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Miha Kralj
2025-12-18 13:51:06 -08:00
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lib/trends/rma/Rma.md
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@@ -44,6 +44,45 @@ Our implementation uses the recursive formula for O(1) updates.
|-----------|---------|---------|----------------------|
| Period | 14 | Lookback window | Standard is 14 (Wilder's default). |
## Performance Profile
| Operation | Complexity | Description |
|-----------|------------|-------------------|
| Streaming update | O(1) | Simple scalar math |
| Bar correction | O(1) | Efficient state rollback |
| Batch processing | O(N) | Single pass through data |
| Memory footprint | O(1) | Minimal state (previous value only) |
## Interpretation
### Trading Signals
#### Trend Filter
- **Direction:** Because RMA is slower than EMA, it acts as an excellent long-term trend filter.
- **Support/Resistance:** In strong trends, price often respects the RMA line as dynamic support/resistance.
### When It Works Best
- **Smoothing Volatility:** RMA is the gold standard for smoothing volatile sub-indicators (like True Range to get ATR) because it doesn't react jerkily to single spikes.
### When It Struggles
- **Fast Reversals:** Due to its lag (approx $2N-1$ EMA equivalent), it is too slow for catching rapid market turns.
## Architecture Notes
This implementation makes specific trade-offs:
### Choice: Wilder's Initialization
- **Implementation:** The first value is the SMA of the first $N$ bars.
- **Rationale:** Strict adherence to Wilder's definition ensures values match standard platforms (TradingView, etc.) exactly.
## References
- Wilder, J. Welles Jr. "New Concepts in Technical Trading Systems." Trend Research, 1978.
## C# Usage
### Streaming Updates (Single Instance)
@@ -87,43 +126,3 @@ rma.Update(new TValue(time, 100), isNew: true);
// Intra-bar update
rma.Update(new TValue(time, 101), isNew: false); // Replaces 100 with 101
```
## Performance Profile
| Operation | Complexity | Description |
|-----------|------------|-------------------|
| Streaming update | O(1) | Simple scalar math |
| Bar correction | O(1) | Efficient state rollback |
| Batch processing | O(N) | Single pass through data |
| Memory footprint | O(1) | Minimal state (previous value only) |
## Interpretation
### Trading Signals
#### Trend Filter
- **Direction:** Because RMA is slower than EMA, it acts as an excellent long-term trend filter.
- **Support/Resistance:** In strong trends, price often respects the RMA line as dynamic support/resistance.
### When It Works Best
- **Smoothing Volatility:** RMA is the gold standard for smoothing volatile sub-indicators (like True Range to get ATR) because it doesn't react jerkily to single spikes.
### When It Struggles
- **Fast Reversals:** Due to its lag (approx $2N-1$ EMA equivalent), it is too slow for catching rapid market turns.
## Architecture Notes
This implementation makes specific trade-offs:
### Choice: Wilder's Initialization
- **Implementation:** The first value is the SMA of the first $N$ bars.
- **Rationale:** Strict adherence to Wilder's definition ensures values match standard platforms (TradingView, etc.) exactly.
## References
- Wilder, J. Welles Jr. "New Concepts in Technical Trading Systems." Trend Research, 1978.