Skip to content

PairsRotation

Ehlers DSP pairs-trading rotation relative-strength ehlers

Relative rotation of two securities using normalized roofing filters.

Visual Example

PairsRotation — 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 PairsRotation indicator is a technical analysis tool that relative rotation of two securities using normalized roofing filters.

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 detect and trade rotation between two correlated assets. When one asset leads and the other lags, the indicator signals a rotation trade opportunity.

Pairs Rotation analysis measures the relative cycle phase between two correlated assets. When one asset is at a cycle peak while its correlated partner is at a trough, a statistical rotation trade can be placed — long the laggard, short the leader — anticipating mean reversion of the spread.

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/pairs_rotation.rs):

[ Filt = SuperSmoother(HighPass(Price, HPLen), LPLen) ] [ MS = 0.0242 \cdot Filt^2 + 0.9758 \cdot MS_{t-1} ] [ Normalized = \frac{Filt}{\sqrt{MS}} ]

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

Parameters

Parameter Default Description
hp_len 125 HighPass filter length
lp_len 20 LowPass (SuperSmoother) length

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::PAIRS_ROTATION;
use quantwave_core::traits::Next;

let mut ind = PAIRS_ROTATION::new(125);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import PAIRS_ROTATION

ind = PAIRS_ROTATION(125)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_pairsrotation(series: pl.Series) -> pl.Series:
    ind = qw.PAIRS_ROTATION(125)
    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_pairsrotation, return_dtype=pl.Float64).alias("pairsrotation")
    )
    .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/Ehlers%20Papers/PAIRS%20ROTATION.pdf

Implementation: quantwave-core/src/indicators/pairs_rotation.rs (PAIRS_ROTATION / PAIRS_ROTATION_METADATA). Parity: quantwave-core/tests/gold_standard/pairs_rotation.json

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