Summary
ProjectionOscillator is RTTA's streaming projection oscillator: a
stochastic-style placement of close between linear-regression projection bands
of high and low, with a short SMA signal line.
Update API
result = rtta.ProjectionOscillator(
window=14, signal_window=3, fillna=True
).update(high, low, close)
# result.value, result.signal, result.upper, result.lower
The update(...) call consumes high, low, and close. advance(...)
updates state without returning a Python object. Multi-output batch(...)
returns arrays for value, signal, upper, and lower.
Theory Of Operation
Projection bands fit a rolling least-squares line to highs and another to lows. The fitted values at the latest bar form a time-varying channel. Mapping close into that channel as a percent (as a stochastic does with high/low extremes) produces an oscillator that respects the local regression slope rather than raw window extrema. The signal is a short SMA of the oscillator.
Recurrence
Let \(h_t\), \(\ell_t\), \(c_t\) be high, low, and close, and let \(n\) be
window. Fit rolling linear regressions on the high and low series and take the
fitted values at the current end of the window (RTTA LinearRegressionCore
field value):
where \(n_s\) is signal_window. Division by a zero band width is safe-divided
to \(0\).
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in
class ProjectionOscillator with two LinearRegressionCore members and one
SMA for the signal.