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已更新 Long-Term Volatility Weighted Momentum Indicator
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
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.
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
- Lookback: Total window for momentum calculation
- Skip Latest N Days: Recent period to exclude, avoiding short-term reversal
- Weight Intensity: Controls how much extra weight high-volatility days receive. Zero treats all days equally; higher values concentrate weight on the largest moves
- Long-only strategy
- ONLY suited for daily timeframes
- 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.
發行說明
Long Term Hold Volatility Weighted Momentum Signal發行說明
Long-Term Hold Volatility Weighted Momentum Indicator僅限邀請腳本
僅作者批准的使用者才能訪問此腳本。您需要申請並獲得使用許可，通常需在付款後才能取得。更多詳情，請依照作者以下的指示操作，或直接聯絡CIVolatility。
請注意，此私人、僅限受邀使用者使用的腳本未經腳本審核員審核，其是否符合社群規範尚待確定。 TradingView不建議在未完全信任作者並了解其運作方式的情況下購買或使用腳本。您也可以在我們的社群腳本中找到免費的開源替代方案。
作者的說明
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
僅限邀請腳本
僅作者批准的使用者才能訪問此腳本。您需要申請並獲得使用許可，通常需在付款後才能取得。更多詳情，請依照作者以下的指示操作，或直接聯絡CIVolatility。
請注意，此私人、僅限受邀使用者使用的腳本未經腳本審核員審核，其是否符合社群規範尚待確定。 TradingView不建議在未完全信任作者並了解其運作方式的情況下購買或使用腳本。您也可以在我們的社群腳本中找到免費的開源替代方案。
作者的說明
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。