Relative Moving Average Fractiles for Market Regime and Momentum Analysis

Summary

The document presents a Relative Moving Average framework that ranks the latest price within a trailing window after normalizing closes around their simple moving average. Its primary output is a fractile from zero to one, intended to make the current price's relative position comparable across instruments and volatility conditions. Related outputs include fractiles for window extremes, moving averages of quantile levels, and ratios describing how individual window landmarks compare with the average.

It also describes a regime detector that classifies return dispersion as expanding, contracting, or transitioning, and an adverse-movement monitor that tracks a median-centered fractile and the share of recent steps that rose. An indicator engine exposes these series for charting or automated systems. The accompanying source paper is described as a framework rather than a validated strategy: its results section is unfinished, and the document supplies no empirical track record. Parameters such as window length and thresholds therefore require asset-specific calibration and independent testing.

Key ideas

• The primary RMA output ranks the latest normalized return within its trailing window on a zero-to-one scale.
• Additional measures describe window extremes, smoothed quantile levels, dispersion regimes, and directional consistency.
• An indicator engine exposes its calculated series so chart tools and automated strategies can read the same values.
• The source paper does not report empirical results, so the framework should be treated as a basis for testing rather than a demonstrated edge.

Tags

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