</> Codebase - drift

The Wasserstein Distance indicator is a tool designed to measure how the market’s price distribution changes over time. It works by comparing two sets of historical price data, one from the most recent bars and one from a prior period. The goal is to identify shifts in the underlying price structure, giving you early insight into potential changes in market behavior.

CUSUM is a sequential analysis technique that accumulates deviations from a target value over time. By comparing the cumulative sum against defined thresholds, it becomes easier to spot even subtle shifts in price behavior. In our implementation, two separate accumulators—one for upward movements (CUSUM Positive) and one for downward movements (CUSUM Negative)—signal when the change in the underlying price series becomes significant.