A Weighted Momentum Index Combining Z-Scores, EMAs, and Stability Measures

Summary

This crypto strategy combines four components into a weighted outlook index: a price Z-score relative to a moving average, a nonlinear oscillator derived from that Z-score, the log ratio of fast and slow EMAs, and a smoothed stability measure based on the oscillator and EMA component. Its listed defaults use a 50-period SMA, 20- and 50-period EMAs, and adjustable component weights. The index is intended to produce bullish and bearish signals when it moves beyond threshold levels, with a neutral level used for directional context. The document describes the framework and its proposed rationale, but supplies no performance results or analysis validating the claimed benefits. The code enters long above the bullish threshold and short below the bearish threshold; its exits use the current low or high as stop levels when the index crosses the neutral level. Risks noted include lag from combining indicators, overfitting, excessive signals in volatile conditions, and misleading readings in ranges. The suggested refinements include adaptive weights, volatility and time filters, sentiment confirmation, and dynamic stops.

Key ideas

• The index combines a price Z-score, a nonlinear oscillator, an EMA momentum ratio, and a smoothed stability measure.
• Adjustable weights combine the components into a single outlook signal.
• The code enters long above its bullish threshold and short below its bearish threshold.
• The described exit logic uses the current bar's low or high as stop levels around the neutral threshold.
• No performance evidence is provided, and the document identifies overfitting and noisy signals as risks.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.