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1992issue C051

Constructing true strength from double-smoothed momentum

An editorial worksheet locks the exponential weights first, then keeps signed momentum and unsigned magnitude on parallel smoothers so a relative-strength reading and a momentum signal can be audited before either is treated as a forecast.

  • Lock the smoothing constant first. Exponential smoothing blends the newest observation with the previous average using a weight strictly between 0 and 1, often set as 2 divided by one plus the chosen lookback length.
  • Momentum and absolute momentum run on parallel tracks. The one-session net change in the close and the unsigned size of that change each receive the same 14-then-3 double smoothing.
  • The true strength index is the twice-smoothed signed series divided by the twice-smoothed absolute series, a relative strength index formed from the same momentum input.
  • The twice-smoothed signed series is also kept as a directional indicator so a momentum strategy can treat either track as a testable rule input before either reading is treated as a forecast.
Entries in this reading3 entries
Current trackMomentum strategy103 readingsExponential smoothing117 readingsRelative Strength Index186 readings

A two-track worksheet

The archive describes a historical workflow that starts from the one-session net change in the close. A companion series stores the unsigned size of that change. Both series are then passed through the same nested exponential averages.

An editorial reading treats that workflow as a two-track worksheet. Lock the exponential weights first, then keep signed momentum and unsigned magnitude on parallel smoothers so a relative-strength reading and a momentum signal can be audited before either is treated as a forecast.

Lock the exponential weights first

Exponential smoothing is an update that blends the newest observation with the previous average using a weight strictly between 0 and 1. The complementary weight is applied to yesterday's average.

That newest-observation weight is the smoothing constant. It may be set from a lookback length n as 2 divided by n plus one.

A 14-period first pass uses the weight 0.1333. A 3-period second pass uses the weight 0.50. Double smoothing is a second exponential average applied to the output of the first.

Keep signed and unsigned series in parallel

Momentum is the net one-session change in the close. Absolute momentum is the unsigned size of that one-session change.

Signed momentum is averaged first with the 14-period exponential smoother. Those averages are then averaged again with the 3-period smoother.

Absolute one-session changes receive the same 14-then-3 nested averaging. That second track forms the scale of the reading.

Two readings from the same input

The true strength index is the twice-smoothed signed series divided by the twice-smoothed absolute series. It is a relative strength index: a strength reading formed by scaling directional change against the magnitude of change over the same nested lookbacks.

The twice-smoothed signed series is also retained as a standalone directional indicator, a direction measure read on its own for a momentum signal.

A momentum strategy is a testable procedure that uses the signed-momentum track, or the finished strength ratio, as the directional input to an entry, exit, or abstention rule. An editorial stance is to keep those rules auditable as one procedure before either output is treated as a forecast.

Sample TrSI from the double-smoothed worksheet

The sidebar’s finished TrSI column starts pinned at −1.00 after the first two down days, then climbs through zero on 30 January once double-smoothed signed momentum turns positive, and settles at 0.33 on 1 February. These are the printed Column I values from the Calculating TrSI worksheet, not a redrawn curve.
The sidebar’s finished TrSI column starts pinned at −1.00 after the first two down days, then climbs through zero on 30 January once double-smoothed signed momentum turns positive, and settles at 0.33 on 1 February. These are the printed Column I values from the Calculating TrSI worksheet, not a redrawn curve.Daily · 1991-01-21T00:00:00.000Z to 1991-02-01T00:00:00.000Z

The sidebar locks the first EMA weight at 2/(14+1)=0.1333 and the second at 2/(3+1)=0.50. The 4 February row prints only cell formulas, so it is omitted.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
9 of 51 in the Momentum strategy track
19921-15 pp.Next on Momentum strategyConstructing a double-smoothed true strength indexOne-period-momentum is the signed change from the prior close to the current close, so an up-move is positive and a down-move is negative.
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 year1992115 readings
All 103 readings tagged Momentum strategy
Also on Momentum strategy5 readings
1989Equal-weight zero-cross from smoothed spreads1989Smoothed three-day futures filter for index option bounces1992Constructing a double-smoothed true strength index1993Constructing double-smoothed range and momentum oscillators1987Relative strength evaluation under competing optimization criteria