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SwingIndex

Incremental, causal technical analysis documentation

Summary

SwingIndex is RTTA's streaming Welles Wilder Swing Index for a single bar relative to the prior bar. It returns the bar's SI increment (not the cumulative sum); use AccumulativeSwingIndex for the running total.

Update API

value = rtta.SwingIndex(limit=0.5).update(open, high, low, close)

limit is the maximum expected price change scale (default \(0.5\)). The first bar seeds previous OHLC and returns 0.0.

Theory Of Operation

Wilder's Swing Index combines the current open/close structure with gaps versus the previous close to score how much of the bar is a genuine swing. The result is scaled by limit so that SI is roughly comparable across instruments when limit is set to a typical large move. Positive SI indicates bullish swing structure; negative SI indicates bearish structure.

Recurrence

Let \(O_t, H_t, L_t, C_t\) be open, high, low, close and \(\ell =\) limit (\(\ell > 0\), else defaulted to \(0.5\)).

\[\begin{aligned} A_t &= |H_t - C_{t-1}|, & B_t &= |L_t - C_{t-1}|, \\ C'_t &= |H_t - L_{t-1}|, & D_t &= |C_{t-1} - O_{t-1}| \end{aligned}\]
\[R_t = \begin{cases} A_t - \tfrac12 B_t + \tfrac14 D_t, & A_t \ge B_t \;\text{and}\; A_t \ge C'_t \\ B_t - \tfrac12 A_t + \tfrac14 D_t, & B_t \ge A_t \;\text{and}\; B_t \ge C'_t \\ C'_t + \tfrac14 D_t, & \text{otherwise} \end{cases}\]
\[K_t = \max(A_t, B_t)\]
\[N_t = (C_t - C_{t-1}) + \tfrac12(C_t - O_t) + \tfrac14(C_{t-1} - O_{t-1})\]
\[SI_t = \frac{50\, N_t\, K_t}{\ell\, R_t} \quad\text{(safe divide)}\]

Then previous OHLC is replaced by the current bar.

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class SwingIndex.

Reference