Long-Term Volatility Weighted Momentum Indicator

27 พ.ย.

Long-Term Hold Volatility Weighted Momentum Indicator

This strategy implements a volatility-weighted momentum signal based on a CI Volatility version of the classic 12-1 momentum anomaly from academic finance.

Concept
Rather than treating all past days as equally important, a small subset of large price moves carries much more information in predicting future momentum than small, noisy day to day fluctuations.

We believe only a few specific days a year contain real predictive information:
1. Earnings announcement days
2. Fed days
3. Basically any day with unusually large stock moves
…carry far more information than the other ~230 days in the year.

How It Works
The strategy calculates daily log returns over a lookback window, skipping the most recent period to avoid short-term reversal effects. Each day's return is then weighted by an exponential function of its relative magnitude. Bigger moves have more influence on the signal.

When this weighted momentum signal crosses above zero, the strategy enters long. When it crosses below zero, it exits.

Parameters

1. Lookback: Total window for momentum calculation
   
2. Skip Latest N Days: Recent period to exclude, avoiding short-term reversal
   
3. Weight Intensity: Controls how much extra weight high-volatility days receive. Zero treats all days equally; higher values concentrate weight on the largest moves
   

Notes

1. Long-only strategy
   
2. ONLY suited for daily timeframes
   
3. Works best on momentum stocks such as TSLA or PLTR
   

This Signal Works Best on True Momentum Names
It performs best on stocks with momentum characteristics like TSLA, PLTR, NVDA, META, AMD, RDDT, etc…
These stocks exhibit exactly the behavior this signal looks for: Large information days (earnings gaps, huge macro-reaction days, explosive single-day moves)

This Signal Requires a Long-Term Mindset
If it triggers a Buy… it might not trigger a Sell for 3–15 months. The strategy is explicitly designed to capture that multi-month grind upward, not daily fluctuations.
If you’re using this signal, you must have a “holder’s mindset,” not a daytrader’s mindset.

27 พ.ย.

เอกสารเผยแพร่

Long Term Hold Volatility Weighted Momentum Signal

27 พ.ย.

เอกสารเผยแพร่

Long-Term Hold Volatility Weighted Momentum Indicator