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2000issue C101-4

Thrust strength figure from moving-average swings

A moving average can mark reactionary highs and lows that bound each thrust. Scoring those runs by distance and duration produces a strength figure that can be compared with fixed-period momentum.

  • Fixed-period momentum is the latest close minus the close a fixed number of sessions earlier, so a new move shorter than that window still includes earlier price change.
  • A moving average marks a reactionary high when a close falls through it and a reactionary low when a close rises through it, bounding each downthrust or upthrust.
  • A trend filter needs at least two successive downthrusts with lower highs and lower lows, or two successive upthrusts with higher highs and higher lows.
  • The strength figure is thrust distance times daily rate of change, or distance squared divided by the number of sessions, so the longer or steeper run ranks stronger.
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Current trackMomentum strategy103 readingsTrend filter137 readingsMoving average449 readings

Fixed-period momentum mixes successive moves

A conventional momentum line is the latest close minus the close a fixed number of sessions earlier, plotted against the same price series. That reading is fixed-period momentum.

In a sequence that holds at 100 for five sessions and then rises one point per session, five-session momentum reaches +5 on the tenth session and stays capped if that pace continues.

When a new directional move is shorter than the chosen momentum window, the reading also includes price change from sessions before that move began.

Reactionary highs and lows from a moving average

A moving average locates reactionary highs and lows. The highest price while above the average is marked when a close falls through it. The lowest price while below the average is marked when a close rises through it.

A downthrust is the decline from a reactionary high to the next reactionary low. An upthrust is the advance from a reactionary low to the next reactionary high.

A thrust is a directional price run that continues the prevailing trend until the opposite side recaptures control. A correction is a counter-trend run that interrupts, but does not redefine, the prevailing sequence of highs and lows.

A trend filter from successive thrusts

A trend is treated as with-trend thrusts plus opposing corrections. In a decline, only downthrust distance and slope are used to judge force.

A downtrend requires at least two successive downthrusts with lower highs and lower lows. An uptrend requires at least two successive upthrusts with higher highs and higher lows. That classification rule is the trend filter.

Scoring each isolated thrust

Two thrusts with the same slope are ranked by distance, and two thrusts with the same distance are ranked by slope, with the longer or steeper run counted as stronger.

The strength figure is defined as thrust distance times daily rate of change, which simplifies to distance squared divided by the number of sessions in the thrust.

On the illustrated dollar-yen decline, three successive downthrust strength figures were 14.6, 59.9, and 6.2, and a later smaller figure was read as weakening force rather than a continuation cue.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
28 of 51 in the Momentum strategy track
20011-6 pp.Next on Momentum strategyConstructing a non-range-bound balance of market power scoreBalance of market power measures which side can push price to an extreme and is deliberately not range-bound, so readings stay as sensitive at extremes as elsewhere.
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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