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Volatility Based Momentum (VBM)
The Volatility Based Momentum (VBM) indicator is a variation on the rate-of-change (ROC) indicator. Instead of expressing momentum in a percentage gain or loss, VBM normalizes momentum using the historical volatility of the underlying security.
The VBM indicator offers numerous benefits to traders who orient their trading around volatility. For these traders, VBM expresses momentum in a normalized, universally applicable ‘multiples of volatility’ (MoV) unit. Given the universal applicability of MoV, VBM is especially suited to traders whose trading incorporates numerous timeframes, different types of securities (e.g., stocks, Forex pairs), or the frequent comparison of momentum between multiple securities.
The calculation for a volatility based momentum (VBM) indicator is very similar to ROC, but divides by the security’s historical volatility instead. The average true range indicator (ATR) is used to compute historical volatility.
VBM(n,v) = (Close - Close n periods ago) / ATR(v periods)
For example, on a daily chart, VBM(22,65) calculates how many MoV price has increased or decreased over the last 22 trading days (approximately one calendar month). The second parameter is the number of periods to use with the ATR indicator to normalize the momentum in terms of volatility.
For more details, there is an article further describing VBM and its applicability versus ROC.
The VBM indicator offers numerous benefits to traders who orient their trading around volatility. For these traders, VBM expresses momentum in a normalized, universally applicable ‘multiples of volatility’ (MoV) unit. Given the universal applicability of MoV, VBM is especially suited to traders whose trading incorporates numerous timeframes, different types of securities (e.g., stocks, Forex pairs), or the frequent comparison of momentum between multiple securities.
The calculation for a volatility based momentum (VBM) indicator is very similar to ROC, but divides by the security’s historical volatility instead. The average true range indicator (ATR) is used to compute historical volatility.
VBM(n,v) = (Close - Close n periods ago) / ATR(v periods)
For example, on a daily chart, VBM(22,65) calculates how many MoV price has increased or decreased over the last 22 trading days (approximately one calendar month). The second parameter is the number of periods to use with the ATR indicator to normalize the momentum in terms of volatility.
For more details, there is an article further describing VBM and its applicability versus ROC.
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本著TradingView的真正精神，此腳本的創建者將其開源，以便交易者可以查看和驗證其功能。向作者致敬！雖然您可以免費使用它，但請記住，重新發佈程式碼必須遵守我們的網站規則。
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。