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2014issue C0651-56

Constructing a multi-window slope divergence entry

This note records how to construct long, short, and exit signals from a vote of linear-regression slopes on a stochastic momentum series and on the close.

  • Compare linear-regression slopes of a stochastic momentum series and of the close over three lookback windows to detect disagreement in direction.
  • Issue a long only when at least two momentum slopes are negative and at least two price slopes are positive. Issue a short only when those votes reverse.
  • Close both longs and shorts when every price slope and every momentum slope is above zero, or when every one of those slopes is below zero.
  • Change sensitivity by requiring one, two, or three simultaneous window divergences, or by restricting the book to long-only. Only the sign of each slope relative to zero enters the decision.
Entries in this reading3 entries
Current trackMomentum strategy103 readingsPrice-indicator divergence142 readingsRule-based entry174 readings

A vote across three slope windows

The procedure detects disagreement between a stochastic momentum series and closing-price direction. It does this by comparing linear-regression slopes of both series over three lookback windows.

Default construction uses a 25-period stochastic. Slope windows of 5, 12, and 14 bars are applied to both the oscillator and the close.

Long, short, and exit rules

A long signal is issued only when at least two of the three momentum slopes are negative and at least two of the three price slopes are positive.

A short signal is issued only when at least two of the three momentum slopes are positive and at least two of the three price slopes are negative.

Longs and shorts are closed when every price slope and every momentum slope is above zero, or when every one of those slopes is below zero.

Default construction and platform ports

The same slope-vote rules can be rebuilt as a backtestable strategy in charting platforms. That includes single-symbol tests and multi-symbol portfolio runs.

SPY daily close during the Excel three-window slope vote

Traders should see SPY holding a grind higher, with NewBuy marks after brief pullbacks and a steep May rally that the three-window slope vote stayed with into the last bars. Daily closes were read from the Excel candlestick pane for the 44-bar window; the 17 April cursor close and the 15–16 May table rows are exact anchors from that same workbook.
Traders should see SPY holding a grind higher, with NewBuy marks after brief pullbacks and a steep May rally that the three-window slope vote stayed with into the last bars. Daily closes were read from the Excel candlestick pane for the 44-bar window; the 17 April cursor close and the 15–16 May table rows are exact anchors from that same workbook.SPY · Daily · 2013-03-15T00:00:00.000Z to 2013-05-16T00:00:00.000Z

Workbook defaults in the screenshot: fast momentum on, stochastic length 10, slope windows 5/8/13, entry after one divergence. The lower pane plots six price and momentum slopes on a shared zero line, but those traces overlap too tightly at this resolution to digitize as separate series.

How to change sensitivity

Sensitivity can be changed by requiring one, two, or three simultaneous window divergences before a trade is allowed. The book can also be restricted to long-only.

Decisions use only the sign of each slope relative to zero. Unequal numerical scales between price slopes and momentum slopes do not change the entry or exit logic.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
39 of 51 in the Momentum strategy track
201559-60 pp.Next on Momentum strategyBandedge trend filter construction with inverse crossover rulesA swing-oriented example sets bandedge to 20, and the same trend filter is also shown with bandedge 50 as an alternative lookback.
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
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