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WilliamsAD

Incremental, causal technical analysis documentation

Summary

WilliamsAD is RTTA's streaming Williams Accumulation/Distribution line. It cumulates a close-based accumulation amount on up closes and a distribution amount on down closes, using high/low when they extend beyond the previous close.

Update API

value = rtta.WilliamsAD().update(high, low, close)

The first bar seeds previous close and returns 0.0. Unchanged closes add nothing.

Theory Of Operation

Larry Williams' A/D (distinct from the Chaikin Accumulation/Distribution line) adds the distance from the true low of the move into the close on up days, and subtracts the distance from the true high of the move into the close on down days. Rising Williams A/D with rising prices confirms accumulation; divergence can warn of weakening participation.

Recurrence

Let \(H_t, L_t, C_t\) be high, low, close. Seed \(WAD_0 = 0\) and store \(C_0\). For \(t \ge 1\):

\[WAD_t = \begin{cases} WAD_{t-1} + \bigl(C_t - \min(L_t, C_{t-1})\bigr), & C_t > C_{t-1} \\[4pt] WAD_{t-1} + \bigl(C_t - \max(H_t, C_{t-1})\bigr), & C_t < C_{t-1} \\[4pt] WAD_{t-1}, & C_t = C_{t-1} \end{cases}\]

Then set previous close to \(C_t\). Note that on down closes the added term is negative or zero, so the line declines.

Implementation Notes

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

Reference