Summary
PrettyGoodOscillator is RTTA's streaming Mark Johnson Pretty Good Oscillator
(PGO): close minus its SMA, normalized by ATR over the same window.
Update API
value = rtta.PrettyGoodOscillator(window=14, fillna=True).update(close, high, low)
With fillna=False, output is NaN until window samples have been seen
(ATR's fillna also applies).
Theory Of Operation
PGO asks how many ATRs the close sits away from its simple mean. Positive readings mean the market is extended above the average; negative readings mean it is extended below. Thresholds such as \(\pm 3\) are sometimes used for exhaustion or mean-reversion setups. Because ATR is always non-negative, the sign of PGO is determined only by \(close - SMA\).
Recurrence
Let \(C_t, H_t, L_t\) be close, high, low and \(n\) be window (default \(14\)).
The nested SMA is constructed with fillna=True so a partial mean is available
during warmup; ATR uses the outer fillna flag. The outer warm count is \(n\).
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in
class PrettyGoodOscillator. See also ATR.