Phase Change Index for Classifying Market Regimes

Summary

The Phase Change Index (PCI) is presented as an indicator for distinguishing consolidation, uptrend, and downtrend phases. It compares price deviations with a linear path over a lookback period, then scales the positive and negative deviations into an oscillator. The supplied implementation includes configurable lookback and upper and lower thresholds, with an option to invert the display.

The indicator can also apply a Jurik-style smoothing filter, which the document says is intended to make the curve easier to read. Example defaults are shown, including a 30-period lookback and smoothing setting, with thresholds at 20 and 80. The page describes the indicator’s purpose and code but supplies no performance tests, market examples, or evidence that its phase classifications predict future returns. It should therefore be treated as a charting aid whose signals require independent validation.

Key ideas

• PCI uses price deviations from a lookback-period path to characterize market phases.
• The indicator presents an oscillator with configurable high and low thresholds.
• An optional Jurik-style filter smooths the reading for easier visual interpretation.
• The document offers implementation details but no empirical performance evidence.

Tags

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