Adding JMA Smoothing to the Phase Change Index

Summary

This document describes a modified Phase Change Index (PCI) that adds Jurik Moving Average smoothing. It presents three configurations: smooth the price data before calculating PCI, smooth the calculated PCI, or apply smoothing at both stages. The change is intended to address cases where the original indicator may be insufficiently smooth.

The document compares the three modes and notes that they can produce substantially different indicator values. It recommends experimenting before using the indicator to make trading decisions, and says smoothing can be disabled by setting its period to one or less. No formula details, market examples, backtest results, or evidence of improved trading performance are provided, so the material explains configuration choices rather than establishing that any mode is superior.

Key ideas

• The modified PCI applies JMA smoothing to the input price, the calculated indicator, or both.
• The selected smoothing stage can materially change PCI values.
• The document advises testing the modes before relying on the indicator in trading decisions.
• Smoothing can be turned off by setting its period to one or less.
• No performance evidence is provided to show that smoothing improves results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.