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1993issue C011-3

Constructing double-smoothed range and momentum oscillators

The archive shows three oscillator constructions. A range-position oscillator scales a double-smoothed close-to-midpoint gap by a double-smoothed half-width. A change-ratio oscillator uses a double-smoothed one-bar close change, and a momentum envelope plots high, close, and low traces against a lagged typical-price reference.

  • A range-position oscillator is 100 times the double-smoothed gap between the close and the range midpoint, divided by the double-smoothed half-width of the same lookback range.
  • A second oscillator is 100 times the ratio of a double-smoothed one-bar close change to a double-smoothed absolute one-bar close change.
  • A signal line with a stated period range of 3 to 12 can be added to the finished range-position oscillator, and crossover guides can sit at 20 and -20.
  • A momentum envelope plots high, close, and low momentum traces on one scale against a lagged typical-price reference.
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Current trackMomentum strategy103 readingsExponential smoothing117 readingsStochastic oscillator170 readings

The archive records three oscillator constructions: a range-position oscillator, a change-ratio oscillator, and a momentum envelope.

Range-position oscillator

A range-position oscillator can be built as 100 times the double-exponentially-smoothed gap between the close and the lookback high-low midpoint, divided by the double-exponentially-smoothed half-width of that same lookback range.

The range midpoint is halfway between the highest high and lowest low over a stated lookback. The half-width is one-half of that same lookback high-minus-low span, used to scale the oscillator. Double exponential smoothing is two exponential averages applied in sequence, each with its own period.

The illustrated range-position construction uses a 13-bar high-low lookback and successive exponential smooths of 25 then 2 on both the close-to-midpoint gap and the range width.

Signal line and crossover guides

An exponential average of the finished range-position oscillator can be added as a signal line, with a stated period range of 3 to 12 and an illustrated period of 9. A signal line is a further exponential average of a finished oscillator, plotted as a comparison trace.

Horizontal guides at 20 and -20 can be placed on the range-position oscillator for crossover reading. Crossover guides are fixed horizontal levels on an oscillator pane used to mark signed threshold crossings.

Change-ratio oscillator

A second oscillator is 100 times the ratio of a double-smoothed one-bar close change to a double-smoothed absolute one-bar close change. A one-bar close change is the signed difference between the current close and the prior close.

The illustrated exponential periods for that change-ratio oscillator are 40 then 20.

Momentum envelope

A typical-price reference can be formed as the average of the current and two prior bars' typical prices, each typical price being the mean of that bar's high, low, and close.

High, close, and low momentum traces equal the current high, close, or low minus the prior bar's typical-price reference and can be overlaid on one retained scale as three separately styled series. A momentum envelope is high, close, and low momentum traces plotted together against a lagged typical-price reference.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
12 of 51 in the Momentum strategy track
19931-7 pp.Next on Momentum strategyConstructing a two-parameter relative momentum indexA relative strength index that counts up and down closes is described as comparatively insensitive to lookback period, unlike many other technical measures whose useful window is said to change from sample to sample.
All readings on this track · 51 readings
  1. 1984Half-cycle differencing for momentum signals
  2. 1987Relative strength evaluation under competing optimization criteria
  3. 1988Weekly MACD as a two-clock momentum confirmation stack
  4. 1989Equal-weight zero-cross from smoothed spreads
  5. 1989Testing relative-strength-index reversal rules against trend continuation
  6. 1989Smoothed three-day futures filter for index option bounces
  7. 1989Cycle-length windows for momentum, Relative Strength Index, and stochastic construction
  8. 1991Filtered rally magnitude as a bull-regime breakout
  9. 1992Constructing true strength from double-smoothed momentum
  10. 1992Constructing a double-smoothed true strength index
  11. 1993When momentum structure and breadth break together
  12. 1993Constructing double-smoothed range and momentum oscillators
  13. 1993Constructing a two-parameter relative momentum index
  14. 1993Building a bounded momentum oscillator with RSI smoothing
  15. 1993Two-speed oscillators with divergence and trendline gates
  16. 1993Constructing a relative momentum index from the relative strength index
  17. 1994Constructing daily advance-decline breadth tools
  18. 1994Building a composite regime score from monetary climate and weekly trend
  19. 1994Averaging Relative Strength Index and the stochastic oscillator into one reversal oscillator
  20. 1995Dividend-yield regression as a hold versus momentum gate
  21. 1996Jump and hold filters for long-term Treasury yield direction
  22. 1997Constructing extendedness from a 10 percent swing filter
  23. 1997A range-expansion oscillator that can refuse its own stretch
  24. 1997RSI trend permission and Fibonacci pullback rules
  25. 1998Nested midpoint construction for a range-normalized oscillator
  26. 1999Evaluating Relative Strength Index momentum with zero-line and threshold rules
  27. 1999Treat RSI and momentum as three mechanical procedures
  28. 2000Thrust strength figure from moving-average swings
  29. 2001Constructing a non-range-bound balance of market power score
  30. 2004Cleaned breadth oscillator and new-high divergence: a swing-market case file
  31. 2004Evaluating advance-issues-momentum on a fixed-symbol-basket
  32. 2004Constructing a trend filter from two adjacent high-low windows
  33. 2006A dollar-versus-commodity extreme as a regime case
  34. 2008Zero-centered stochastic bands and bracket stops
  35. 2012Evaluating engulfing momentum across hold windows
  36. 2012Staged stops as one mechanical entry and exit procedure
  37. 2012Stacking a relative-strength-index forecast, a trend filter, and long-only momentum
  38. 2013Constructing fair-value filters from averages and momentum
  39. 2014Constructing a multi-window slope divergence entry
  40. 2015Bandedge trend filter construction with inverse crossover rules
  41. 2017Opposite rules for index price and volatility momentum
  42. 2018A three-state overlay that colors a trend only after the line clears the bar
  43. 2018Half-cycle relative-strength index with a Fisher map for cyclic reversals
  44. 2018Emotion as a rule input when momentum breaks
  45. 2018Two-bar body expansion as a momentum breakout construction
  46. 2019Pair a two-day high breakout with a volume-weighted exit on the same chart
  47. 2020Building reflex and trendflex cross and extreme entry rules
  48. 2020Construct a dual-series price momentum oscillator overlay
  49. 2020A multi-timeframe stochastic as a panel of weekly voters
  50. 2020Centerline crossovers that compare index momentums
  51. 2020Multi-timeframe stochastic voting as one mechanical rule
By fieldIndicators and filters682 readingsBy year199376 readings
All 103 readings tagged Momentum strategy
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