Trend Continuation Signals from Positive and Negative Momentum Sums

Summary

This trend-following method compares rolling sums derived from positive and negative close-to-close price changes. It classifies each change by direction, updates cumulative positive and negative movement measures, and takes a long or short position according to which resulting sum is larger. A reverse setting can invert the direction. The document gives a default lookback length of 35 and cites BTC_USDT futures settings over a date range, but reports no performance or validation results.

The approach aims to summarize directional pressure and reduce noise, though its effectiveness depends on the calculation window and market conditions. The source uses prior cumulative values in the intermediate calculations, making the behavior more involved than a simple sum of up and down returns. The text cautions that signals may be unreliable near reversals and frequent in choppy markets. It recommends parameter testing, additional filters, and stop-loss controls without demonstrating that these changes improve outcomes.

Key ideas

• The strategy compares rolling measures of positive and negative close-to-close changes to choose a position direction.
• A configurable length controls the calculation window, and a reverse option flips long and short signals.
• The source uses cumulative prior values when calculating its positive and negative measures.
• The document warns of false signals near turning points and frequent trading in sideways conditions.
• It lists a default length and backtest settings but provides no performance statistics.

Tags

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