Time Series Momentum (Momentum)
Long while the trailing 90-bar return is positive; exits when momentum turns negative.
How It Works
- Measure the trailing 90-bar return — how far price has moved over roughly the past quarter of bars.
- Stay long while that return is positive: the market is in an uptrend by the simplest possible definition.
- Exit when it turns negative, and stay out until it recovers.
Worked example. Price is 112 today versus 100 ninety bars ago — a +12% trailing return, so the strategy is long. When the measure first dips below zero, it steps aside until the trend reads positive again.
The Math Behind The Indicators
Everything runs on closing prices of the traded timeframe: P is a close, Pt today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.
- Trailing Return (Momentum)
- The percentage change of price versus N bars ago — the simplest possible measure of trend. Positive means price is higher than it was back then, negative means lower.
- \[M_N = \left(\dfrac{P_t}{P_{t-N}} - 1\right) \times 100\]
- Example: If price is 120 today and was 100 ninety bars ago, momentum is (120 / 100 − 1) × 100 = +20% — the market has trended up over the window.