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Polychromatic Momentum Combines Multiple Lookback Periods

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Summary

The document introduces Polychromatic Momentum as a way to address a weakness of momentum indicators: the lookback period that works best may change over time. A conventional momentum measure compares the current bar with a bar from a selected point in the past, using either a difference or a percentage change.

The proposed indicator forms a weighted average of multiple significant lookback periods for the traded instrument. This is intended to reduce reliance on any single period and the losses that can follow when that period stops being suitable. The document gives no formula for selecting periods or assigning weights, and it provides no testing results, performance evidence, or rules for turning the indicator into trades. It therefore presents a concept rather than a fully specified or validated strategy.

Key ideas

  • Momentum measures the change between the current bar and a past bar selected by a lookback period.
  • The most suitable lookback period can shift over time.
  • Polychromatic Momentum combines multiple significant lookback periods using a weighted average.
  • The document does not specify the weighting method or provide empirical validation.

Tags

MomentumTechnical indicators

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