Using Rolling Price Quantiles to Classify Trend and Range Conditions

Summary

This indicator classifies market conditions by comparing the current close with two rolling quantile levels computed from recent closing prices. Its default lookback is 30 periods, with an upper reference at the 60th quantile and a lower reference at the 40th. If both differences are positive, the method labels the market as an uptrend; if both are negative, it labels a downtrend; mixed signs indicate a range. The readings are displayed as histograms around zero, with separate colors for each state.

An optional high-low mode substitutes the current high and low for the close in the comparisons. The description says this setting filters out more ranging bars, while introducing additional lag. It gives no test results, asset or timeframe guidance, or rules for entries, exits, and risk controls. The quantile states should therefore be treated as a market-regime indicator whose usefulness would need to be evaluated on the intended instrument and data frequency.

Key ideas

• The indicator compares current prices with rolling upper and lower quantiles of recent closes.
• Positive readings against both levels indicate an uptrend, while two negative readings indicate a downtrend.
• Mixed signs classify the market as ranging.
• A high-low input mode is described as filtering more range bars at the cost of greater lag.
• The description provides no performance tests or complete trading rules.

Tags

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