Calibration
RollingCaliper.
Match the measurement to the data.
Scan chart intervals, compare their shape and variation, and fit indicators and parameters to the observed conditions. As the observation window moves, reassess whether the measurement remains appropriate for the current conditions.
The calipers follow a moving window and measure its width, value range, and depth. The three-dimensional flow is an illustration; depth is not assigned to a particular market variable.
Range & depthMethod
Does the same setting fit every interval?
Even the same Item changes over time in the speed and direction of its movement, the extent of its fluctuations, and the nature of its trading activity. Keeping settings unchanged does not mean the conditions in which they apply are unchanged. A measurement that suited the past needs to be reassessed against the movement observed now.
Rolling Caliper moves the observation window along the chart, examining both the shape of movement and the conditions in which it occurs. It compares what needs to be measured now and which indicators and parameters are suited to capturing those characteristics. “Rolling” means following the relationship between the subject and its measurement criteria through time.
Retaining existing measurement criteria and adjusting them are both outcomes of this assessment. We also distinguish fit to the observed interval from the ability to predict subsequent movement.
Chart scan
Move the observation window along the chart and examine the shape and variation of movement, together with the conditions in which it occurs.
Fit indicators
Identify what needs to be measured in the current movement and compare indicators suited to that purpose.
Fit parameters
Even the same indicator captures different characteristics as settings such as period and sensitivity change. Assess parameter suitability against the observed conditions.
In practice
When volatility changes: an example
Do settings that suited past conditions still suit the movement observed now?
A change in volatility is one reason to reassess measurement criteria. The comparison period and observation window shape the context in which current variation is interpreted. Even with a similar range of movement, the characteristics worth examining may differ depending on whether trading volume accompanies it and on the prevailing market regime.
Within these conditions, Rolling Caliper compares whether existing indicators and settings still capture the characteristics that matter. As the observation window moves, it continues that assessment using the newly observed movement.
Data & refinement
Improved through observation.
We build a record of the conditions at the time of observation, the indicators and settings used, and their measurement results. By comparing these records, we examine which measurements were useful under which conditions and refine the algorithms used to assess indicator and parameter suitability.