Robust Trend Criteria Using Abbe, Kendall, Sign, and Sorting Methods
Summary
The article surveys ways to measure trend strength and direction while addressing weaknesses in classical criteria. It modifies the Abbe approach with medians and absolute deviations to reduce sensitivity to outliers in short series, and combines dispersion or price-rate measures with Kendall’s criterion for direction. Further variants use thresholded price signs, cumulative distributions of multi-bar changes, and comparisons between sorted prices or moving averages and their original order.
The proposed indicators support example entry and exit rules, such as entering when a trend measure and direction filter agree, or exiting when directional evidence weakens. The discussion also notes that some sign and rank-based measures ignore move size, while price-distance measures can misread abrupt reversals. Examples and strategy testing are presented for EURUSD on an hourly chart over 2024, but the article does not establish that these methods generalize across markets or regimes; the author frames them as criteria to refine and adapt.
Key ideas
- The Abbe criterion compares ordinary dispersion with variation in successive changes, but squaring can make it sensitive to outliers.
- Median-based absolute deviations offer a more robust alternative for short price series.
- Kendall-style measures can provide trend direction when combined with measures of trend strength.
- Thresholded signs and sorted-price or moving-average comparisons are additional ways to classify trends.
- The proposed trading rules are examples, and their EURUSD hourly test does not establish broad generality.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.