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Letting \\(\\mathbf{X}_1,\\ldots,\\mathbf{X}_n\\) be \\(d\\)-dimensional data, which may be weakly dependent, with \\(\\mathbf{X}_i=(X_{i,1},\\ldots,X_{i,d})\\), the authors propose a tail-adaptive strategy to detect a single change point in \\(E(\\mathbf{X}_i)\\) based on statistics of the form  \\[  \\frac{1}{n^{3/2}}\\sum_{i=1}^{\\lfloor nt\\rfloor}\\sum_{j=\\lfloor nt\\rfloor +1}^n\\text{sgn}(X_{j,k}-X_{i,k})|X_{j,k}-X_{i,k}|^r\\,,  \\]  where the choice of \\(r\\) is governed by the tails of the data. The proposed test avoids the explicit estimation of the long-run covariance matrix using a bootstrap procedure. The limiting distribution of the test statistic under the null hypothesis that \\(E(\\mathbf{X}_1)=\\cdots=E(\\mathbf{X}_n)\\) is calculated in terms of a \\(d\\)-dimensional Brownian bridge, under certain assumptions on the structure of the data. A tail-adaptive approach, considering a range of values of \\(r\\) simultaneously, is justified, which overcomes the need to know the tails of the data.  The paper concludes with some numerical work, including a simulation study and an application to S\\&P 500 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