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2000issue C051-7

Switch trend and cycle indicators after a half-cycle dwell test

The source models price as a trend mode and a cycle mode and assigns a separate indicator to each mode so the two do not interfere. A trend is declared when price stays on one side of the cycle-stripped residual longer than half the measured dominant-cycle period.

  • Assign the residual trendline to trend mode and the sinewave indicator to cycle mode so the two tools do not interfere.
  • Form the instantaneous trendline by removing the measured dominant cycle from price. Its lookback follows that period and its lag stays at half the period.
  • Declare trend mode only when price remains on one side of the residual longer than half the Hilbert frequency. A later recross ends the trend.
  • Use maximum entropy spectrum analysis to obtain the adaptive cycle period that sizes the residual, the dwell test, and the oscillator.
Entries in this reading3 entries
Current trackMaximum entropy spectrum analysis30 readingsDominant cycle detection119 readingsTrend filter137 readings

Two modes and two separate indicators

The source models price as a combination of a trend mode and a cycle mode and assigns a separate indicator to each mode so the two do not interfere.

Editorial interpretation: treat those states as mutually exclusive operating states. Use the residual trendline only while a trend is declared, and use the sinewave indicator only while price is in cycle mode. Do not overlay a trend tool and an oscillator at the same time.

How the instantaneous trendline is formed

An instantaneous trendline is formed by measuring the dominant-cycle period and removing that cycle from price, leaving a residual average whose lookback changes with the measured period.

The trendline lag remains half the measured dominant-cycle period. The supplied computation inspects each of the last 40 days.

Maximum entropy spectrum analysis is the method previously introduced to traders for obtaining the adaptive cycle period that drives these indicators. That period is the Hilbert frequency used as the adaptive clock for lag, dwell, and oscillator phase.

The half-cycle dwell test

Cycle mode is defined as price alternating across the residual trendline every half-cycle. Trend mode is defined as price remaining on one side of that residual for longer than half the measured dominant cycle.

A worked chart example declared an uptrend after price stayed above the residual for 7 days, described as half of a 14-day Hilbert frequency, and ended the trend on a subsequent recross.

Instantaneous trendline versus daily price, August 1995–March 1996

Price remains on one side of the cycle-stripped residual from late August through mid-December, the source’s cue to treat the market as a trend and stand aside from the oscillator; after mid-December the residual flattens and turns down as price recrosses it. Intermediate points were read from the plotted candles and yellow residual; the 1 March 1996 close 116.03 and trendline 116.36 come from the on-chart quote.
Price remains on one side of the cycle-stripped residual from late August through mid-December, the source’s cue to treat the market as a trend and stand aside from the oscillator; after mid-December the residual flattens and turns down as price recrosses it. Intermediate points were read from the plotted candles and yellow residual; the 1 March 1996 close 116.03 and trendline 116.36 come from the on-chart quote.Unidentified daily series · Daily · 1995-07-21T00:00:00.000Z to 1996-03-01T00:00:00.000Z

The source does not name the contract. Digitized points are to the nearest 0.1 price unit except the final printed quote. The residual is the dominant-cycle average described in the article, not a fixed-length moving average.

When the sinewave indicator stays quiet

A later adaptive sinewave oscillator is used to seek cycle turning points after the cycle component is isolated. The residual trendline is used only in trend mode.

In the illustrated trend-mode interval the lead-sine line did not cross the sinewave signal, so the oscillator produced no cycle-mode prompts while the trend was declared.

On a second unidentified series the residual stayed above price from late August to mid-December and was treated as the trend interval, with the sinewave used on most of the remaining chart.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
19 of 28 in the Maximum entropy spectrum analysis track
20001-3 pp.Next on Maximum entropy spectrum analysisConstructing a dominant-cycle squelch trend filterA trend episode is framed as a long-period, low-frequency cycle, while cycle mode has a shorter period and more complete oscillations inside the same observation window.
All readings on this track · 28 readings
  1. 1984Constructing maximum-entropy spectra for dominant-cycle forecasts
  2. 1984How to construct a maximum-entropy cycle model
  3. 1984Constructing a maximum-entropy forecast from a chosen lookback
  4. 1985Constructing period-locked half-cycle and full-cycle averages
  5. 1986Why Fourier windows limit dominant-cycle resolution
  6. 1987Assembling short-lookback maximum-entropy cycle forecasts
  7. 1988Why a fitted dominant cycle is not a forecast
  8. 1989Evaluating commodity cycle personalities with spectral histograms
  9. 1989Evaluating next-session cycle forecasts with stops
  10. 1989Constructing cycle-aged volatility trailing stops
  11. 1990A channel signal-to-noise gate for dominant-cycle forecasts
  12. 1990Year-over-year dominant cycle personality audit
  13. 1991Cyclic entry from a locked dominant-cycle phase
  14. 1992Stationarity states on synchronized futures spectral contours
  15. 1997Hidden horizon assumptions in dominant-cycle readings
  16. 1997When market cycles are absent more than present
  17. 1997A spectral estimator that retunes indicators to the measured cycle
  18. 2000Constructing a Hilbert dominant cycle and a maximum-entropy refinement
  19. 2000Switch trend and cycle indicators after a half-cycle dwell test
  20. 2000Constructing a dominant-cycle squelch trend filter
  21. 2000Phasor displays for dominant-cycle construction
  22. 2002Low-lag trendline from elliptic and dominant-cycle notches
  23. 2004Spectral peaks are mode diagnostics, not forecasts
  24. 2004Compressive last-stage oscillator construction
  25. 2013Constructing trend failure curves from qualified-trend transitions
  26. 2014Lookback range, a two-lag smoother, and next-bar fills
  27. 2014Constructing a MESA stochastic with roofing and SuperSmoother filters
  28. 2016Constructing spectral heatmaps for dominant market cycles
By fieldIndicators and filters682 readingsBy year200059 readings
All 30 readings tagged Maximum entropy spectrum analysis
Also on Maximum entropy spectrum analysis5 readings
2000Constructing a dominant-cycle squelch trend filter2002Low-lag trendline from elliptic and dominant-cycle notches1984How to construct a maximum-entropy cycle model1984Constructing maximum-entropy spectra for dominant-cycle forecasts1985Constructing period-locked half-cycle and full-cycle averages