Absolute Momentum Indicator

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Covered intensevely by Gary Antonnacci in his paper " Absolute Momentum : A simple Rule Based Strategy and Universal Trend Following Overlay , Absolute momentum buys asset with excess return, which is calculated by taking the return of the asset for a giving period of time LESS the Treasury bill rate . The following indicator is based on the rules found in the paper. However you have the liberty to choose your time frame and symbol to calculate the excess return .

Read more about this indicator here

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study("Absolute Momentum")

p = input(12,minval=1,title = "LookBack Period")
sym = input(title="Symbol", type=symbol, defval="SHY")
sm = input(1,minval=1,title = "Smooth Period")

rc = roc(close,p)

bil = security(sym,"M",close)
bilr = roc(bil,p)

rcdm = rc-bilr
srcdm = sma(rcdm,sm)

line = 0 

plot(rcdm,color= red,title= "Absolute Momentum" )
plot(srcdm,color = blue,title="Smooth Abs Momentum")
plot(line , color = gray,title="Zero Line")

barcolor(rcdm > 0 ? lime:red)
Thanks for this :)
Thanks for the great indicator. Is it possible to have an option to auto use Symbol it is currently added too?
Hi, How do you add this indicator too the charts so that the bars change colour as per above?
Click the share button, located on the left corner of the chart , below the thumb up. This will open a separate window for you
AtifQ Algokid
Great, thank you. I wasn't aware of the options within the share button. Do you use this for long term trend trading?
Personally, yes . I use it on a monthly chart with different ETFs, and check at the end of month to see which asset still have positive momentum. But since we TradingView has a large community of traders and investors with different way to trade, I didn't want to limit the indicator to monthly only.

+2 Reply
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