Dual Momentum Signals from Lookback and Short-Term Price Changes

Summary

This strategy measures momentum by comparing a selected price series with its value a chosen number of periods earlier. It then combines that lookback momentum with either the change in momentum from the prior bar or the one-bar price change. A long signal requires positive lookback momentum and a positive confirming measure; a short signal requires both to be negative. Orders are placed as stop entries just beyond the current bar’s high or low, and the code cancels pending entries when conditions no longer hold. The selected lookback defaults to 12 periods, with a choice between raw differences and percentage changes.

The document discusses lag, missed reversals, parameter sensitivity, and potential slippage from frequent signals, but reports no results. Its prose mentions a time-window filter, while the source sets that condition to always true, so the stated date inputs do not constrain trading. The source also always assigns MOM2 as the confirming measure, despite exposing a MOM choice input. These discrepancies should be resolved before evaluating or using the strategy.

Key ideas

• Lookback momentum compares a chosen price series with its value 12 periods earlier by default.
• Entries require lookback momentum and a confirming momentum or one-bar price change to share a sign.
• The code places stop entries just beyond the current bar and cancels them when the signal condition fails.
• The date inputs do not affect trading in the shown source because its time condition is always true.
• The MOM choice input appears ineffective because the code assigns MOM2 as the confirming measure.

Tags

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