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MarketState

Ehlers DSP trend cycle regime ehlers dsp

Identifies trend vs cycle regimes using Correlation Cycle phase angle.

Visual Example

MarketState — 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 MarketState indicator is a technical analysis tool that identifies trend vs cycle regimes using correlation cycle phase angle.

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.

Returns 1 for uptrend, -1 for downtrend, and 0 for cycle mode. Use to switch between trend-following and mean-reversion strategies.

In 'Correlation As A Cycle Indicator' (2020), Ehlers defines a Market State variable based on the rate of change of the Correlation Cycle phase angle. When the angle changes slowly (less than 9 degrees per bar), the market is in a trend regime (positive angle for uptrend, negative for downtrend). Rapid angle changes indicate a cycle regime.

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/market_state.rs):

\[ \text{State} = \begin{cases} 1 & \text{if } |\Delta \text{Angle}| < \text{Threshold} \text{ and Angle} \geq 0 \\ -1 & \text{if } |\Delta \text{Angle}| < \text{Threshold} \text{ and Angle} < 0 \\ 0 & \text{otherwise} \end{cases} \]

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

Parameters

Parameter Default Description
period 14 Correlation wavelength
threshold 9.0 Angle rate of change threshold for trend detection

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::MARKET_STATE;
use quantwave_core::traits::Next;

let mut ind = MARKET_STATE::new(14);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import MARKET_STATE

ind = MARKET_STATE(14)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_marketstate(series: pl.Series) -> pl.Series:
    ind = qw.MARKET_STATE(14)
    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_marketstate, return_dtype=pl.Float64).alias("marketstate")
    )
    .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://www.traders.com/Documentation/FEEDbk_docs/2020/06/TradersTips.html

Implementation: quantwave-core/src/indicators/market_state.rs (MARKET_STATE / MARKET_STATE_METADATA). Parity: quantwave-core/tests/gold_standard/market_state.json

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