KaizenReversalIndicator

KaizenReversalIndicator detects swing reversals in real time using CUSUM (Page-Hinkley) evidence across bars, with ATR scaling, optional delta confirmation and chart alerts.

Updated: July 1, 2026

KaizenReversalIndicator detects swing reversals in real time. v1.8 uses CUSUM detection (Page-Hinkley algorithm) by default: it accumulates drift evidence over multiple bars and fires the reversal signal when the accumulated evidence exceeds a threshold. In addition, a magnitude filter (Min Signal Swing ATR) filters out micro-reversals, so the signal only fires if price has retraced substantially from the extreme.

What’s new in v1.8

• CUSUM detection as the new default (vs the old ATR heuristic).
• Magnitude filter Min Signal Swing ATR (default 2.0; on NQ M5 use 8-10 for “major swings only”).
• Dynamic AutoFilter, multi-session memory and per-instrument defaults (ES/NQ/GC), enabled by default.
• Volatility-regime multiplier (adjusts the threshold in high-vol and low-vol phases automatically).
• Calculate = OnBarClose by default: arrows and dots appear only after the bar closes (no intra-bar repainting).
• Simplified properties dialog in Basic / Advanced / Visual groups; the standard user only needs the 3 properties in “1. Filter (Basic)”.

Interpretation

• An arrow = a confirmed reversal signal; a dot = an early alert before the arrow. Aggressive traders enter on the dots; patient traders on the arrows.
• CUSUM mode (default) detects reversals earlier than the ATR heuristic via multi-bar drift evidence. The magnitude filter ensures that only substantial swings are reported.
• Use as confluence: the signal works best as confirmation of other signals (Supply/Demand zones, VWAP, Footprint imbalances). It is not designed as a sole trading trigger.
• AutoFilter calibrates the threshold per session adaptively, based on the measured reversal distribution. The multi-session memory smooths day-to-day variation.

Settings

1. Filter (Basic)

Core properties, sufficient for most users.

• Filter — manual threshold with an ATR multiplier. Default 3.87. When Auto Filter is on, this value is dynamically overridden.
• Auto Filter — enables dynamic per-session filter calibration based on the reversal distribution. On by default (v1.8).
• Min Signal Swing (ATR) — magnitude filter (CUSUM mode): the signal only fires when price has retraced ≥ N × ATR from the extreme. Default 2.0. NQ recommendation for major-swings-only: 8-10. 0 = filter off.

2. Dots (Basic)

Secondary early-alert signals.

• Dot Threshold (ATR) — threshold for the early-alert dot. Default 1.0. It must be lower than the effective arrow threshold so the dots precede the arrows.
• Dot Cooldown (bars) — minimum bars between consecutive dots. Default 3.

3. AutoFilter (Advanced)

Tuning of the adaptive filtering.

• Auto Filter Percentile — percentile of the reversal distribution for the dynamic threshold. Default 75. 50 = median (many signals); 90 = top 10% (very conservative).
• Auto Filter Min Samples — minimum samples before Auto Filter activates. Default 10 (cold-start protection).
• AutoFilter Session Memory — number of previous sessions used as a fallback pool when the current session does not have enough samples. Default 5.
• AutoFilter Floor Multiplier — lower bound for Auto Filter (multiple of the Dot Threshold). Default 1.5.
• Use Instrument Defaults — loads instrument-specific filter defaults (ES=3.87, NQ=3.50, GC=4.00, CL=4.20, etc.) based on the MasterInstrument. On by default.
• ATR Period — lookback for the ATR calculation. Default 14. Rarely changed.

4. Volatility Regime (Advanced)

Adaptation to current volatility.

• Regime Multiplier Enabled — enables volatility-regime detection. On by default.
• Regime ATR Session Period — lookback (sessions) for the median-ATR calculation. Default 20.
• High-Vol Threshold (ratio) — current ATR / median ATR > X = high-vol. Default 1.20.
• Low-Vol Threshold (ratio) — current ATR / median ATR < X = low-vol. Default 0.80.
• High-Vol Multiplier — threshold multiplier in high-vol phases. Default 1.15 (more conservative = fewer signals).
• Low-Vol Multiplier — threshold multiplier in low-vol phases. Default 0.85 (more sensitive = more signals).

5. Detection Mode (Advanced)

Algorithm choice.

• Detection Mode — CUSUM (default) = multi-bar drift accumulation (Page-Hinkley). ATRSimple = the classic single-bar heuristic from v1.7 (for users who prefer the old behavior).
• CUSUM K (slack) — slack parameter. Lower = more accumulation per bar. Default 0.05.
• CUSUM H (threshold) — alarm threshold for the accumulated drift. Default 2.0. Higher = fewer signals, more lag.

6. Delta Filter (Advanced)

Optional CVD confirmation.

• Use Delta Filter — requires CVD rotation in the direction of the reversal before signaling. Off by default. Needs Calculate OnEachTick mode plus tick data (bid/ask).
• Delta Lookback — bars checked for CVD rotation. Default 5. Higher = slower rotation requirement.

7. Visual

• Buy / Sell Color — arrow and dot colors. Default light blue / orange.
• Arrow Size — size of the arrow triangle in px. Default 12.
• Dot Size — size of the dot circle in px. Default 6 (subtle; the dots are early alerts).
• Signal Offset — vertical offset in pixels from the signal price (prevents overlap with the wicks). Default 8.