CUSUM Trend Detection with HMA Residuals and Adaptive Bands

Summary

This document presents a regime indicator that applies cumulative sum (CUSUM) change detection to deviations of price from a Hull moving average. Separate bullish and bearish accumulators build when residuals persist in one direction, while a drift term filters small moves and a volatility-scaled threshold triggers regime changes. The charting framework includes adaptive bands, transition arrows, and a trailing stop placed at the band that would invalidate the current regime. The article also gives fast, balanced, and slow parameter presets and implementation guidance for ProBuilder, including warm-up handling, state persistence, accumulator resets, and protection against zero variability.

Suggested uses include filtering entries by regime, managing exits, and checking whether breakouts have persistent confirmation. The document explains the indicator’s mechanics but presents no backtest, trading results, or comparison with alternatives. Its claims about statistical detection should not be treated as evidence that the indicator is profitable; users would need to validate definitions, parameters, and behavior on their own markets and timeframes.

Key ideas

• CUSUM accumulators track persistent positive or negative price deviations from an HMA baseline.
• A drift allowance filters small residuals, while a threshold scaled by residual volatility triggers regime changes.
• Adaptive bands act as regime boundaries and provide the described trailing-stop levels.
• The implementation notes address warm-up, persistent state, trigger resets, and zero-volatility handling.
• The article describes possible uses but provides no trading-performance evidence.

Tags

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