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Miha Kralj
115 lines
5.5 KiB
Markdown
115 lines
5.5 KiB
Markdown
# QSTICK: Qstick Indicator
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> *The average candlestick body reveals the market's true conviction.*
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| Property | Value |
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| ---------------- | -------------------------------- |
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| **Category** | Dynamic |
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| **Inputs** | OHLCV bar (TBar) |
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| **Parameters** | `period` (default DefaultPeriod), `useEma` (default DefaultUseEma) |
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| **Outputs** | Single series (QSTICK) |
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| **Output range** | Varies (see docs) |
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| **Warmup** | `period` bars |
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| **PineScript** | [qstick.pine](qstick.pine) |
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- The Qstick indicator, developed by Tushar Chande, computes a moving average of the close-minus-open difference over a lookback period, quantifying ...
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- **Similar:** [CMO](../../momentum/cmo/Cmo.md), [Impulse](../impulse/Impulse.md) | **Complementary:** Volume for confirmation | **Trading note:** Qstick averages (Close−Open); positive = buying pressure, negative = selling pressure.
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- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
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The Qstick indicator, developed by Tushar Chande, computes a moving average of the close-minus-open difference over a lookback period, quantifying whether bars are predominantly bullish or bearish. Positive values indicate closes above opens (buying pressure); negative values indicate closes below opens (selling pressure). It supports both SMA (O(N) space via ring buffer) and EMA (O(1) space) smoothing modes and requires TBar input for open/close access.
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## Historical Context
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Tushar Chande introduced Qstick as part of his candlestick quantification work in *The New Technical Trader* (1994, co-authored with Stanley Kroll). Traditional candlestick analysis relies on visual pattern recognition; Qstick reduces bar body direction and magnitude to a single continuous number suitable for systematic tracking. The indicator addresses a specific gap: close-to-close momentum indicators miss intrabar dynamics captured by the open-to-close differential. The name "Qstick" reflects the "quick stick" reading of candlestick conviction.
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## Architecture & Physics
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### 1. Body Difference
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$$d_t = \text{Close}_t - \text{Open}_t$$
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Positive $d_t$ represents a bullish bar (close above open), negative represents bearish, zero represents a doji.
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### 2. Moving Average Smoothing
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**SMA mode:** Maintains a ring buffer of $N$ differences and a running sum for O(1) incremental updates:
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$$\text{Qstick}_t = \frac{1}{N} \sum_{i=0}^{N-1} d_{t-i}$$
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**EMA mode:** Standard recursive filter with decay $\alpha = 2/(N+1)$:
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$$\text{Qstick}_t = \alpha \cdot d_t + (1 - \alpha) \cdot \text{Qstick}_{t-1}$$
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EMA mode uses O(1) space but weights recent bars more heavily than SMA.
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### 3. Complexity
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| Metric | SMA Mode | EMA Mode |
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|:-------|:---------|:---------|
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| Time | O(1) per bar | O(1) per bar |
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| Space | O(N) ring buffer | O(1) |
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| Ops | 1 add, 1 sub, 1 div | 1 sub, 1 mul, 1 FMA |
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## Mathematical Foundation
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### Parameters
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| Parameter | Type | Default | Constraint | Description |
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|:----------|:-----|:--------|:-----------|:------------|
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| period | int | 14 | > 0 | Lookback period for moving average |
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| useEma | bool | false | — | Use EMA (true) or SMA (false) |
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### Zero-Crossing Interpretation
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| Condition | Meaning |
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|:----------|:--------|
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| Qstick > 0 | Closes above opens dominate (net buying pressure) |
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| Qstick < 0 | Closes below opens dominate (net selling pressure) |
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| Qstick crosses zero | Shift in intrabar momentum direction |
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| Qstick rising | Increasing bullish pressure regardless of sign |
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| Qstick falling | Increasing bearish pressure regardless of sign |
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### Scale Dependence
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Qstick values are in absolute price units, not normalized. Cross-instrument comparison requires normalization (e.g., divide by ATR or price level). Short periods (5-8) suit trading signals; longer periods (20+) suit trend identification.
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## Performance Profile
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### Operation Count (Streaming Mode)
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QStick is an SMA (or EMA) of (Close − Open), tracking average body momentum over N bars.
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**Post-warmup steady state (per bar):**
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| Operation | Count | Cost (cycles) | Subtotal |
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| :--- | :---: | :---: | :---: |
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| SUB (Close − Open) | 1 | 1 | 1 |
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| RingBuffer ADD + oldest SUB (running sum) | 2 | 1 | 2 |
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| MUL × 1/N (average) | 1 | 3 | 3 |
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| **Total** | **4** | — | **~6 cycles** |
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One of the fastest dynamics indicators: a single subtraction plus an O(1) running sum. ~6 cycles per bar.
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### Batch Mode (SIMD Analysis)
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| Operation | Vectorizable? | Notes |
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| :--- | :---: | :--- |
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| Close − Open differences | Yes | VSUBPD — fully independent |
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| Prefix sum | Partial | Sum scan; SIMD prefix-sum pattern |
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| Windowed average | Yes | VSUBPD on prefix + VMULPD (×1/N) |
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Fully SIMD-vectorizable in batch mode. AVX2 achieves ~4× throughput on large arrays.
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### Quality Metrics
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| Metric | Score | Notes |
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| :--- | :---: | :--- |
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| **Accuracy** | 10/10 | Exact arithmetic; trivial SMA of differences |
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| **Timeliness** | 8/10 | SMA period only; no secondary smoothing lag |
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| **Smoothness** | 7/10 | N-period averaging removes single-bar outliers |
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| **Noise Rejection** | 6/10 | No adaptive bandwidth; outlier body candles shift the average |
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## Resources
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- Chande, T. S. & Kroll, S. (1994). *The New Technical Trader*. John Wiley and Sons.
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- Kirkpatrick, C. D. & Dahlquist, J. R. (2015). *Technical Analysis: The Complete Resource for Financial Market Technicians*. FT Press. |