[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

New version of ROC?



PureBytes Links

Trading Reference Links

Just wondering if anyone has seen this idea before:

Rate of Change and Momentum indicators have been around for years.  A 
significant problem has been their often bumpy movement due to changes 
in price N days ago rather than the change in price from yesterday to 
today.  In other words, Momentum is

PRICE today  -  PRICE N days ago

As the indicator moves forward in time, Momentum can make big moves 
that are caused by a new value for PRICE N days ago.

Most technical analysts know that a simple moving average has a time 
lag approximately equal to ½ its time length, i.e., a 12 day SMA has 
approx. 6 days time lag.  Doesn't it make sense to use the value for a 
simple moving average N/2 days ago in the Momentum formula, rather 
than the single price n days ago?

PRICE today  -  N day SMA from n/2 days ago

should partially alleviate the bumpy movement in ROC or Momentum.

Obviously, this isn't a big idea.  It's just that I've never seen it. 
 Has anyone seen or tried this version?
Just wondering.