ROC Relative-Momentum Reversals with Smoothing and Thresholds

Summary

This strategy turns a nine-period Rate of Change reading into a relative momentum measure by comparing it with the highest ROC over a 200-period lookback. A 10-period simple moving average smooths that measure. The rules enter long when the smoothed value has risen for three periods while below -80%, and close the long when it has fallen for three periods while above 80%. The document frames these conditions as signs that a decline or advance may be slowing.

The rationale is to reduce noise and filter weaker signals, but the document provides no performance results. Its published test covers only one week of one-minute BTC-USDT futures data, so it offers little evidence about robustness. The rules are long-only, and the relative calculation can behave unexpectedly when the lookback maximum is nonpositive or changes sharply. The text itself flags sensitivity to thresholds and smoothing settings, and suggests trend filters and stops as possible additions.

Key ideas

• The strategy divides current ROC by its highest value over a rolling historical window to estimate relative momentum.
• A moving average smooths the relative reading before signals are evaluated.
• A rising reading below the lower threshold opens a long, while a falling reading above the upper threshold closes it.
• The document identifies trend changes, threshold selection, and smoothing length as risks, but reports no trading results.

Tags

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