BOCPD (Bayesian Online Change Point)
Recursive run-length posterior estimation with Poisson hazard rate for instant structural shifts.
Ensemble probability density peak centered at $42,380.50.
Model Arena Matrix Evaluation Timestamp (T) × Candidate Models
Cell badges display the model's competitive rank (#1 to #5) at each historic evaluation candle.
| Evaluation (T) | Price Ref |
Kalman Filter
Local Linear Trend ($v_t=0$)
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Markov Switching AR
Regime Prob $P(S_t=j)$
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BOCPD
Run-length Hazard Decay
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Two-Sided CUSUM
Accumulated Threshold $h$
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Online Logistic / RLS
Recursive Weights (%B, $\sigma$)
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Monitors 1st derivative of local linear state. A zero-crossing ($v_t \cdot v_{t-1} < 0$) triggers extremum flag. Zero parameter drift.
Estimates transition probability $P(S_t = \text{Bear} \mid S_{t-1} = \text{Bull})$. High state-shift entropy signals macro pivot.
Recursive update of run-length distribution $r_t$. Hazard rate collapse detects structural trend exhaustion with minimal lag.
Cumulative deviance test $S_t = \max(0, S_{t-1} + (x_t - \mu - k))$. Instant alert when $S_t > h$. Minimal overfitting risk.
Recursive Least Squares on %B, ATR, and momentum oscillators. Recursive gradient update predicts binary reversal probability.