Statistical Price Movement Bands in the Kase Peak Oscillator

Summary

The Kase Peak Oscillator measures price movement over a configurable lookback period and compares current behavior with the distribution of recent values. Its calculation normalizes a range and high-low movement measure by average true range and the square root of the lookback, then smooths the result with a short weighted average. It calculates the mean and standard deviation of that oscillator series to form upper and lower thresholds.

The returned signal line selects a positive or negative threshold according to whether consecutive oscillator readings remain on the same side of zero; otherwise, it is set to zero. The document says the lookback should reflect the intended trading horizon and describes the method as adaptable across timeframes and instruments. It supplies a formula but no backtest, parameter comparison, or evidence that the thresholds predict profitable trades. The percentile-rank description is not fully reflected in the displayed calculation, so implementation details may need verification.

Key ideas

• The oscillator normalizes a price movement measure using average true range and the square root of its lookback.
• A weighted average smooths the normalized movement series.
• The method estimates the series mean and standard deviation to define positive and negative thresholds.
• The signal line uses a threshold when consecutive readings stay on one side of zero, and otherwise returns zero.
• The lookback period should be selected to match the trading horizon, while the document provides no performance evidence.

Tags

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