Momentum Indicators and Their Connection to Trend Filters
Summary
This document presents two ways to understand momentum indicators. One cited paper connects time-series momentum and moving-average crossovers, arguing that they are equivalent in general form and that both fit within a wider family of linear trend filters. It also relates these filters to comparisons of past prices and past returns. The discussion offers a framework for grouping methods rather than treating each indicator as an unrelated signal.
The document also lists common technical indicators, including ADX, Aroon, CCI, MACD, ROC, RSI, stochastic oscillators, and Williams %R. It names indicators but does not explain their formulas, parameters, interpretation, or comparative performance. The list is presented as broad rather than guaranteed to be permanently exhaustive. No backtest results or evidence comparing individual indicators are provided, so readers would need further sources to assess when a particular measure is useful.
Key ideas
- Time-series momentum and moving-average crossovers can be viewed as equivalent forms of trend measurement in general settings.
- Linear filters, including Kalman and HP filters, can be related to trend-following methods.
- Momentum indicators include rate-of-change measures, oscillators, and directional movement indicators.
- The indicator list is a catalog and does not provide formulas or performance comparisons.
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Full text
# List of momentum indicators # List of momentum indicators Is there a definite list of momentum indicators? A quick search on Google did not yield much, so I thought to ask this here. ## Answer by vonjd (score 5) https://quant.stackexchange.com/a/18594 The following paper gives you a range of different indicators and methods and, even better, unifies the whole concept: Which Trend Is Your Friend? by Levine, A., Pedersen, L. Abstract > Managed-futures funds (sometimes called CTAs) trade predominantly on trends. There are several ways of identifying trends, either using heuristics or statistical measures often called “filters.” Two important statistical measures of price trends are time series momentum and moving average crossovers. We show both empirically and theoretically that these trend indicators are closely connected. In fact, they are equivalent representations in their most general forms, and they also capture many other types of filters such as the HP filter, the Kalman filter, and all other linear filters. Further, we show how trend filters can be equivalently represented as functions of past prices vs. past returns. Our results unify and broaden a range of trend-following strategies and we discuss the implications for investors. ## Answer by kris123456 (score 4) https://quant.stackexchange.com/a/18612 I think, the following list answers your question. Even though the below list is exhaustive, there might be some recent changes. Try looking for additional sources, you might find some more useful information. - ADX Average Directional Movement Index - ADXR Average Directional Movement Index Rating - APO Absolute Price Oscillator - AROON Aroon - AROONOSC Aroon Oscillator - BOP Balance Of Power - CCI Commodity Channel Index - CMO Chande Momentum Oscillator - DX Directional Movement Index - MACD Moving Average Convergence/Divergence - MACDEXT MACD with controllable MA type - MACDFIX Moving Average Convergence/Divergence Fix 12/26 - MFI Money Flow Index - MINUS_DI Minus Directional Indicator - MINUS_DM Minus Directional Movement - MOM Momentum - PLUS_DI Plus Directional Indicator - PLUS_DM Plus Directional Movement - PPO Percentage Price Oscillator - ROC Rate of change : - ROCP Rate of change Percentage: - ROCR Rate of change ratio: - ROCR100 Rate of change ratio 100 scale: - RSI Relative Strength Index - STOCH Stochastic - STOCHF Stochastic Fast - STOCHRSI Stochastic Relative Strength Index - TRIX 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA - ULTOSC Ultimate Oscillator - WILLR Williams' %R - ASI Accumulative Swing Index - ADR Advance Decline Ratio - IMI Intraday Momentum Index
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.