QuanTAlib/lib/dynamics/aroon/Aroon.md

Aroon

Price levels are irrelevant. The only thing that matters is when they happened. Aroon is a stopwatch for trends.

The Aroon indicator measures the temporal freshness of price extremes. Unlike oscillators that obsess over how much price has moved, Aroon asks how long it has been since a new high or low. It quantifies the "staleness" of a trend, providing an early warning system for consolidation and reversals.

Historical Context

Tushar Chande introduced Aroon in Beyond Technical Analysis (1995). The name comes from the Sanskrit word for "Dawn's Early Light." Chande's insight was that trends don't just stop; they age. By measuring the time elapsed since the last extreme, Aroon attempts to spot the "dawn" of a new trend rather than just confirming an existing one.

Architecture & Physics

Aroon is purely time-based. It normalizes the "days since" metric into a 0-100 oscillator.

1. Time Tracking: A sliding window of the last N bars is maintained.
2. Extremum Search: The index of the highest high and lowest low within that window is located.
3. Normalization: The distance (in bars) is converted into a percentage.

The Logic of Freshness

• Aroon Up: Quantifies the recency of the High.
  • 100: New high today.
  • 0: No new high for the entire period.
• Aroon Down: Quantifies the recency of the Low.
  • 100: New low today.
  • 0: No new low for the entire period.
• Oscillator: The net difference (Up - Down), showing the dominant temporal force.

Mathematical Foundation

The math is a linear decay function based on time.

\text{Aroon Up} = \frac{Period - \text{Days Since High}}{Period} \times 100 \text{Aroon Down} = \frac{Period - \text{Days Since Low}}{Period} \times 100 \text{Oscillator} = \text{Aroon Up} - \text{Aroon Down}

Performance Profile

While memory is O(P), computational complexity is linear with respect to the period due to the min/max search.

Zero-Allocation Design

The implementation uses a circular buffer (RingBuffer) to store historical highs and lows, ensuring O(1) access and zero heap allocations during the update cycle. The min/max search is performed in-place on the buffer.

Metric	Score	Notes
Throughput	10ns	10ns / bar.
Allocations	0	Hot path is allocation-free.
Complexity	O(P)	Linear scan for extremes.
Accuracy	10/10	Matches standard implementations.
Timeliness	10/10	Reacts immediately to new extremes.
Overshoot	0/10	Bounded 0-100.
Smoothness	2/10	Step-function behavior.

Validation

Validation is performed against industry-standard libraries.

Library	Status	Notes
QuanTAlib	✅	Validated.
Skender	✅	Matches GetAroon.
TA-Lib	✅	Matches TA_AROON and TA_AROONOSC.
Tulip	✅	Matches ti.aroon and ti.aroonosc.

| Ooples | N/A | Not implemented. |

Common Pitfalls

• Single Value Updates: If you feed Aroon only Close prices (instead of High/Low), it degrades into a "Time Since Highest Close" metric. It works, but it loses the nuance of intraday extremes.
• The 70/30 Rule: A common interpretation is that a trend is strong only if the primary line is > 70. Values between 30 and 70 often indicate noise or consolidation.