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1992issue C021-2

Four-window weighted rate-of-change composite

A single rate-of-change window stands for one cycle length. This article shows how four lookbacks, their smoothers, their weights, and a trigger average are written down before a moving-average-crossover of the composite is treated as a signal.

  • A rate-of-change reading is formed by dividing the latest price by the price from a chosen number of periods earlier, so each lookback stands for one cycle length.
  • A different dominant cycle can produce incorrect readings, and a strong trend can produce misleading readings compared with a wide trading range.
  • The composite sums four separately smoothed rate-of-change series after weighting each series in rough proportion to its lookback and scaling by the sum of those weights.
  • A downward cross of a moving average of the composite, while the composite is at a high reading, is treated as the sell condition only after those parts are specified.
Entries in this reading3 entries
Current trackRate of Change50 readingsMoving-average crossover108 readingsMoving average449 readings

One window stands for one cycle

A rate-of-change oscillator is formed by dividing the latest period's price by the price from n periods earlier. Each lookback stands for one cycle length.

A single rate-of-change window therefore represents only one cycle length. A different dominant cycle can produce incorrect readings, and a strong trend can produce misleading readings compared with a wide trading range.

Four series and composite-weighting

The composite is built by summing four separately smoothed rate-of-change series after weighting each series in rough proportion to its lookback.

Composite-weighting multiplies each smoothed series by a coefficient that roughly tracks its lookback, then scales the sum by the total of those coefficients. A moving average is applied either to each rate-of-change series before they are combined or to the finished composite, using a stated lookback and either a simple or exponentially smoothed form.

A short-horizon example

In the short-horizon example the four lookbacks are 10, 15, 20 and 30 periods. Each series is formed by dividing current price by the price that many periods earlier.

The 10-, 15- and 20-period series are each smoothed with a 10-period simple moving average, while the 30-period series is smoothed with a 15-period simple moving average.

The four smoothed series are multiplied by 1, 2, 3 and 4 respectively, added, and divided by 10, the sum of those weights.

The crossover is specified in advance

A 15-period simple moving average of the short-horizon composite is used as a crossover line. A downward cross while the composite is at a high reading is defined as the sell condition.

That moving-average-crossover compares the composite with a moving average of itself and treats a specified cross, in a specified region of the composite, as the defined signal.

The same construction at other horizons

A horizon-set is a fixed quartet of lookbacks that rebuilds the same composite at a short, intermediate, or long sampling interval.

The same construction is restated at other horizons: 10-, 13-, 15- and 20-week lookbacks for an intermediate version, and 9-, 12-, 18- and 24-month lookbacks for a long-horizon version.

A gold-market illustration

A gold-market illustration plots short-, intermediate- and long-horizon versions of the composite, each paired with an exponentially smoothed moving average used to mark trend change.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
9 of 46 in the Rate of Change track
19921-6 pp.Next on Rate of ChangeConstructing multi-span smoothed rate-of-change filtersRate of change compares the current level with the level from a stated lookback span and plots the signed result around a zero equilibrium.
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 fieldIndicators and filters682 readingsBy year1992115 readings
All 50 readings tagged Rate of Change
Also on Rate of Change5 readings
1988Five reading rules for smoothed indicator charts1992A KST oscillator from a weighted rate-of-change stack1992Three-horizon KST maturity alignment1985Constructing excess and momentum difference-curve oscillators1989Momentum overlays that speed moving-average oscillators