Threshold explorer

Event, module, threshold

An event is a change in the direction of price movement by no less than the threshold. A rising event runs from a low L to a high H, a falling one from H to L. The chain of events is the price history in event form. In standard terminology this is directional-change markup; see the method.

The module is the unit in which the author measures price changes. It is set in micro-percent; a micro-percent is one-thousandth of a percent. The module is chosen no smaller than the cost of a trade, such as commission and spread.

The event Threshold is set in modules. Its absolute value follows from the formula

where Price is the price of the extremum at which the event starts. Thr is therefore a share of the price, not a fixed number of points. The starting values, a module of 2 m% and a Threshold of 60 modules (0.12 %), are the settings of the author’s current research script, Vavilon (2026).

01 / How to read the chart

Each thick line joins the two extrema of a completed event, L and H. The dashed line is the current event: it runs from the last fixed extremum to the current one, drawn as an open ring.

In the author’s markup of tick data, H is taken at the ask and L at the bid. This illustration uses a single price, without a spread; the event chart shows the same markup with bid, ask and spread, drawn against event number.

The shaded band shows how far price must still move against the current extremum. When price reaches the threshold line, the current event is completed and the next one begins.

02 / Threshold and the number of events

The lower chart counts events on the whole path for every threshold from 0.03 % to 0.6 %. A smaller threshold gives many more events: the threshold sets the scale at which the history is described.

03 / Why the last event is always open

Press Replay. While price keeps rising, the highest price so far is only a candidate H. It becomes an extremum when price has fallen from it by the threshold. The square marker shows that tick for the selected event; the dotted corner joins it to the extremum it fixed.

The markup therefore lags price by one threshold. Every extremum is fixed after the fact, and the most recent event is always unfinished.

04 / Correction and strength Φ

A rising or falling event can develop with a correction: a move in the opposite direction that is smaller than the threshold. The correction of an event is its deepest such move, measured from the highest price reached so far (the lowest, in a falling event). It is measured in modules; a correction smaller than one module counts as one module.

A second, smaller threshold separates mature events, whose correction exceeds it, from immature ones. Here it is one third of the Threshold, as in the author’s script.

Strength relates the length of the event to its correction:

A rising event has positive Φ, a falling one negative. Φ is the author’s own measure; no direct counterpart has been found in the literature. Its limiting value, Babylon, depends on the settings and is the subject of the author’s current research.

05 / Implementation notes

• Markup follows the author’s script Vavilon.mq5. An extremum is fixed when the reverse move reaches Thr, computed from the price of the extremum where the event started. The first direction is set by whichever comes first: a rise of Thr from the lowest price or a fall of Thr from the highest.
• Length and correction are counted in whole modules, as in the author’s script; a correction smaller than one module counts as one module. An event is mature when its correction exceeds Threshold / 3.
• The path is a random walk with slowly changing volatility, 500 ticks, generated from the seed shown. One point is 0.00001. The same seed always gives the same path.
• The calculation runs in this page. A tool for marking up your own tick files is in preparation.

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