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2004issue C121-13

Constructing a trend filter from two adjacent high-low windows

Buy power and sell power are assembled from two equal-length adjacent high-low windows. The same scaled reading and the same plus-or-minus 100 levels then define a three-state Trend filter and the accompanying long, short, or hold rules.

  • Buy power is the current-window highest high minus the prior-window lowest low, and sell power is the prior-window highest high minus the current-window lowest low.
  • The filter value is the difference of those two powers, divided by half their sum, then multiplied by 100, with coded implementations defaulting both windows to a 15-bar lookback.
  • Readings above 100, below -100, and between those levels are treated as uptrend, downtrend, and consolidation or hold states.
  • The same thresholds can reverse a stay-positioned procedure on crossings, or issue long, short, or neutral signals from the level of the reading itself.
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Current trackMomentum strategy103 readingsTrend filter137 readings

What this construction specifies

This archive article reconstructs the Trend filter from two equal-length adjacent windows of highs and lows. Buy power and sell power are formed first. Those two quantities are then scaled into one reading, and that reading is classified with shared numeric thresholds.

Two adjacent windows define the powers

The filter is built from two equal-length adjacent windows. Buy power is the current-window highest high minus the prior-window lowest low. Sell power is the prior-window highest high minus the current-window lowest low.

The filter reading is a scaled difference

The filter value is the difference of those two powers, divided by half their sum, then multiplied by 100. Coded implementations default both windows to a 15-bar lookback.

Shared levels classify the state

A reading above 100 is treated as an uptrend state. A reading below -100 is treated as a downtrend state. Readings between those levels are treated as consolidation or a hold state.

Period length and the plus-or-minus 100 trigger levels are treated as explicit inputs that some implementations expose for variation or search rather than as fixed constants.

Alcoa daily Trend Trigger Factor against the plus-or-minus 100 state lines

A 15-day TTF above 100 marks an uptrend state, below -100 a downtrend, and the band between those lines a hold. The series was read from the Wealth-Lab TTF pane on daily Alcoa, where the platform prints 32.917 on the last bar and draws dotted lines at +100 and -100.
A 15-day TTF above 100 marks an uptrend state, below -100 a downtrend, and the band between those lines a hold. The series was read from the Wealth-Lab TTF pane on daily Alcoa, where the platform prints 32.917 on the last bar and draws dotted lines at +100 and -100.AA · Daily · 2003-04-01T00:00:00.000Z to 2004-09-30T00:00:00.000Z

Source code fixes the adjacent high-low windows at 15 daily bars. Curve points are approximate raster reads; only the last printed TTF of 32.917 is an on-screen exact value.

The same reading can drive two rule styles

One accompanying procedure stays positioned and reverses on threshold crossings. It goes long on a cross above 100 and short on a cross below -100.

Other implementations issue long, short, or neutral signals from the level of the same 15-bar reading rather than from a crossing event.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
32 of 51 in the Momentum strategy track
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All readings on this track · 51 readings
  1. 1984Half-cycle differencing for momentum signals
  2. 1987Relative strength evaluation under competing optimization criteria
  3. 1988Weekly MACD as a two-clock momentum confirmation stack
  4. 1989Equal-weight zero-cross from smoothed spreads
  5. 1989Testing relative-strength-index reversal rules against trend continuation
  6. 1989Smoothed three-day futures filter for index option bounces
  7. 1989Cycle-length windows for momentum, Relative Strength Index, and stochastic construction
  8. 1991Filtered rally magnitude as a bull-regime breakout
  9. 1992Constructing true strength from double-smoothed momentum
  10. 1992Constructing a double-smoothed true strength index
  11. 1993When momentum structure and breadth break together
  12. 1993Constructing double-smoothed range and momentum oscillators
  13. 1993Constructing a two-parameter relative momentum index
  14. 1993Building a bounded momentum oscillator with RSI smoothing
  15. 1993Two-speed oscillators with divergence and trendline gates
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  18. 1994Building a composite regime score from monetary climate and weekly trend
  19. 1994Averaging Relative Strength Index and the stochastic oscillator into one reversal oscillator
  20. 1995Dividend-yield regression as a hold versus momentum gate
  21. 1996Jump and hold filters for long-term Treasury yield direction
  22. 1997Constructing extendedness from a 10 percent swing filter
  23. 1997A range-expansion oscillator that can refuse its own stretch
  24. 1997RSI trend permission and Fibonacci pullback rules
  25. 1998Nested midpoint construction for a range-normalized oscillator
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  28. 2000Thrust strength figure from moving-average swings
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  30. 2004Cleaned breadth oscillator and new-high divergence: a swing-market case file
  31. 2004Evaluating advance-issues-momentum on a fixed-symbol-basket
  32. 2004Constructing a trend filter from two adjacent high-low windows
  33. 2006A dollar-versus-commodity extreme as a regime case
  34. 2008Zero-centered stochastic bands and bracket stops
  35. 2012Evaluating engulfing momentum across hold windows
  36. 2012Staged stops as one mechanical entry and exit procedure
  37. 2012Stacking a relative-strength-index forecast, a trend filter, and long-only momentum
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  39. 2014Constructing a multi-window slope divergence entry
  40. 2015Bandedge trend filter construction with inverse crossover rules
  41. 2017Opposite rules for index price and volatility momentum
  42. 2018A three-state overlay that colors a trend only after the line clears the bar
  43. 2018Half-cycle relative-strength index with a Fisher map for cyclic reversals
  44. 2018Emotion as a rule input when momentum breaks
  45. 2018Two-bar body expansion as a momentum breakout construction
  46. 2019Pair a two-day high breakout with a volume-weighted exit on the same chart
  47. 2020Building reflex and trendflex cross and extreme entry rules
  48. 2020Construct a dual-series price momentum oscillator overlay
  49. 2020A multi-timeframe stochastic as a panel of weekly voters
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