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Cycle/Trend Analytics

Ehlers DSP cycle trend ehlers classification adaptive

A set of oscillators (Price - SMA) with lengths from 5 to 30 used to visualize cycles and trends.

Visual Example

Cycle/Trend Analytics — annotated preview mapping to core implementation

Synthetic ideal per library logic. Generated 2026-06-25 IST via docs/generate_all_previews.py (reproducible; maps to core Next<T> implementation).

Description

The Cycle/Trend Analytics indicator is a technical analysis tool that a set of oscillators (price - sma) with lengths from 5 to 30 used to visualize cycles and trends.

This indicator is primarily used for identifying key market conditions. It provides a robust signal that can be easily integrated into both simple strategies and more complex machine learning feature pipelines. Compared to its alternatives, it offers a distinct balance of responsiveness and stability.

Traders often combine this with other metrics to confirm signals and avoid false positives during sideways market regimes. It remains a standard tool for systematic trading models.

Use to classify the current market mode as trending or cycling before selecting your strategy. Apply trend-following systems in trend mode and mean-reversion systems in cycle mode.

Ehlers presents Cycle/Trend Analytics in Cycle Analytics for Traders as a framework for determining the dominant market mode. By measuring the correlation between price and the best-fit dominant cycle, the indicator classifies market behavior, enabling traders to switch between trend and cycle trading strategies dynamically.

QuantWave implements this indicator via the universal Next<T> trait, guaranteeing bit-identical results between Rust streaming, Python streaming, and Polars batch (.ta() / map_batches) surfaces.

Formula / Specification

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

\[ Osc(L) = Price - SMA(Price, L) \quad \text{for } L \in [min, max] \]

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

Parameters

Parameter Default Description
min_length 5 Minimum SMA length
max_length 30 Maximum SMA length

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::CYCLE_TREND_ANALYTICS;
use quantwave_core::traits::Next;

let mut ind = CYCLE_TREND_ANALYTICS::new(5);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import CYCLE_TREND_ANALYTICS

ind = CYCLE_TREND_ANALYTICS(5)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_cycle_trend_analytics(series: pl.Series) -> pl.Series:
    ind = qw.CYCLE_TREND_ANALYTICS(5)
    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_cycle_trend_analytics, return_dtype=pl.Float64).alias("cycle_trend_analytics")
    )
    .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’ TIPS - OCTOBER 2021.html

Implementation: quantwave-core/src/indicators/cycle_trend_analytics.rs (CYCLE_TREND_ANALYTICS / CYCLE_TREND_ANALYTICS_METADATA). Parity: quantwave-core/tests/gold_standard/cycle_trend_analytics.json

Provenance: Standards bulk upgrade 2026-06-25 IST — see docs/DOCUMENTATION_STANDARDS.md.