QuanTAlib/lib/trends_FIR/rain/Rain.md

RAIN: Rainbow Moving Average

Mel Widner applied SMA ten times recursively, then weighted the layers like a rainbow: brightest at the top, fading toward the base. Ten colors of smoothing, one composite average that sees both fast and slow structure simultaneously.

Property	Value
Category	Trend (FIR MA)
Inputs	Source (close)
Parameters	period
Outputs	Single series (Rain)
Output range	Tracks input
Warmup	1 bar
PineScript	rain.pine
Signature	rain_signature

• RAIN recursively applies SMA 10 times, producing 10 layers of progressively smoother price representation, then computes a weighted average across ...
• Similar: ALMA, FWMA | Complementary: ATR | Trading note: Raised-cosine MA; smooth taper at edges. Good sidelobe suppression for noise reduction.
• Validated against TA-Lib, Skender, and Tulip reference implementations where available.

RAIN recursively applies SMA 10 times, producing 10 layers of progressively smoother price representation, then computes a weighted average across all layers. Layers 1-4 receive weights 5, 4, 3, 2 (emphasizing the more responsive layers), while layers 5-10 each receive weight 1, for a total divisor of 20. This multi-scale composition produces a moving average that responds to short-term price changes through the lightly smoothed upper layers while maintaining stability through the heavily smoothed lower layers.

Historical Context

Mel Widner published "Rainbow Charts" in Technical Analysis of Stocks & Commodities (1998), introducing the concept of recursive SMA application as both a visualization technique and a composite smoothing method. The thinkorswim platform later standardized the weight vector as [5, 4, 3, 2, 1, 1, 1, 1, 1, 1], which became the canonical RAIN MA.

The recursive SMA application has a deep mathematical interpretation: applying SMA k times is equivalent to convolving the rectangular kernel with itself k times, which produces a B-spline kernel of order k. Thus RAIN's 10 layers correspond to B-splines of orders 1 through 10, and the weighted average blends these spline approximations. The B-spline interpretation explains why higher layers are smoother: each convolution adds a degree of polynomial reproduction and reduces the spectral sidelobe level.

The weight vector [5, 4, 3, 2, 1, 1, 1, 1, 1, 1] with sum 20 was chosen empirically rather than derived from optimization theory. The declining weights for layers 1-4 bias the output toward the more responsive layers, making RAIN track trends more closely than a uniform average of all 10 layers would.

Architecture & Physics

1. Ten Cascaded SMA Layers

Each layer is an SMA applied to the previous layer's output:

\text{MA}_1 = \text{SMA}(x, N), \quad \text{MA}_k = \text{SMA}(\text{MA}_{k-1}, N), \quad k = 2, \ldots, 10

2. O(1) Running-Sum SMA

Each of the 10 SMA layers uses a circular buffer with a running sum, giving O(1) per-bar update cost per layer. Total cost: O(10) per bar, with O(10 \times N) memory for the 10 buffers.

3. Weighted Composite

\text{RAIN} = \frac{5 \cdot \text{MA}_1 + 4 \cdot \text{MA}_2 + 3 \cdot \text{MA}_3 + 2 \cdot \text{MA}_4 + \sum_{k=5}^{10} \text{MA}_k}{20}

Mathematical Foundation

Layer computation (recursive SMA):

\text{MA}_1[t] = \frac{1}{N}\sum_{i=0}^{N-1} x_{t-i}

\text{MA}_k[t] = \frac{1}{N}\sum_{i=0}^{N-1} \text{MA}_{k-1}[t-i], \quad k = 2, \ldots, 10

Equivalent kernel: The $k$-fold SMA is the $k$-th order B-spline kernel:

B_k(x) = \underbrace{B_0 * B_0 * \cdots * B_0}_{k \text{ times}}(x)

where B_0 is the rectangular pulse.

Weighted output:

\text{RAIN} = \frac{\sum_{k=1}^{10} w_k \cdot \text{MA}_k}{20}

with weights \mathbf{w} = [5, 4, 3, 2, 1, 1, 1, 1, 1, 1].

Group delay: Each SMA layer adds (N-1)/2 bars of lag. However, the weighted composite lag is:

\bar{d} = \frac{\sum w_k \cdot k \cdot (N-1)/2}{\sum w_k}

For N = 2: \bar{d} \approx 1.85 bars. The upper-layer weighting significantly reduces the effective lag below what layer 10 alone would produce.

Default parameters: period = 2, fixed layers = 10, minPeriod = 1.

Pseudo-code (streaming):

// 10 circular buffers with running sums
for layer = 1 to 10:
    sum[layer] -= buf[layer][head]
    sum[layer] += input[layer]  // input is price for layer 1, MA[layer-1] for others
    buf[layer][head] = input[layer]
    MA[layer] = sum[layer] / count

head = (head + 1) % period

return (5*MA[1] + 4*MA[2] + 3*MA[3] + 2*MA[4] + MA[5] + MA[6] + MA[7] + MA[8] + MA[9] + MA[10]) / 20

Resources

• Widner, M. (1998). "Rainbow Charts." Technical Analysis of Stocks & Commodities.
• thinkorswim / TD Ameritrade. "RainbowAverage" study documentation.
• Schoenberg, I.J. (1946). "Contributions to the Problem of Approximation of Equidistant Data by Analytic Functions." Quarterly of Applied Mathematics, 4(1), 45-99. (B-spline theory underlying recursive SMA.)

Performance Profile

Operation Count (Streaming Mode)

RAIN(N) composes 10 independent SMA(N) instances in parallel. Each SMA uses O(1) running-sum via its ring buffer. The composite output is a weighted sum of the 10 SMA results — all computed from the same input value.

Operation	Count	Cost (cycles)	Subtotal
Per-layer ring buffer push × 10	10	3	~30
Per-layer running sum update × 10 (add new, subtract evicted)	20	1	~20
Per-layer SMA divide × 10	10	8	~80
Weighted composite (10 FMA with weights 5,4,3,2,1,1,1,1,1,1)	10	4	~40
Final divide by 20	1	8	~8
Total	51	—	~178 cycles

O(1) per bar. Each of the 10 SMA layers is O(1); the composite sum is 10 FMA operations. WarmupPeriod = period × 10 (all layers must reach steady state).

Batch Mode (SIMD Analysis)

Operation	Vectorizable?	Notes
10 independent SMA running sums	Yes	All 10 sums independent per bar; VADDPD on 10-channel register set
10 SMA divides	Yes	10 VDIVPD ops; can be vectorized as 10-wide FP array
Weighted composite	Yes	10-element dot product; fits in 2–3 AVX2 registers
Cross-bar independence	Yes	Outer loop fully vectorizable: 4 output bars per pass

Because all 10 SMA layers are independent, the entire computation can be vectorized across layers AND across bars simultaneously. AVX2 can process 4 bars per pass, each bar updating all 10 layers via 10-register prefix sums. Estimated batch speedup for large series: ~6× over scalar.