Cauchy Derivative from Arithmetic and Geometric Price Means

Summary

The Cauchy derivative indicator tracks the change in an estimated price value from one bar to the next. For each bar, it first uses the average of open, high, low, and close as the price input, then estimates value from the difference between the arithmetic and geometric means over a configurable period.

The indicator output is the current estimate minus the previous bar’s estimate. The document describes the calculation and the period setting, but provides no trading rules, performance evidence, or guidance on selecting a period. It therefore explains how the indicator is formed without establishing whether its changes predict price movements or how it should be used in a trading system.

Key ideas

• The input price is the average of a bar’s open, high, low, and close.
• The estimated value is the difference between arithmetic and geometric means of price.
• The indicator reports the change in estimated value between adjacent bars.
• The calculation period is configurable, but no selection method is given.

Tags

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