OPEN-SOURCE SCRIPT
Change-Point Detection (CUSUM) [LuxAlgo]
The Change-Point Detection (CUSUM) indicator is a statistical tool designed to detect structural changes in price trends by accumulating deviations from a mean, allowing for the identification of regime shifts before they become obvious to the naked eye.
🔶 USAGE
The indicator helps traders identify when a market has shifted from its current state (bullish or bearish) by monitoring the cumulative sum of standardized log-returns. Unlike standard trend-following indicators that rely on lagging averages, CUSUM looks for a "tipping point" where price behavior significantly deviates from its recent historical norm.
🔹 Interpreting the Visuals
🔶 DETAILS
The script utilizes a modified Cumulative Sum (CUSUM) algorithm, a sequential analysis technique typically used for monitoring change-point detection.
The process follows these steps:
🔶 SETTINGS
🔹 Algorithm Settings
🔹 Dashboard
🔶 USAGE
The indicator helps traders identify when a market has shifted from its current state (bullish or bearish) by monitoring the cumulative sum of standardized log-returns. Unlike standard trend-following indicators that rely on lagging averages, CUSUM looks for a "tipping point" where price behavior significantly deviates from its recent historical norm.
🔹 Interpreting the Visuals
- Regime Line: The solid horizontal/stepping line represents the price level at which the last change-point was detected. The color indicates the current regime (Green for Bullish, Red for Bearish).
- Pressure Bands: The shaded areas extending from the regime line represent the sPos and sNeg accumulators. These visualize how much "pressure" is building up against the current regime.
- Markers: Small triangles appear when the accumulated pressure exceeds the user-defined threshold, signaling a change-point and resetting the baseline to the current price.
🔶 DETAILS
The script utilizes a modified Cumulative Sum (CUSUM) algorithm, a sequential analysis technique typically used for monitoring change-point detection.
The process follows these steps:
- Log-Returns & Standardization: The script calculates the log-returns of the price and standardizes them into a Z-Score based on a rolling mean and standard deviation. This ensures the sensitivity of the algorithm remains consistent regardless of the asset's price or volatility.
- Accumulation: Two accumulators (sPos for upward moves and sNeg for downward moves) track the Z-Score.
- The Slack (k): This parameter acts as a filter. Only deviations greater than k are added to the accumulators. This prevents the indicator from triggering on minor noise or sideways price action.
- The Threshold (h): Once an accumulator exceeds the threshold h, a change-point is confirmed. The accumulators are then reset, and a new regime price is established.
🔶 SETTINGS
🔹 Algorithm Settings
- Lookback Period: Determines the window used to calculate the rolling mean and standard deviation for the standardization of returns.
- Threshold (h): Controls the sensitivity of the detection. A higher threshold requires a more sustained and significant move to trigger a regime change.
- Slack (k): Represents the "allowable" deviation. Increasing this value requires price moves to be more aggressive to begin accumulating toward a change-point.
🔹 Dashboard
- Enable Dashboard: Toggles the visibility of the on-screen information panel.
- Position: Moves the dashboard to different corners of the chart.
- Size: Adjusts the scale of the dashboard text and cells.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
All content & scripts provided by LuxAlgo are for educational purposes only and are not financial advice.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.
Script de código aberto
Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.
Aviso legal
As informações e publicações não se destinam a ser, e não constituem, conselhos ou recomendações financeiras, de investimento, comerciais ou de outro tipo fornecidos ou endossados pela TradingView. Leia mais nos Termos de Uso.