Wyckoff transitions

Generated. This page is rendered from indicator::wyckoff::transitions() by tests/structure_catalog_doc.rs, so it always matches the code of this version. The same table is bound to the behaviour by tests: on every test series each change of phase, bias or boundaries and each reported event belongs to one transition listed here, and every transition listed here is taken by at least one series.

The wyckoff indicator is a state machine. Its rules are written out in the module documentation of indicator::wyckoff; transitions() returns the same rules as data, one WyckoffTransition per move, so that a state diagram can be generated instead of drawn by hand. WyckoffStateMachine::last_transition() names the transition the last bar took.

States

WyckoffPhase::ALL lists them. The output value of a bar is the code of its state.

State	id()	value
no range	none	0
Phase A	a	1
Phase B	b	2
Phase C	c	3
Phase D	d	4
Phase E	e	5

A range in play has a bias: accumulation, distribution, or open for a range set by the width fallback until a Spring or UTAD decides it (WyckoffRangeBias). The bias is not a state of its own; each transition says from which biases it can be taken and which bias it leaves.

Transitions

Listed by the state they start from and, within one state, in the order the calculation tests them: of several whose condition holds on a bar, the first is taken. Events in parentheses are only reported when found.

Transition	From	To	Bias before	Bias after	Events	Condition	Parameters
none_a_selling_climax	none	a	–	accumulation	(PreliminarySupport), SellingClimax, AutomaticRally	counter_move_confirmed	range_lookback, atr_len, volume_k, climax_range_atr
none_a_buying_climax	none	a	–	distribution	(PreliminarySupply), BuyingClimax, AutomaticReaction	counter_move_confirmed	range_lookback, atr_len, volume_k, climax_range_atr
none_a_width	none	a	–	open	–	width_fallback	range_lookback, range_atr_max, atr_len
a_c_spring	a	c	accumulation, open	accumulation	Spring	boundary_swept	min_range_bars
a_c_utad	a	c	distribution, open	distribution	Utad	boundary_swept	min_range_bars
a_none_abandon	a	none	accumulation, distribution, open	–	–	closed_far_outside	abandon_atr, atr_len
a_b_secondary_test_accumulation	a	b	accumulation	accumulation	SecondaryTest	boundary_tested	st_atr, atr_len
a_b_secondary_test_distribution	a	b	distribution	distribution	SecondaryTest	boundary_tested	st_atr, atr_len
a_b_secondary_test_open	a	b	open	open	SecondaryTest	boundary_tested	st_atr, atr_len
b_c_spring	b	c	accumulation, open	accumulation	Spring	boundary_swept	min_range_bars
b_c_utad	b	c	distribution, open	distribution	Utad	boundary_swept	min_range_bars
b_none_abandon	b	none	accumulation, distribution, open	–	–	closed_far_outside	abandon_atr, atr_len
b_b_secondary_test_accumulation	b	b	accumulation	accumulation	SecondaryTest	boundary_tested	st_atr, atr_len
b_b_secondary_test_distribution	b	b	distribution	distribution	SecondaryTest	boundary_tested	st_atr, atr_len
b_b_secondary_test_open	b	b	open	open	SecondaryTest	boundary_tested	st_atr, atr_len
c_d_sign_of_strength	c	d	accumulation	accumulation	SignOfStrength	breakout_close	breakout_volume, volume_k, range_lookback
c_d_sign_of_weakness	c	d	distribution	distribution	SignOfWeakness	breakout_close	breakout_volume, volume_k, range_lookback
c_none_abandon	c	none	accumulation, distribution	–	–	closed_far_outside	abandon_atr, atr_len
d_b_failed_breakout_accumulation	d	b	accumulation	accumulation	–	closed_back_inside	–
d_b_failed_breakout_distribution	d	b	distribution	distribution	–	closed_back_inside	–
d_e_last_point_of_support	d	e	accumulation	accumulation	LastPointOfSupport	pullback_held	lps_atr, atr_len
d_e_last_point_of_supply	d	e	distribution	distribution	LastPointOfSupply	pullback_held	lps_atr, atr_len
e_b_markup_ended	e	b	accumulation	accumulation	–	closed_back_inside	–
e_b_markdown_ended	e	b	distribution	distribution	–	closed_back_inside	–
e_a_selling_climax	e	a	accumulation, distribution	accumulation	(PreliminarySupport), SellingClimax, AutomaticRally	counter_move_confirmed	range_lookback, atr_len, volume_k, climax_range_atr
e_a_buying_climax	e	a	accumulation, distribution	distribution	(PreliminarySupply), BuyingClimax, AutomaticReaction	counter_move_confirmed	range_lookback, atr_len, volume_k, climax_range_atr
e_a_width	e	a	accumulation, distribution	open	–	width_fallback	range_lookback, range_atr_max, atr_len

The condition of each transition in words (text):

