balipour

MOM [BAPig]

Mom is a momentum indicator calculated based on the EWMA historical volatility .
It calculates the difference between the upward volatility and downward volatility .

An advanced smoothing technique is used to smooth the indicator for people who want to get rid of noises. It has error-correcting property and limits overshoot. The lag is limited while still remaining smooth. User can change the smoothness by adjusting the length in "Smooth length" setting. Untick "smooth" to have raw indicator without smooth.

Mom Smoothed VS No Smooth

A high pass filter is applied to filter out the long cycle and trend component when "Zero Mean" option is ticked on. It makes the oscillator zero mean and reduces lag. Oscillators usually stuck in overbought or oversold when the trend is too strong. High pass filter gets rid of this situation. The period in high pass filter represents the longest trend period we are interested in. It makes the oscillator has a consistent zero mean. We recommend users that use trend-following strategy, for example, buy or sell based on oscillator cross the zero line to tick "Zero Mean".

Mean of Mom when zero mean is ticked on:

Mean of Mom when zero mean is off. It has skewness in the distribution, therefore the zero-crossing strategy is not useful. (Most Oscillators has that problem, the mean is not centred at zero).

Users can adjust the length of MA to have a trigger line

A fisher transformation is applied to make the distribution of the oscillator closer to Gaussian distribution. It makes the turning points sharper and is beneficial for mean reversion strategies. Most Oscillators doesn't have a gaussian distribution, therefore the overbought and oversold level doesn't have statistical significance.

The distribution profile on Mom (distribution profile is a proprietary indicator that displays the occurrences of indicator value)

Distribution of Mom without Smooth (Even closer to Gaussian distribution)

A standard deviation band is applied to represent the confidence interval of the oscillator. It could be used as overbought and oversold levels. After the high pass filter and fisher transformation , the indicator has zero mean and approximately normal distribution. Therefore, the band has more statistical significance. Users can adjust the length of the band to have a dynamic overbought and oversold level, a longer length is recommended. The default setting of standard deviation is 1.96 which is 95% confidence interval.

Short Band Length Display


Release Notes: bug fixed
Release Notes: Fixed non zero mean value

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