1994issue C111
Nested averages for an annual momentum curve
The historical workflow first averages the close over a 22-session trading month, forms a yearly percentage gap against a 250-session lag, and then summarizes those gaps with a 150-period declining-weight average. The nested stages replace a pair of 11-month and 14-month lags.
- The current close is first smoothed with a 22-day average, treated as one trading month, before any yearly comparison.
- The year-ago reference is the same 22-day average taken 250 trading days earlier, treated as one trading year.
- Rate of change is that current average divided by the year-ago average, minus one, computed across the available series.
- A 150-period exponential average then places declining weight on older percentage changes to form a grand weighted total.
A three-stage yearly comparison
The historical construction builds a yearly comparison from nested averages rather than from a pair of separate monthly lags. A moving average of ordered closes is used as a short-window smoother before a yearly comparison. A rate of change then records the relative difference between the current smoothed value and a value from a fixed lookback, expressed as a fraction of the earlier value. Exponential smoothing finishes the work as a declining-weight average of those annual percentage changes.
The construction replaces a pair of 11-month and 14-month lags with a single annual lagged percentage change of the index.
A trading-month window on both ends of the lag
The current close is first smoothed with a 22-day average, described as one trading month. That 22-session lookback is treated as one month of trading observations.
The year-ago reference is a 22-day average of the close taken 250 trading days earlier, described as one trading year. That 250-session displacement is treated as one year of trading observations.
The interior average is applied so the index series is smoothed to reduce noise before the annual or seasonal difference is formed.
The yearly percentage gap
The rate-of-change step is the current 22-day average divided by the year-ago 22-day average, minus one, computed across the available series.
A grand weighted total of the gaps
Those percentage changes are then summarized with a 150-period exponential average that places declining weight on older observations.
The outer exponential average is used to place the annual difference into a declining-weight average that corresponds to a grand weighted total. That total is a single declining-weight summary of many lagged percentage changes rather than a pair of separate monthly lags.
All readings on this track · 46 readings
- 1985Constructing excess and momentum difference-curve oscillators
- 1988Five reading rules for smoothed indicator charts
- 1989Momentum overlays that speed moving-average oscillators
- 1990A laboratory template that constructs Rate of Change as a pane module
- 1991Volume-scaled rate of change as a momentum construction
- 1991Three-indicator market overview from tape, sentiment and rates
- 1991Three-component trend model with rate-of-change filters
- 1992A KST oscillator from a weighted rate-of-change stack
- 1992Four-window weighted rate-of-change composite
- 1992Constructing multi-span smoothed rate-of-change filters
- 1992Constructing a four-horizon summed rate of change
- 1992Constructing KST from four weighted smoothed rates of change
- 1992Constructing a composite from weighted smoothed rates of change
- 1992Three-horizon KST maturity alignment
- 1992Construct a bond-led dividend-to-bond-yield regime first
- 1992Constructing relative-strength KST from weighted rate-of-change
- 1993Constructing a volume oscillator from average ratios and smoothed rate of change
- 1994Gold as a cycle clock for commodities and yields
- 1994Constructing a composite from weighted, smoothed rate-of-change windows
- 1994Constructing gold-mining rate-of-change tripwires for Treasury bonds
- 1994A capacity-stress checklist across commodities, bonds, and breadth
- 1994Rate of change parameters for testable entries
- 1994Constructing rate-of-change midpoints, lookbacks and divergence
- 1994Lead oscillator breaks need price trendline confirmation
- 1994Nested averages for an annual momentum curve
- 1994Evaluating a Coppock-style rate of change as a bottom-regime filter
- 1995A weighted eleven-month Dow rate of change as one testable timing procedure
- 1996Named lookbacks, thresholds, and streaks for entry rules
- 1997A midpoint rate-of-change test for bond trend follow-through
- 1997Constructing a short-rate-adjusted equity momentum filter
- 1998Daily momentum rank-churn as a portfolio-construction problem
- 1999Constructing a lagged rate of change cycle system
- 2000A triple delay line then a one-bar elliptic oscillator
- 2001Confirming rate of change divergences with price
- 2001Momentum trendline breaks need price confirmation
- 2001Market breadth, On-balance volume, and Rate of Change as a combined timing framework
- 2001Know Sure Thing with stacked horizons and trendline confirmation
- 2003Constructing a mechanical system from a rate of change condition
- 2003Constructing momentum from two closes and spotting divergence
- 2003Formula choice tilts which momentum mismatches count as divergences
- 2004RSI and momentum agreement as an asymmetric filter
- 2005Constructing price-normalized moving-slope hybrids
- 2005Unsigned speed gates on a fixed average-cross pair
- 2007Rebuilding rate of change as a path-weighted oscillator
- 2008Construct Special K so short-horizon signals stay inside the primary trend
- 2013Restore volume balance before adding another price-time indicator