CUSUM Trend Detection with HMA Residuals and Adaptive Bands

Summary

This document explains a trend-regime indicator that applies a one-sided cumulative sum test to price deviations from a Hull moving average. Separate accumulators track persistent positive and negative residuals; a drift allowance suppresses small fluctuations, while a threshold scaled to residual variability triggers bullish or bearish regimes. The indicator also plots adaptive bands, transition arrows, and a stop level at the band opposite the active regime. A neutral state is used before confirmation or after invalidation.

The article describes fast, balanced, and slow parameter presets and gives ProBuilder implementation notes on initialization, warm-up, preserving regime state, resetting accumulators, and handling zero residual volatility. It frames the tool as a regime filter, stop reference, and breakout confirmation aid. These are design explanations, not evidence of trading performance: no backtest results or comparison with alternative indicators are supplied, and the presented signals are confirmed after a move rather than predictive.

Key ideas

• The indicator accumulates price residuals from a Hull moving average to detect persistent shifts.
• A drift term filters small deviations, and a variability-scaled threshold determines when a regime changes.
• Adaptive bands define a trailing stop and help mark regime invalidation.
• Warm-up and explicit state carry-over are important to the described ProBuilder implementation.
• The document provides no backtest evidence and says signals confirm rather than anticipate regime changes.

Tags

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