Result type is PointAndFigureResult.

Reference

Investopedia — Point-and-Figure Charting