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2020issue C0248-55

Building reflex and trendflex cross and extreme entry rules

Editorial framing: treat a low-lag oscillator as a two-stage recipe. First choose whether the residual subtracts a sloped cycle line or a flat lookback. Then attach either a two-length cross or an extreme-of-oscillator rule so entry, exit, and abstention stay one testable procedure.

  • Both constructions start from the same two-pole smoother of the midpoint of the current and previous close, and Length is treated as the assumed cycle period.
  • The reflex residual averages gaps to a sloped projection of the smoother, while the trendflex residual averages raw differences from the current smoother value over the same length window.
  • A mean-square scale converts each residual into standard-deviation units and skips the division when that scale term is zero.
  • A faster trendflex cross of a slower trendflex, or a reflex extreme checked against whether a long is already open, turns the scaled series into a discrete next order.
Entries in this reading2 entries
Current trackMomentum strategy103 readingsRule-based entry174 readings

A shared smoother feeds both residuals

The construction converts a price series into a scaled oscillator and then into a discrete trade instruction. Both constructions first smooth the midpoint of the current and previous close with a two-pole recursive filter whose coefficients depend on Length, which is treated as the assumed cycle period.

From that shared smoother history the procedure then forms a residual sum. The choice at this stage is whether the residual subtracts a sloped cycle line or a flat lookback.

Sloped residual or flat lookback

The reflex residual estimates a slope from the current smoother value to the value Length bars earlier, then averages the gap between that projected line and each intervening smoother value. The trendflex residual averages the raw difference between the current smoother value and each past smoother value over the same Length, omitting the slope projection.

A companion note states that reflex is meant to follow the cycle component of price while trendflex is meant to keep the trend component. A single-length implementation can compute both series from one smoother history by setting the slope to zero for the trend residual and to the lookback slope for the reflex residual, with Length defaulting to 20.

A mean-square scale puts both residuals in the same units

After averaging, both series divide the residual by the square root of a recursive mean-square that mixes 0.04 of the current squared residual with 0.96 of the prior mean-square. That mean-square scale converts the residual into standard-deviation units. The constructions skip that division when the mean-square term is zero.

A two-length trendflex cross as a momentum procedure

A momentum procedure is a testable procedure that acts when a faster trendflex reading crosses a slower one. An example computes a 20-length and a 50-length trendflex series and issues a next-bar market buy when the faster series crosses above the slower series, or a next-bar market short when it crosses below.

The same fast and slow lengths can be shown as the difference between the two trendflex values against a zero reference line instead of as discrete orders. In either presentation the faster and slower readings, the cross, and the next-bar market instruction stay inside one procedure.

Daily AAPL Trendflex 20 versus Trendflex 50

The faster length-20 Trendflex leads and crosses the slower length-50 line at the same places the sample strategy flips from long to short and back. Those crossings, not a price pattern, are the entry rule. Readings were taken from the TradeStation oscillator pane on daily AAPL, where both traces are already scaled in running mean-square standard deviations.
The faster length-20 Trendflex leads and crosses the slower length-50 line at the same places the sample strategy flips from long to short and back. Those crossings, not a price pattern, are the entry rule. Readings were taken from the TradeStation oscillator pane on daily AAPL, where both traces are already scaled in running mean-square standard deviations.AAPL · Daily · 2018-07-16T00:00:00.000Z to 2019-05-28T00:00:00.000Z

TradeStation example uses FastLength 20 and SlowLength 50. Normalization is Ehlers' running mean square (0.04 of current Sum squared plus 0.96 of the prior mean square). Visible window is mid-July 2018 through late May 2019; turning points are approximate because they were read from the screenshot.

A reflex extreme as a rule-based entry

A rule-based entry is a named condition that places or withholds the next order from oscillator state and whether a position is already open. A long entry fires when the reflex series equals its lowest value over 200 bars and no long position is already open. A paired exit is defined when the series turns down from a 20-bar high.

The open-position check withholds a second long while one is already open, so abstention is part of the same named condition as the entry and the paired exit.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
47 of 51 in the Momentum strategy track
202016-21 pp.Next on Momentum strategyConstruct a dual-series price momentum oscillator overlayEach oscillator series is a one-period percent price change, a 35-period custom exponential smoother, a scale factor of 10, and a 20-period custom exponential smoother.
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
  16. 1993Constructing a relative momentum index from the relative strength index
  17. 1994Constructing daily advance-decline breadth tools
  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
  26. 1999Evaluating Relative Strength Index momentum with zero-line and threshold rules
  27. 1999Treat RSI and momentum as three mechanical procedures
  28. 2000Thrust strength figure from moving-average swings
  29. 2001Constructing a non-range-bound balance of market power score
  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
  38. 2013Constructing fair-value filters from averages and momentum
  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
  50. 2020Centerline crossovers that compare index momentums
  51. 2020Multi-timeframe stochastic voting as one mechanical rule
By fieldIndicators and filters682 readingsBy year202085 readings
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