Polychromatic Momentum with Double-Smoothed EMA Smoothing

Summary

Polychromatic Momentum combines momentum measurements from multiple lookback periods using a weighted average. The motivation is that a single momentum lookback may stop being suitable as market conditions change, so aggregating periods can reduce dependence on one fixed horizon. The document attributes the indicator to Denis Meyers and explains that “polychromatic” refers to combining many momentum values.

It also describes a smoothed variant that applies a double-smoothed exponential moving average (DSEMA) to the raw indicator. The stated purpose is to reduce overreaction to small changes while retaining low lag, making the series more practical to use for signals. These are qualitative claims: the document gives no weighting formula, parameter choices, comparative tests, or performance results. It does not specify entry or exit rules, asset classes, or market conditions in which the indicator works best, so the proposed smoothing and multi-period aggregation should be evaluated before use.

Key ideas

• The indicator averages momentum measurements from multiple lookback periods with weights.
• Using several periods is intended to address the changing suitability of any single momentum horizon.
• The raw indicator may overreact to small price changes and can be difficult to use directly for signals.
• The extended version applies double-smoothed EMA smoothing to make the momentum series less reactive.
• The document offers no formula details or empirical evidence for the claimed benefits.

Tags

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