Disambiguate intra-bar moves in max_advance / max_decline#253
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`max_advance` and `max_decline` inferred the maximum percentage change solely from highs and lows, implicitly assuming that within any single bar the low was always registered before the high. This caused a single 'down' bar (a wide-range bar that closed lower) to be misread as the maximum advance (low -> high), and, symmetrically, a single 'up' bar to be misread as the maximum decline (high -> low). Disambiguate the intra-bar order from the bar direction: on 'up' bars (close >= open) the low is assumed to precede the high, whilst on 'down' bars (close < open) the high is assumed to precede the low. A bar can therefore only contribute an advance within itself when it is an 'up' bar, and a decline within itself only when it is a 'down' bar. The bar's extremes remain available to pair with the extremes of other bars. Closes #1. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01Lv7mb1yrXN6TmEefXjJ6xS
Just revises doc and asserts supposed test conditions.
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Closes #1.
Problem
max_advanceandmax_decline(insrc/market_analy/analysis.py) inferred the maximum percentage change purely from each bar's high and low, implicitly assuming that within any single bar the low was always registered before the high.This meant a single down bar (a wide-range bar that closed below its open) could be misread as the maximum advance — the code assumed price travelled
low -> highwithin the bar when, in reality, the high preceded the low. The symmetric problem affectedmax_decline: a single up bar could be misread as the maximum decline (high -> low).Fix
Disambiguate the intra-bar order of the high and low from the bar's direction, as proposed in the issue:
close >= open): the low is assumed to have been registered before the high.close < open): the high is assumed to have been registered before the low.Consequences:
Implementation detail: for
max_advance, the lowest low available to pair with a bar's high is the running min including the current bar on up bars, but excluding it on down bars (cummin().shift(1)).max_declineis the mirror image using the running max of highs.Tests
test_max_advance_and_max_declinecontinues to pass unchanged.test_max_advance_intrabar_disambiguationandtest_max_decline_intrabar_disambiguation, each constructing a wide-range bar in the "wrong" direction and asserting the change is measured across bars rather than within the misleading bar.🤖 Generated with Claude Code. Fully manually reviewed.
https://claude.ai/code/session_01Lv7mb1yrXN6TmEefXjJ6xS
Generated by Claude Code