2005issue C051
Shared-scale cycle indexes with companion oscillators
This construction estimates one shared percent-deviation scale from a moving-average residual, then keeps live exponential pairings separate from lagged centered simple averages. A 12-bar stochastic oscillator and a 12-bar relative strength index are placed afterward as companion constructions, not as substitutes.
- One shared scale is built from the 50-bar mean and variance of the percent deviation of close from a 25-bar simple average lagged 12 bars, then smoothed with a 25-bar simple average.
- Live cycle indexes compare contemporaneous exponential averages of close, apply a 6-bar time-series forecast, and divide by the shared scale. Centered cycle indexes replace those pairings with lagged simple averages and stay reserved for historical parameter estimation.
- Channel lines sit at plus and minus two times the shared scale around a 25-bar simple average of close, using the current average in real time or that average lagged 12 bars when centered.
- A 12-bar stochastic oscillator with 20 and 80 guides and a 12-bar relative strength index with 30, 50, and 70 guides are companion constructions, not substitutes for the cycle indexes.
A two-track scaling problem
Editorial interpretation: cycle-index construction is a two-track scaling problem. Estimate one shared percent-deviation scale from a moving-average residual. Keep live exponential pairings separate from lagged centered simple averages. Only afterward place a 12-bar stochastic oscillator and a 12-bar relative strength index as companion constructions rather than substitutes.
The archive facts below describe that historical workflow. They do not establish a present-day reading rule.
The shared scale
A shared scale is a divisor built from the 50-bar mean and variance of a percent deviation of close from a lagged 25-bar simple average, then smoothed with a 25-bar simple average.
In the archive workflow, that series is formed from the 50-bar mean and variance of the percent deviation of close from a 25-bar simple average lagged 12 bars, then smoothed with a 25-bar simple average. Later formulas need that shared-scale series available to them.
Live cycle indexes
A live cycle index is a percent gap between two contemporaneous exponential averages of close, optionally passed through a short time-series forecast and then divided by the shared scale.
The 25-bar live minor cycle index compares a 6-bar exponential average of close with a 12-bar exponential average, applies a 6-bar time-series forecast, and divides the result by the shared scale.
The 50-bar live secondary cycle index compares 12-bar and 25-bar exponential averages of close, applies a 6-bar time-series forecast, and divides the result by the shared scale.
The 100-bar live intermediate cycle index compares 25-bar and 50-bar exponential averages of close, applies a 6-bar time-series forecast, and divides the result by the shared scale.
Centered cycle indexes
A centered cycle index is a percent gap between lagged simple averages of close, divided by the shared scale and reserved for historical parameter estimation rather than live reading.
Centered cycle indexes replace the live exponential pairings with lagged simple averages of close: 12 versus 25 bars for the minor index, 25 versus 50 bars for the secondary index, and 50 versus 100 bars for the intermediate index.
The construction notes warn that centered parameter-estimation formulas should not be used as real-time indicators.
Channel lines
Channel lines are parallel bands placed at plus and minus twice the shared scale around a 25-bar simple average of close, either current or lagged 12 bars.
Real-time channel lines sit at plus and minus two times the shared scale around a 25-bar simple average of close. Centered channel lines use that same average lagged 12 bars.
Companion oscillators and overlays
A companion stochastic is a 12-bar stochastic oscillator with 6-bar internal smoothing, a 6-bar simple average of the oscillator, and fixed 20 and 80 guides. The archive specifies that oscillator with those same horizontal references at 20 and 80.
A companion RSI is a 12-bar relative strength index plotted with 30, 50, and 70 guides. The archive specifies that index with those same horizontal references.
Companion overlays include a 25-bar exponential average of close and a 12-bar exponential average of close.
Editorial interpretation: these oscillators and overlays sit beside the shared-scale cycle indexes. They are companion constructions, not replacements for the indexes.
All readings on this track · 42 readings
- 1987Stochastic fast and slow construction as a rebuildable stack
- 1989Building the stochastic oscillator from close location
- 1990Monthly stochastics as a multi-year bond regime filter
- 1990Walk-forward screen for yen indicator rules
- 1990Slow stochastic construction for index pullback entries
- 1991Random Walk Index construction with an adaptive lookback
- 1991Building a two-stage stochastic oscillator from close location
- 1992Constructing fast and slow stochastic oscillator lines
- 1992Constructing nested stochastic lookbacks
- 1994Construct the four-state price-volume rank before filtering it
- 1996Crowded stochastics, false breakouts, and hidden stops
- 1997Fade and follow entries from stochastic extremes
- 1998Oversold confirmation as a staged rule-based-entry case
- 1999Constructing regular and slow stochastic oscillators
- 2001Construct a variable-interval simple moving average from stacked extremes
- 2001Threshold RSI and stochastic setups with next-bar stops
- 2001Two tests of a rate-adjusted earnings-yield gap
- 2002Constructing a two-line stochastic from a range-normalized close
- 2002Inspect mechanical stochastic daytrade rules on one bar
- 2003Constructing an adaptive stochastic RSI
- 2003Four parameters that construct a stochastic oscillator
- 2004Volume breakout as signal, pullback as entry
- 2004A first currency-market checklist with two averages and a slow stochastic
- 2005Shared-scale cycle indexes with companion oscillators
- 2005Current-bar versus prior-bar range construction for the stochastic oscillator
- 2005Two-session moving-average pullback short
- 2006Market condition as a permission layer for moving averages and oscillators
- 2008Lock the stop at support before sizing a stochastic entry
- 2010Construct a center-line volume oscillator and read it with a stochastic oscillator
- 2010Sharpened RSI turns with rainbow averages and a slow stochastic
- 2011Build a Spearman rank oscillator from ordered closes
- 2012Gold as a regime-dependent hedge in the euro-area crisis
- 2012Pairing moving averages with variable-length stochastics
- 2014Two-leg stochastic stress oscillator as a rebuild drill
- 2014Ingress dates as price bases for relative strength, stochastics, and moving averages
- 2017Constructing a dual EMA stochastic from range normalization
- 2018Constructing a two-stage stochastic RSI for comparable price-oscillator divergences
- 2018Combining a weekly stochastic, a long moving average, and two-day resistance
- 2018Weekly and daily stochastic readings with a long moving average and support
- 2018A confirming workflow for rotating from discretionary to staples
- 2019Stochastic scan thresholds, averages, and formula syntax
- 2020Constructing Slow %K as a two-stage helper