Andreas F. Clenow's book "Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategy" uses an volatility adjusted momentum indicator to rank stocks in his systems. I'd like to request an indicator block for this momentum indicator.
Momentum is calculated by multiplying the annualized exponential regression slope of the past 90 days by the R2 coefficient of the regression calculation.
Thanks for being so responsive to my other requests.
Momentum is calculated by multiplying the annualized exponential regression slope of the past 90 days by the R2 coefficient of the regression calculation.
Thanks for being so responsive to my other requests.
Rename
If Volatility Adjusted Momentum is just Momentum divided by ATR, you can use MathIndOpInd like this to get that indicator -
QUOTE:
Momentum is calculated by multiplying the annualized exponential regression slope of the past 90 days by the R2 coefficient of the regression calculation.
And I wonder where is this adjusting for volatility?
Sorry about that, I missed that part. Good thing I said, "if" ;)
But my point is that your solution so far makes more sense than that of the book's.
Here's an application of Clenow's system using "Volatility Adjusted Momentum".
https://github.com/teddykoker/blog/blob/master/_notebooks/2019-05-19-momentum-strategy-from-stocks-on-the-move-in-python.ipynb
https://github.com/teddykoker/blog/blob/master/_notebooks/2019-05-19-momentum-strategy-from-stocks-on-the-move-in-python.ipynb
Here's another open source implementation of Clenow's use of "Volatility Adjusted Momentum" as a ranking tool in a multiple stock system based on Clenow's work.
https://github.com/fbertram/TuringTrader/blob/develop/BooksAndPubs/Clenow_StocksOnTheMove.cs
Source: https://www.turingtrader.com/articles/improving-momentum-strategies/
https://github.com/fbertram/TuringTrader/blob/develop/BooksAndPubs/Clenow_StocksOnTheMove.cs
Source: https://www.turingtrader.com/articles/improving-momentum-strategies/
How do I get "Volatility Adjusted Momentum" onto the "wish list"?
Thanks
Thanks
It’s there now.
Another application article on Cleanow's "Volatility Adjusted Momentum" used as a ranking tool.
https://chrischow.github.io/dataandstuff/2018-11-10-how-not-to-invest-clenow-momentum/
https://chrischow.github.io/dataandstuff/2018-11-10-how-not-to-invest-clenow-momentum/
Activated for PowerPack B21. Indicator will be called ClenowMomentum, coded after the original formula from the book:
http:// www.followingthetrend.com/stocks-on-the-move-figures-and-charts/#prettyPhoto[gallery]/15/
http:// www.followingthetrend.com/stocks-on-the-move-figures-and-charts/#prettyPhoto[gallery]/15/
Thanks Eugene.
Appreciate your help.
Appreciate your help.
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