Sunday, March 2, 2014

A look at price momentum:

Price momentum indicators are usually based on a rate-of-change such as a 10-month of 10-week point or percent change - we can also use departure analysis which is the study of the relationship of two or more moving averages. On of the best studies on departure analysis is the RBC Trend & Cycle 5/15/3 histogram. It is a 5-week (or month) less a 15-week (or month) difference smoothed by 3-weeks (or 3-months). Some popular Indicators that are not momentum studies would be one simple moving average (trend following) and OBV which tracks buying or selling pressure (or money flow).  

The table below is my 10-component Global Basket sorted by a one-month change in monthly price momentum – in this example the February MOM vs. the January MOM numbers. The top positive change in price momentum is the Greenhaven Commodity (GCC) which went from a negative January # to a less negative February #. The bottom ranked negative MOM change was the iShares EWJ which went fro a positive January # to a less positive February #. Note the TREND comments and the STRATEGY comments on each of the 10-sectors and note there are only two advancing MOM sectors – not a bullish picture. This table along with the Canadian and US tables are the published in the Getting Technical market letter and are the intellectual property of Information © 2006 – 2014 Getting Technical Info Services All Rights Reserved

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