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2005issue C111-3

Unsigned speed gates on a fixed average-cross pair

Hold one 10-bar entry and 5-bar exit pair fixed, then treat unsigned bar speed as a separate allow-or-block switch. A speed-rise gate and a speed-fall gate can then be compared on identical exits.

  • Unsigned speed is the absolute close-to-close change on a bar, so an advance and a same-size decline share one magnitude.
  • The control crossover stack enters on 10-bar average crosses and exits on 5-bar average crosses, with no speed comparison.
  • A speed-rise gate and a speed-fall gate keep those same exits and only allow or block the 10-bar entry.
  • The comparison was framed as an incremental test of a speed condition, not as construction of a complete trading system.
Entries in this reading3 entries
Current trackRate of Change50 readingsMomentum strategy103 readingsRule-based entry174 readings

The control crossover stack

The control crossover stack enters long when the close crosses above the 10-bar average of closes and enters short when the close crosses below that average. Longs then exit under the 5-bar average, and shorts exit above the 5-bar average. This pair includes no speed comparison and is used only as the paired baseline.

Unsigned speed as a speed reading

Unsigned speed is the absolute close-to-close change on the current bar, so an advance and a same-size decline share one magnitude. Rate of change is that unsigned one-bar close displacement used as a speed reading rather than a signed oscillator. Signed momentum uses the same distance but can reverse sign when price retraces.

Two speed gates on the same exits

The momentum strategy is a long and short procedure that can accept or reject a directional cross depending on whether that speed reading is rising or falling. The speed-rise gate allows the same 10-bar crosses only when current-bar unsigned speed is greater than the prior bar's unsigned speed. The speed-fall gate allows those crosses only when current-bar unsigned speed is less than the prior bar's unsigned speed. Exits stay on the 5-bar average crosses in both cases.

Rule-based entry is the complete, testable stack: a 10-bar average cross to enter, an optional speed comparison that allows or blocks the order, and a 5-bar average cross to exit.

Net profit of a fixed 10/5 average-cross pair with unsigned speed gates

Keeping the same 10-bar entry and 5-bar exit, allowing trades only when unsigned bar speed is rising raises net profit on both the Russell 2000 and the S&P 500, while allowing them only when speed is falling turns both books into losses. Dollar totals are the Total net profit lines from the six TradeStation all-trades summaries printed with the article.
Keeping the same 10-bar entry and 5-bar exit, allowing trades only when unsigned bar speed is rising raises net profit on both the Russell 2000 and the S&P 500, while allowing them only when speed is falling turns both books into losses. Dollar totals are the Total net profit lines from the six TradeStation all-trades summaries printed with the article.RUT and SPX · Daily · 2001-01-01T00:00:00.000Z to 2005-05-31T00:00:00.000Z

Commissions and slippage were omitted. The body dates the test as 1 January–31 May 2005, but the report headers read 1 January 2001–31 May 2005.

An incremental comparison, not a complete system

The three rule sets were compared on daily Russell 2000 and S&P 500 series. The tests omitted commissions and slippage. The evaluation was framed as an incremental test of a speed condition, not as construction of a complete trading system.

Variants were ranked by profit factor and profitability. The write-up treated rising-speed confirmations as preferable to unfiltered crosses and treated falling-speed confirmations as worse on both series.

The stated test window is not consistent

Figure captions date the daily tests from 1 January 2001 through 31 May 2005, while the methods paragraph dates the same tests from 1 January through 31 May 2005. Editorial: that conflict leaves the intended sample unclear, and the omitted costs mean the ranking is not an execution-level comparison.

Other direction and speed pairings

The write-up treated rising-versus-falling speed as only one pairing and noted that other combinations of price direction and speed remain available for the same style of controlled test.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
43 of 46 in the Rate of Change track
20071-4 pp.Next on Rate of ChangeRebuilding rate of change as a path-weighted oscillatorOrdinary rate of change uses only the current bar and the bar from T periods earlier, so observations between those dates never enter the reading.
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 fieldEntry and exit rules206 readingsBy year2005104 readings
All 50 readings tagged Rate of Change
Also on Rate of Change5 readings
1995A weighted eleven-month Dow rate of change as one testable timing procedure1985Constructing 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 rates