Linear Regression of Momentum with a Lagged Signal Line
Summary
The indicator applies linear regression to a price momentum series, then plots a lagged copy of the regression line as a signal line. The suggested entry cue is a crossover between these two lines. Its parameters control the momentum lookback, regression length, and lag; additional lagged lines can be added to smooth the signal and potentially reduce false entries.
The document provides an indicator recipe but no chart, backtest, asset, timeframe, or performance evidence. It does not specify crossover rules, trade direction, exits, or risk controls, so it is not a complete trading system. Smoothing may also delay signals, and the text offers no results to establish whether the indicator is predictive or robust across markets.
Key ideas
- The indicator applies linear regression to a rate-of-change momentum series.
- A lagged copy of the regression output acts as a signal line.
- Crossovers between the regression line and its lagged copy form the proposed signal.
- Longer or additional lags are suggested as a way to smooth signals and reduce false entries.
- No performance testing or full trade-management rules are provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.