ZigZagSwingDetector

Summary

ZigZagSwingDetector is RTTA's streaming implementation of: Close-based swing detector that filters price moves below a percentage threshold and emits confirmed pivots.

Update API

result = rtta.ZigZagSwingDetector().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

ZigZagSwingDetector maintains the current swing direction, the active extreme, and the last confirmed pivot. A new pivot is confirmed only after price reverses from the active extreme by the configured percentage, which filters smaller oscillations out of the swing path.

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.

\[\tau=\frac{percent\_change}{100}\]

\[direction_t = \begin{cases} 1, & direction_{t-1}=0 \text{ and } close_t\ge start(1+\tau)\\ -1, & direction_{t-1}=0 \text{ and } close_t\le start(1-\tau)\\ -1, & direction_{t-1}=1 \text{ and } close_t\le extreme_{t-1}(1-\tau)\\ 1, & direction_{t-1}=-1 \text{ and } close_t\ge extreme_{t-1}(1+\tau)\\ direction_{t-1}, & \text{otherwise} \end{cases}\]

\[extreme_t = \begin{cases} \max(extreme_{t-1},close_t), & direction_t=1\\ \min(extreme_{t-1},close_t), & direction_t=-1\\ close_t \text{ if farther from } start, & direction_t=0 \end{cases}\]

When direction flips, the previous extreme becomes the confirmed pivot and the current close starts the new extreme search.

update(...) returns a result struct with fields value, direction, pivot, pivot_index.

Implementation Notes

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

Reference

Background reference