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1998issue C091-3

Daily momentum rank-churn as a portfolio-construction problem

Rotational trading of a fund family or a stock basket is framed as an alternative to buy-and-hold and to a binary in-or-out stance. Daily momentum-ranking can change rapidly when the names under review are volatile, and shortening the lookback-period is described as making that rank-churn more rapid. Raw-price rate-of-change can produce a series the researcher does not trust, while slope-of-average is smoother but still lagged.

  • Rank-rotation reorders a fixed universe by a momentum score and holds the current leaders instead of a static mix or an in-or-out switch.
  • Daily momentum-ranking of volatile funds or stocks can change rapidly, and shortening the lookback-period is described as making rank-churn more rapid.
  • Percent rate-of-change on raw prices can produce a daily ranking series the researcher does not trust.
  • Slope-of-average, using averages of 20, 30, and 40 days and a three- to five-period lookback, is smoother than raw-price rate-of-change, but moving-average lag can leave the meaning of the rank unclear.
Entries in this reading3 entries
Current trackRate of Change50 readingsRank rotation76 readingsMomentum strategy103 readings

Rotation instead of a static mix

Rank-rotation reorders a fixed universe by a momentum score and holds the current leaders instead of a static mix or a cash-or-invested switch.

Rotational trading of a fund family or a stock basket is framed as an alternative to buy-and-hold and to a binary in-or-out market stance.

Daily boards and rank-churn

A momentum-ranking is an ordered list of the same names produced by comparing each name's recent strength on a chosen lookback-period.

Daily momentum rankings of a group of funds or stocks can change rapidly when the names under review are volatile. Rank-churn is how often that ordered list changes from one ranking date to the next.

Shortening the lookback-period is described as making those rank changes more rapid.

What the ranking score is made from

Percent rate-of-change over a fixed window on raw prices is used as a ranking input and can produce a daily series the researcher does not trust.

Measuring the rate of change of moving-average slope, with averages of 20, 30, and 40 days and a three- to five-period lookback, yields a smoother ranking series than raw-price rate-of-change. That slope-of-average input still carries the inherent lag of moving averages, which can leave the meaning of the resulting rank unclear.

Lower-lag moving-average constructions were tried as another way to build the ranking score.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
31 of 46 in the Rate of Change track
19991-1 pp.Next on Rate of ChangeConstructing a lagged rate of change cycle systemThe dominant-cycle-rhythm is implemented by lagging the rate-of-change input, not by estimating a new cycle on the decision bar.
All readings on this track · 46 readings
  1. 1985Constructing excess and momentum difference-curve oscillators
  2. 1988Five reading rules for smoothed indicator charts
  3. 1989Momentum overlays that speed moving-average oscillators
  4. 1990A laboratory template that constructs Rate of Change as a pane module
  5. 1991Volume-scaled rate of change as a momentum construction
  6. 1991Three-indicator market overview from tape, sentiment and rates
  7. 1991Three-component trend model with rate-of-change filters
  8. 1992A KST oscillator from a weighted rate-of-change stack
  9. 1992Four-window weighted rate-of-change composite
  10. 1992Constructing multi-span smoothed rate-of-change filters
  11. 1992Constructing a four-horizon summed rate of change
  12. 1992Constructing KST from four weighted smoothed rates of change
  13. 1992Constructing a composite from weighted smoothed rates of change
  14. 1992Three-horizon KST maturity alignment
  15. 1992Construct a bond-led dividend-to-bond-yield regime first
  16. 1992Constructing relative-strength KST from weighted rate-of-change
  17. 1993Constructing a volume oscillator from average ratios and smoothed rate of change
  18. 1994Gold as a cycle clock for commodities and yields
  19. 1994Constructing a composite from weighted, smoothed rate-of-change windows
  20. 1994Constructing gold-mining rate-of-change tripwires for Treasury bonds
  21. 1994A capacity-stress checklist across commodities, bonds, and breadth
  22. 1994Rate of change parameters for testable entries
  23. 1994Constructing rate-of-change midpoints, lookbacks and divergence
  24. 1994Lead oscillator breaks need price trendline confirmation
  25. 1994Nested averages for an annual momentum curve
  26. 1994Evaluating a Coppock-style rate of change as a bottom-regime filter
  27. 1995A weighted eleven-month Dow rate of change as one testable timing procedure
  28. 1996Named lookbacks, thresholds, and streaks for entry rules
  29. 1997A midpoint rate-of-change test for bond trend follow-through
  30. 1997Constructing a short-rate-adjusted equity momentum filter
  31. 1998Daily momentum rank-churn as a portfolio-construction problem
  32. 1999Constructing a lagged rate of change cycle system
  33. 2000A triple delay line then a one-bar elliptic oscillator
  34. 2001Confirming rate of change divergences with price
  35. 2001Momentum trendline breaks need price confirmation
  36. 2001Market breadth, On-balance volume, and Rate of Change as a combined timing framework
  37. 2001Know Sure Thing with stacked horizons and trendline confirmation
  38. 2003Constructing a mechanical system from a rate of change condition
  39. 2003Constructing momentum from two closes and spotting divergence
  40. 2003Formula choice tilts which momentum mismatches count as divergences
  41. 2004RSI and momentum agreement as an asymmetric filter
  42. 2005Constructing price-normalized moving-slope hybrids
  43. 2005Unsigned speed gates on a fixed average-cross pair
  44. 2007Rebuilding rate of change as a path-weighted oscillator
  45. 2008Construct Special K so short-horizon signals stay inside the primary trend
  46. 2013Restore volume balance before adding another price-time indicator
By fieldPortfolio construction104 readingsBy year199853 readings
All 50 readings tagged Rate of Change
Also on Rate of Change5 readings
1985Constructing excess and momentum difference-curve oscillators1989Momentum overlays that speed moving-average oscillators1991Three-component trend model with rate-of-change filters1991Three-indicator market overview from tape, sentiment and rates1991Volume-scaled rate of change as a momentum construction