Transition	Condition
none_a_selling_climax	Automatic Rally confirmed after a Selling Climax: close below the low of the bar that made the rally high, and that high above the high of the climax bar; range from the climax low to the rally high
none_a_buying_climax	Automatic Reaction confirmed after a Buying Climax: close above the high of the bar that made the reaction low, and that low below the low of the climax bar; range from the reaction low to the climax high
none_a_width	Width fallback: no climax pending and the window at most range_atr_max ATR wide; range at the window extremes, bias open
a_c_spring	Spring: low below the range low and close back above it, in a range at least min_range_bars bars old; the bar does not also sweep the range high
a_c_utad	UTAD: high above the range high and close back below it, in a range at least min_range_bars bars old; the bar does not also sweep the range low
a_none_abandon	Range abandoned: close more than abandon_atr ATR above the range high or below the range low
a_b_secondary_test_accumulation	Secondary Test: low at or above the range low and within st_atr ATR of it; in a range set by a climax, on less volume and a narrower spread than the climax bar
a_b_secondary_test_distribution	Secondary Test: high at or below the range high and within st_atr ATR of it; in a range set by a climax, on less volume and a narrower spread than the climax bar
a_b_secondary_test_open	Secondary Test of either boundary: low at or above the range low and within st_atr ATR of it, or high at or below the range high and within st_atr ATR of it
b_c_spring	Spring: low below the range low and close back above it, in a range at least min_range_bars bars old; the bar does not also sweep the range high
b_c_utad	UTAD: high above the range high and close back below it, in a range at least min_range_bars bars old; the bar does not also sweep the range low
b_none_abandon	Range abandoned: close more than abandon_atr ATR above the range high or below the range low
b_b_secondary_test_accumulation	Secondary Test: low at or above the range low and within st_atr ATR of it; in a range set by a climax, on less volume and a narrower spread than the climax bar
b_b_secondary_test_distribution	Secondary Test: high at or below the range high and within st_atr ATR of it; in a range set by a climax, on less volume and a narrower spread than the climax bar
b_b_secondary_test_open	Secondary Test of either boundary: low at or above the range low and within st_atr ATR of it, or high at or below the range high and within st_atr ATR of it
c_d_sign_of_strength	Sign of Strength: close above the range high, on outlier volume unless breakout_volume is off
c_d_sign_of_weakness	Sign of Weakness: close below the range low, on outlier volume unless breakout_volume is off
c_none_abandon	Range abandoned: close more than abandon_atr ATR above the range high or below the range low
d_b_failed_breakout_accumulation	Breakout failed: close back below the range high
d_b_failed_breakout_distribution	Breakout failed: close back above the range low
d_e_last_point_of_support	Last Point of Support: first higher close of a pullback whose low held at or above the range high minus lps_atr ATR
d_e_last_point_of_supply	Last Point of Supply: first lower close of a pullback whose high held at or below the range low plus lps_atr ATR
e_b_markup_ended	Markup ended: close back below the range high
e_b_markdown_ended	Markdown ended: close back above the range low
e_a_selling_climax	Automatic Rally confirmed after a Selling Climax: close below the low of the bar that made the rally high, and that high above the high of the climax bar; range from the climax low to the rally high
e_a_buying_climax	Automatic Reaction confirmed after a Buying Climax: close above the high of the bar that made the reaction low, and that low below the low of the climax bar; range from the reaction low to the climax high
e_a_width	Width fallback: no climax pending and the window at most range_atr_max ATR wide; range at the window extremes, bias open

One transition per bar

A bar takes at most one transition. A bar that takes none leaves phase, bias and boundaries as they were and reports no event. This is also why a bar that reports an event, changes the phase or abandons a range does not set a range on the same bar: the transitions into Phase A start from none or from e, and are tested on the next bar at the earliest.

Two waits inside a state are not transitions and are not in the table: the pending climax before counter_move_confirmed (while one is pending, the width fallback does not apply), and the pullback that runs in Phase D before pullback_held. Parameters names what the condition itself reads; the parameters of the climax bar test behind a pending climax are listed with the transitions it leads to.

Deriving a state diagram

Nodes are the states, edges the transitions, and the label of an edge its events and its condition. Filtering by bias gives one diagram per side. examples/wyckoff_state_diagram.rs, run with cargo run --example wyckoff_state_diagram:

use kestrel_chartkit::indicator::wyckoff::{
    transitions, WyckoffPhase, WyckoffRangeBias, WyckoffTransition,
};

/// The label of an edge: the events the transition reports, or the name of its condition where
/// it reports none, and the condition in words.
fn label(t: &WyckoffTransition) -> String {
    let events: Vec<String> = t
        .events
        .iter()
        .map(|kind| {
            if t.optional_events.contains(kind) {
                format!("({kind:?})")
            } else {
                format!("{kind:?}")
            }
        })
        .collect();
    let head = if events.is_empty() {
        t.condition.id().to_string()
    } else {
        events.join(" + ")
    };
    format!("{head}: {}", t.text)
}

fn main() {
    // One diagram per side. An edge belongs to a side if it starts from or leads to a range
    // with that bias; the other edges set, test or abandon a range whose bias is still open.
    for side in [
        WyckoffRangeBias::Accumulation,
        WyckoffRangeBias::Distribution,
    ] {
        println!("diagram {}", side.id());
        for phase in WyckoffPhase::ALL {
            println!("  node {}", phase.id());
        }
        for t in transitions()
            .iter()
            .filter(|t| t.bias_from.contains(&side) || t.bias_to == Some(side))
        {
            println!("  edge {} -> {} [{}]", t.from.id(), t.to.id(), label(t));
        }
    }
}