Quant Signals: Econophysics-based Momentum

10 ส.ค.

Physical Momentum Switcher (p0 / p1 / p2 / p3)

This indicator implements a “physical momentum” concept from quantitative finance research, where momentum is defined similarly to physics:

Momentum (p) = Mass × Velocity

Instead of using only the standard cumulative return (classic momentum), it lets you switch between multiple definitions:

• p0: Cumulative return over the lookback period (no mass, just price change).
  
• p1: Sum of (mass × velocity) over the lookback period.
  
• p2: Weighted average velocity = (Σ mass×velocity) ÷ (Σ mass).
  
• p3: Sharpe-like momentum = average velocity ÷ volatility (massless).
  

Velocity can be measured as:

• Log return: ln(Pt / Pt-1)
  
• Normal return: (Pt / Pt-1 – 1)
  

Mass (for p1/p2) can be defined as:

• Unit mass (1) — equal weighting, equivalent to traditional momentum.
  
• Turnover proxy — Volume ÷ average volume over k bars.
  
• Value turnover proxy — Dollar volume ÷ average dollar volume.
  
• Inverse volatility — 1 ÷ return volatility over a specified period.
  

Features:

1. Switchable momentum definition, velocity type, and mass type.
   
2. Adjustable lookback (k) and smoothing period for the signal line.
   
3. Optional ±1σ display bands for quick overbought/oversold visual cues.
   
4. Alerts for crosses above/below zero or the signal line.
   
5. Table display summarizing current settings and values.
   

Typical uses:

Momentum trading: Buy when PM > 0 (or crosses above the signal), sell/short when PM < 0 (or crosses below).

Contrarian strategies: Reverse the logic when testing mean-reversion effects.

Cross-asset testing: Apply to different instruments to see which PM definition works best.

11 ส.ค.

เอกสารเผยแพร่

Added histogram view