Change-Point Detection (CUSUM)

Change-Point Detection (CUSUM) hunts for the bar where a market's statistical behavior actually changes. A modified cumulative-sum procedure (the workhorse of change-point detection in quality control) standardizes log-returns into z-scores, the same yardstick used in outlier detection, and accumulates every deviation that clears a slack filter. When the accumulated pressure crosses a statistical threshold, a new regime is confirmed at that price, no moving-average lag involved.

How to Trade the Change-Point Detection (CUSUM)?

• Green regime line: bullish regime; the line marks the price where the last change-point confirmed and serves as the structural baseline.
• Red regime line: bearish regime, the same logic mirrored.
• Pressure bands (sPos and sNeg): shaded accumulation against the current regime. Steady growth signals instability building before any flip.
• Triangle markers: pressure exceeded the threshold; the regime flips, the accumulators reset, and a new baseline prints.

Trade fresh regimes directionally, trim exposure as opposing pressure swells, or let the regime state pick between trend-following and mean-reversion playbooks. Confirmed change-points do not repaint.

Change-Point Detection (CUSUM) Settings

• Lookback Period: rolling window for the mean and standard deviation; shorter reacts faster, longer stabilizes detection.
• Threshold (h): pressure required to confirm a change-point. Higher values favor durable structural shifts, lower values catch shorter rotations.
• Slack (k): minimum deviation before anything accumulates; raising it filters sideways noise and premature triggers.
• Dashboard: enable the readout and set its position and size.

Frequently Asked Questions

Is this a trend-following or mean-reversion tool?

Why standardize returns instead of using raw price?

How can I use the Change-Point Detection (CUSUM) indicator?