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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 \(0.5\)).

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

Then previous OHLC is replaced by the current bar.

In particular, Wilder's \(C'_t\) term is the current bar's range. The previous low is retained as state for the next observation, but it is not used in that term.

Implementation Notes

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

Reference