Covered intensevely by Gary Antonnacci in his paper " Absolute Momentum : A simple Rule Based Strategy and Universal Trend Following Overlay , Absolute momentum buys asset with excess return, which is calculated by taking the return of the asset for a giving period of time LESS the Treasury bill rate . The following indicator is based on the rules found in the paper. However you have the liberty to choose your time frame and symbol to calculate the excess return .
Read more about this indicator here
Cheers
Read more about this indicator here
Cheers
//@version=2
study("Absolute Momentum")
p = input(12,minval=1,title = "LookBack Period")
sym = input(title="Symbol", type=symbol, defval="SHY")
sm = input(1,minval=1,title = "Smooth Period")
rc = roc(close,p)
bil = security(sym,"M",close)
bilr = roc(bil,p)
rcdm = rc-bilr
srcdm = sma(rcdm,sm)
line = 0
plot(rcdm,color= red,title= "Absolute Momentum" )
plot(srcdm,color = blue,title="Smooth Abs Momentum")
plot(line , color = gray,title="Zero Line")
barcolor(rcdm > 0 ? lime:red)