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Continuation Index

Ehlers DSP trend momentum ehlers cycle

An oscillator that identifies trend onset and exhaustion by comparing a fast UltimateSmoother with a Generalized Laguerre filter.

Visual Example

Continuation Index — annotated preview mapping to core implementation

Synthetic ideal per library logic. Generated 2026-07-01 IST via docs/generate_all_previews.py (reproducible; maps to core Next<T> implementation).

Description

An oscillator that identifies trend onset and exhaustion by comparing a fast UltimateSmoother with a Generalized Laguerre filter.

Use to measure whether a price move is likely to continue or reverse based on cycle analysis. High index values suggest trend continuation; low values suggest an impending cycle turn.

Part of QuantWave's Ehlers digital signal processing suite. Designed for low-lag cycle and trend work — pair with Roofing Filter or SuperSmoother on noisy inputs.

The Continuation Index measures the persistence of directional price movement relative to the dominant cycle. Ehlers derives it from the cycle phase velocity — when phase advances quickly in one direction, momentum is strong and continuation is likely; slow or reversing phase suggests the move is exhausting.

Typical applications:

  • Use for cycle timing in mean-reverting regimes
  • Gate with Hurst exponent or ADX before taking cycle signals
  • Allow 0.8+ bars warm-up for filter state to stabilise
  • Chain with Roofing Filter when input is noisy

QuantWave implements this via the universal Next<T> trait — bit-identical across Rust streaming, Python streaming, and Polars .ta() batch plugins.

Formula / Specification

Implementation (quantwave-core/src/indicators/continuation_index.rs):

[ US = UltimateSmoother(Close, Length/2) ] [ LG = Laguerre(Close, \gamma, Order, Length) ] [ Variance = SMA(|US - LG|, Length) ] [ Ref = 2 \times (US - LG) / Variance ] [ CI = \tanh(Ref) ]

Gold-standard parity vectors: quantwave-core/tests/gold_standard/continuation_index.json.

Parameters

Parameter Default Description
gamma 0.8 Laguerre gamma parameter
order 8 Laguerre filter order
length 40 Base smoothing length

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::CONTINUATION_INDEX;
use quantwave_core::traits::Next;

let mut ind = CONTINUATION_INDEX::new(0.8);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import CONTINUATION_INDEX

ind = CONTINUATION_INDEX(0.8)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_continuation_index(series: pl.Series) -> pl.Series:
    ind = qw.CONTINUATION_INDEX(0.8)
    return pl.Series([ind.next(float(v)) for v in series.to_list()])

df = (
    pl.read_csv('ohlcv.csv')
    .lazy()
    .with_columns(
        pl.col("close").map_batches(apply_continuation_index, return_dtype=pl.Float64).alias("continuation_index")
    )
    .collect()
)

All surfaces are bit-identical via the single Next<T> implementation and proptests.

Edge Cases & Limitations

  • Recursive DSP filters require a warm-up period; first N bars may be unstable or raw-pass-through.
  • Designed for cyclic/mean-reverting regimes; trending markets can produce lag or drift.
  • Parameter period (or equivalent) controls cutoff — too small adds noise, too large adds lag.
  • Prefer chaining with other Ehlers tools (Roofing Filter, SuperSmoother) on noisy inputs.
  • Validated via proptests against gold-standard vectors where available.
  • No look-ahead bias; suitable for live streaming and batch feature pipelines.

Boundary Behavior

Condition Behavior
Warm-up Leading bars return NaN until warmup_bars is satisfied.
period > len When period exceeds series length, output is all NaN.
NaN inputs NaN in input propagates to output (NaN out).
Invalid params Non-positive period or missing required params raise ValueError.
Empty data Empty input returns an empty result series.

Sources & References

Primary Source: https://github.com/lavs9/quantwave/blob/main/references/traderstipsreference/TRADERS%E2%80%99%20TIPS%20-%20SEPTEMBER%202025.html

Implementation: quantwave-core/src/indicators/continuation_index.rs (CONTINUATION_INDEX / CONTINUATION_INDEX_METADATA). Parity: quantwave-core/tests/gold_standard/continuation_index.json

Provenance: Standards bulk upgrade 2026-07-01 IST — see docs/DOCUMENTATION_STANDARDS.md.