Momentum, Velocity and Acceleration...again.

["Gaius Marius" <magnus@xxxxxxxxxxx>]

I can't seem to drop this subject. It just intrigues me.

If we take the old physics definition of what velocity and acceleration are
and try to convert them to trading, this is what I can up with (at least
this is my interpretation of it).

The idea is to buy when velocity (or distance/momentum, take your pick) is
going up (and acceleration is >0...which means that velocity  is increasing)
and get out when velocity makes a peak (when velocity makes a peak,
acceleration is zero). And go short when velocity is going down (and
acceleration>0 .... which means that even as the prices are dropping, the
the speed of the drop is still increasing) and get out when acceleration is
zero. Please keep in mind that this was designed for the S&P futures, where
before 11/01/97, the point value of a contract is $500 (now it's $250). So
before 11/01/97, we trade 2 contracts. No guarenttees that this shit will
work in real time, just a theoritcal exercise, and an attempt to get back in
the good graces of people on the omega-list.

{System: Accelerating Velocity}
Inputs: Price(Close),R(6),S(11);
Vars: Dist(0),Velo(0),Acc(0),Ncontr(0);

Dist=Price-Price[R];
Velo=Dist/R;
Acc=(Velo-Velo[S])/S;
if date<971101 then ncontr=2 else ncontr=1;

if Velo crosses above 0 and Acc>0 then buy ncontr contracts on close;
if Acc=0 then exitlong all contracts on close;
if velo crosses below 0 and Acc>0 then sell ncontr contracts on close;
if Acc=0 then exitshort all contracts on close;
--------------------------------------------------------
{Indicator: Velocity}
Inputs: Price(Close),R(6),S(11);
Vars: Dist(0),Velo(0);

Dist=Price-Price[R];
Velo=Dist/R;

Plot1(Velo,"Velocity');
Plot2(0,"Zero");
--------------------------------------------------------
{Indicator: Acceleration}
Inputs: Price(Close),R(6),S(11);
Vars: Dist(0),Velo(0),Acc(0);

Dist=Price-Price[R];
Velo=Dist/R;
Acc=(Velo-Velo[S])/S;

Plot1(Acc,"Acceleration");
Plot2(0,"Zero");
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Shit happens. In my case, all the time.