Summary
PositiveVolumeIndex is RTTA's streaming implementation of: Cumulative indicator that changes on higher-volume periods.
Update API
result = rtta.PositiveVolumeIndex().update(close, volume)
The update(...) call consumes one observation using close, volume. advance(...)
uses the same inputs when the caller wants to update state without materializing
a Python return value.
Theory Of Operation
PositiveVolumeIndex is the counterpart of NegativeVolumeIndex.
It compounds the close-to-close return only when volume is higher than on the
previous bar, starting from a base of 1000.
Recurrence
Let \(c_t = close_t\), \(v_t = volume_t\), and seed \(PVI_0 = 1000\).
\[PVI_t =
\begin{cases}
PVI_{t-1}\left(1 + \dfrac{c_t - c_{t-1}}{c_{t-1}}\right), & v_t > v_{t-1} \\
PVI_{t-1}, & \text{otherwise}
\end{cases}\]
The return value is the current scalar indicator value.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class PositiveVolumeIndex.