Summary
VariableIndexDynamicAverage is RTTA's streaming implementation of: VIDYA adaptive EMA using absolute CMO as the smoothing factor.
Update API
result = rtta.VariableIndexDynamicAverage().update(close)
The update(...) call consumes one observation using close. advance(...)
uses the same inputs when the caller wants to update state without materializing
a Python return value.
Theory Of Operation
VariableIndexDynamicAverage is a causal smoother or average. It updates compact rolling or exponential state with the newest observation and returns the current smoothed estimate.
Recurrence
Let \(z_t = close_t\) denote the observation consumed by one
update(...) call and let \(\theta\) denote constructor parameters such as
window lengths, thresholds, and smoothing constants.
The return value is the current scalar indicator value.
Implementation Notes
The recurrence is implemented in src/rtta/indicator.cpp in class VariableIndexDynamicAverage.