Stiffness Indicator for Measuring Trend Persistence Around a Moving Average

Summary

The Stiffness indicator estimates trend persistence by measuring how often closing prices remain beyond a moving average during a lookback window. It produces separate percentages for upward and downward conditions. A volatility buffer excludes small crossings: the described default uses a 100-day average, a 60-day measurement window, and a threshold set at 0.2 standard deviations. The method interprets fewer meaningful penetrations of the average as evidence of a steadier trend.

The document supplies an implementation and reference levels, but no empirical results establishing predictive value or future volatility reduction. Its premise is that price persistence may indicate trend strength; it does not establish that the signal forecasts returns or that the defaults suit every market or timeframe. The indicator can therefore serve as a descriptive trend filter, while thresholds and parameter choices require independent evaluation.

Key ideas

• The indicator counts closes beyond a moving average over a defined lookback window.
• It reports separate percentages for upward and downward trend conditions.
• A standard-deviation buffer filters out small movements across the average.
• The default parameters use a 100-day average and a 60-day lookback.
• The document provides no testing evidence that the indicator predicts returns or future price stability.

Tags

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