RORO Oscillator Combines Normalized Trend and Momentum Signals

Summary

The RORO System Oscillator combines a normalized trend measure with a normalized momentum measure. Trend is the difference between an Arnaud Legoux Moving Average and a volume weighted moving average, scaled relative to the latter; momentum is a rate of change divided by the recent variability of that rate. The components receive different weights, are bounded to a fixed range, and the combined oscillator is smoothed with an Arnaud Legoux Moving Average.

The script enters long when the smoothed reading crosses above a positive threshold and closes the long when it falls below a negative threshold. Although it defines short-entry and short-exit conditions, those conditions are not used to place orders, and the calculated position size is likewise unused. It includes custom equity-based return and risk metric calculations and an adjustable date range, but the supplied excerpt ends before all metrics are shown. No reported performance results establish the strategy’s effectiveness.

Key ideas

• The oscillator blends a normalized moving-average trend spread with volatility-scaled rate of change.
• A bounded score is smoothed before threshold crossings trigger trading conditions.
• The implemented orders open and close long positions only.
• Defined short conditions and a calculated size value do not affect orders in the shown code.
• The script includes custom performance calculations but provides no results demonstrating effectiveness.

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