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2011issue C0270-73

Constructing a Spearman rank trend filter

A rank-correlation oscillator is assembled from a lookback window of prices, their time order, a short simple moving average, and fixed overbought and oversold bands. This archive note walks through that construction so the same steps can be rebuilt without treating platform code as a trading recipe.

  • The constructed filter is Spearman rank correlation between a lookback window of prices and their time order, producing a bounded series used to read trend intensity.
  • Fixed bands of 80 and -80 are specified as overbought and oversold thresholds on that rank-correlation series.
  • A three-bar simple moving average of the series is the specified crossover reference, and zero crossings are specified as an additional construction event.
  • Platform implementations apply the same ranked-price construction as a custom study or compiled indicator, not as a new taxonomy of methods.
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Current trackTrend filter137 readingsRelative Strength Index186 readingsMoving average449 readings

A bounded reading from ranked prices

The constructed trend filter is defined as Spearman rank correlation between a lookback window of prices and their time order. That calculation produces a bounded series used to read trend intensity.

The same series is the core of a constructed reading of trend intensity and potential turning points. Recent prices are ranked against time order, and the resulting series is later compared with its own average and with fixed bands.

Bands, average, and zero crossings

Fixed construction bands of 80 and -80 are specified as overbought and oversold thresholds on the rank-correlation series.

A three-bar simple moving average of the rank-correlation series is specified as a crossover reference in the same construction. That short simple average is not a price average here. It is an average of the rank-correlation series and serves as the crossover reference for the constructed filter.

Zero crossings of the rank-correlation series are specified as an additional construction event alongside those average crossovers.

S&P 500 daily with Spearman oscillator

Daily S&P 500 candles climb from about 1050 in early September to near 1240 in December while the Spearman oscillator in the lower pane swings between roughly −80 and +90, spending much of October–November near the high end of that range. Values were read from the plotted price scale and the Spearman Indicator pane, not from a table.
Daily S&P 500 candles climb from about 1050 in early September to near 1240 in December while the Spearman oscillator in the lower pane swings between roughly −80 and +90, spending much of October–November near the high end of that range. Values were read from the plotted price scale and the Spearman Indicator pane, not from a table.S&P 500 · Daily · 2010-09-01T00:00:00.000Z to 2010-12-10T00:00:00.000Z

Coordinate readout from a dark-theme platform screenshot; oscillator readings are approximate to about ±5 units and the last few December bars sit near 1240.

A comparison baseline, not a new method class

A relative strength index is used here as the comparison baseline. It is a bounded oscillator against which the rank-based trend-strength reading can be placed.

Platform implementations apply the same ranked-price construction as a custom study or compiled indicator rather than as a new taxonomy of methods. The construction remains a trend filter assembled from ranked prices, a short average of that series, and fixed bands.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
22 of 33 in the Trend filter track
201328-33 pp.Next on Trend filterConstructing a repeated-median slope as a resistant trend filterA trend filter withholds trades until the slope through N past prices crosses a velocity barrier, so signals stay off while prices meander without a notable trend.
All readings on this track · 33 readings
  1. 1988Opening-range brackets, a two-bar trend filter, and bounded stops
  2. 1990Bezier-curve price trend filter
  3. 1992Constructing a damping-index trend filter
  4. 1992Building a random walk index trend filter
  5. 1992Phase diagrams for moving-average trend filters
  6. 1993Volume-weighted change smoothing and trend ranking
  7. 1993Concurrent highest-low filter with a largest-low-fall trigger
  8. 1994Unit-invariant trend filters and the c-test
  9. 1995Constructing cup and cap entries with a three-bar net line
  10. 1997Why a daily timing evaluation depends on interval, lookbacks, and the fitting objective
  11. 2001A volume budget clock for trend-segment construction
  12. 2001Keep three jobs separate when you test a composite score
  13. 2002Evaluating the weekly four-percent close filter as a market-state procedure
  14. 2003Constructing a confirmed zigzag trend filter
  15. 2004Decompose high, low, and close into separate forecast streams
  16. 2005Three-state moving-average breakout bar coloring
  17. 2005Constructing a volume and move-adjusted trend filter
  18. 2005A fifty-day average breakout as a trend permission filter
  19. 2005Current-bar inclusion can mute a stochastic channel break
  20. 2006A stochastic oscillator gated by a long-term exponential average
  21. 2010A construction test for a modified volume-price trend filter
  22. 2011Constructing a Spearman rank trend filter
  23. 2013Constructing a repeated-median slope as a resistant trend filter
  24. 2014Combining a relative-strength index and trend filters for oversold setups
  25. 2014Price-rooted lookbacks for a relative strength index, a moving average, and a trend filter
  26. 2015Evaluating next-session intermarket range forecasts
  27. 2018Read the intermarket weight matrix first, then the predicted moving-average filter
  28. 2018Constructing the stiffness trend filter from moving-average holds
  29. 2018The averaging kernel and the lagged trend gate are separate specifications
  30. 2019A trend filter is not ready to compare until portfolio constraints are written down
  31. 2019Lookback, threshold, and position-capacity for a stiffness trend-filter
  32. 2020Combining a trend filter with a moving average and a stochastic oscillator
  33. 2020Constructing a relative-strength oscillator with a rank-agreement trend filter
By fieldIndicators and filters682 readingsBy year201165 readings
All 137 readings tagged Trend filter
Also on Trend filter5 readings
2013Constructing a repeated-median slope as a resistant trend filter2014Combining a relative-strength index and trend filters for oversold setups2014Price-rooted lookbacks for a relative strength index, a moving average, and a trend filter1997Why a daily timing evaluation depends on interval, lookbacks, and the fitting objective1997Rational group structure with a trend screen, RSI, and bands