VolatilityBreakoutDetector

Summary

VolatilityBreakoutDetector is RTTA's streaming implementation of: EWMA z-score detector for unusually large close-to-close volatility breakouts.

Update API

result = rtta.VolatilityBreakoutDetector().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

VolatilityBreakoutDetector standardizes the current error or move against an EWMA mean and variance estimated from prior samples. The detector uses the resulting z-score with hysteresis or reset logic so isolated noisy observations do not become persistent regimes by themselves.

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.

\[m_t=\left|\frac{close_t-close_{t-1}}{close_{t-1}}\right|, \qquad q_t=\frac{m_t-\mu_{t-1}}{\sqrt{\max(\sigma^2_{t-1},\epsilon)}}\]

\[\mu_t=\mu_{t-1}+\alpha(m_t-\mu_{t-1}), \qquad \sigma^2_t=(1-\alpha)(\sigma^2_{t-1}+\alpha(m_t-\mu_{t-1})^2)\]

\[r_t = \begin{cases} 1, & r_{t-1} = 0 \text{ and } q_t \ge e \\ 0, & r_{t-1} = 1 \text{ and } q_t \le x \\ r_{t-1}, & \text{otherwise} \end{cases}, \qquad x < e\]

The return value is the current scalar indicator value.

Implementation Notes

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

Reference

Background reference