PPO (Percent Price Oscillator)

The PPO measures momentum as the percentage difference between two moving averages. In Quanthop, PPO uses Laguerre filters for smoother, less noisy signals.

Declaration

function init(ctx) {
  // Standard PPO
  ctx.indicator('ppo', 'PPO', { 
    fastPeriod: 12, 
    slowPeriod: 26, 
    signalPeriod: 9 
  });
  
  // Laguerre-based PPO (smoother, used in TDR)
  ctx.indicator('ppoRisk', 'PPO', { 
    shortGamma: 0.4, 
    longGamma: 0.8, 
    accuracy: 10,
    source: 'close' 
  });
}

Options

Standard Mode

Laguerre Mode

Output

Returns a single series of values (typically -100 to +100 range):

function onBar(ctx, i) {
  const ppoValue = ctx.ind.ppo[i];
  
  // Value interpretation:
  // Positive: Price above its average (bullish momentum)
  // Negative: Price below its average (bearish momentum)
  // Extreme values: Overbought/oversold conditions
}

Use Cases

Risk Zone Detection

Define risk zones for position management:

function define(ctx) {
  ctx.param('lowRiskThreshold', { type: 'int', default: -85, min: -100, max: -50 });
  ctx.param('highRiskThreshold', { type: 'int', default: 85, min: 50, max: 100 });
}

function onBar(ctx, i) {
  const ppo = ctx.ind.ppo[i];
  
  if (ppo < ctx.p.lowRiskThreshold) {
    // LOW RISK ZONE: Good for entries
    // Market is oversold, potential reversal
  } else if (ppo > ctx.p.highRiskThreshold) {
    // HIGH RISK ZONE: Consider taking profits
    // Market is overbought, extended move
  } else {
    // NEUTRAL ZONE: Normal market conditions
  }
}

Zone Duration Trading

Track how long the market stays in a risk zone:

function init(ctx) {
  ctx.indicator('ppo', 'PPO', { shortGamma: 0.4, longGamma: 0.8, accuracy: 10 });
  ctx.state.lowRiskBars = 0;
  ctx.state.avgLowRiskLength = 0;
  ctx.state.lowRiskZoneCount = 0;
}

function onBar(ctx, i) {
  const ppo = ctx.ind.ppo[i];
  const inLowRisk = ppo < -85;
  
  if (inLowRisk) {
    ctx.state.lowRiskBars++;
    
    // Entry signal: in zone for average duration
    if (ctx.state.lowRiskBars === Math.round(ctx.state.avgLowRiskLength)) {
      ctx.order.market('ASSET', 0.1, { signal: 'lowRiskEntry' });
    }
  } else if (ctx.state.lowRiskBars > 0) {
    // Zone ended - update average
    ctx.state.lowRiskZoneCount++;
    ctx.state.avgLowRiskLength = (
      ctx.state.avgLowRiskLength * (ctx.state.lowRiskZoneCount - 1) + 
      ctx.state.lowRiskBars
    ) / ctx.state.lowRiskZoneCount;
    ctx.state.lowRiskBars = 0;
  }
}

Momentum Confirmation

Use PPO to confirm trend signals:

function onBar(ctx, i) {
  const ema = ctx.ind.ema;
  const baseline = ctx.ind.baseline_middle;
  const ppo = ctx.ind.ppo[i];
  
  // Only enter long if PPO not in high-risk zone
  if (q.crossOver(ema, baseline, i) && ppo < 70) {
    ctx.order.market('ASSET', 1, { signal: 'buy' });
  }
}

Value Ranges

Related

• Donchian Indicator - Often paired with PPO for trend + risk
• TDR Strategy - Complete example using PPO risk zones
• init() - Indicator declaration