/* Modified Momentum Finder by Frank Snay
Use to find stocks or mutual funds in First Step of Dr. S. Nathan Berger's
DDT-NB SYSTEM posted during the final week of 2001.
Please copy the following formula to the Automatic Analysis window AND
click on "Explore"*/
/* The description of Dr. Berger's initial routine to "find" the mutual funds
based upon trying several different time periods, and writing down the results
for each. This explore uses three time frames, a user defined Period for
the longest time frame, and computer derived half and quarter periods of
the Period. Several expolres are now reduced to one.
/* Use any Watch list, use filter, n last days = 1.
As I use a select watch list and want results for all stocks, I set the
MinChange to -100%. User can reset this to any desired level. */
MinChange = -100 ; /* this is minimum percent change to be filtered */
/* About 8 Trading Weeks for Scan. User set to desired time */
Period = 40; /* how many bars back */
HalfPeriod = int(.5 + Period/2); // One-half of the period
QuarterPeriod = int(.5 + Period/4); // One-quarter of the period
ROCPeriod = ROC(Close,Period); //full period rate of change
ROCHalfPeriod = ROC(Close,HalfPeriod); //Half period rate of change
ROCQuarterPeriod = ROC(Close,QuarterPeriod); //Quarter period rate of change
/* Now add the three, weighted for most recent data having most effect
This is done by doubling the half, and 4 times the quarter values,
and dividing the grand total by 3 */
TotalROC = (ROCPeriod + 2*ROCHalfPeriod + 4*ROCQuarterPeriod)/3;
/* The old physics lessons told us that momentum ( or velocity ) is a rate of
change per a unit of time. In this case, closing price per period.
The next step is to compute the rate of change of the rate of change. Back
to the lessons, this is acceleration. Acceleration shows the increasing or
decreasing momentum for a time unit. To accomplish this, I will take the
ROCQuarterPeriod today, and subtract the ROCQuarterPeriod a quarter of a
period ago, ie, ROCQuarterPeriod - ref(ROCQuarterPeriod,-QuarterPeriod).
I will repeat the process for the ROCHalfPeriod. For ease of
display, I will call this final result AccTotal and display it before
TotalROC. The AccTotal is the TotalROC with the above additivies for
acceleration.
Very Important - notice how the results based only upon TotalROC
are changed by the AccTotal. The addition of acceleration brings
the stocks or funds with the latest positive changes in ROC to the top of
the list in AccTotal, and if the acceleration is negative, the stock will
have a lower ranking than with TotalROC. By themselves per each stock or
mutual fund, the values in AccTotal and TotalROC mean little - it is ONLY
when compared to other stocks or funds that the values take on a meaning.
What this means is that the values in AccTotal and TotalROC ARE NOT the
expected returns, BUT A RELATIVE RANKING COMPARED TO OTHER STOCKS OR FUNDS.*/
AccTotal = TotalROC + ((ROCHalfPeriod) - Ref(ROCHalfPeriod,-HalfPeriod)) + (ROCQuarterPeriod - Ref(ROCQuarterPeriod,-QuarterPeriod)) ;
LastBar = Cum(1) == LastValue( Cum(1) );
Filter = ROCPeriod > MinChange AND LastBar;
NumColumns =5;
Column0 = AccTotal;Column0Name = "AccTotal";Column0Format = 1.2;
Column1 = TotalROC;Column1Name = "TotalROC";Column1Format = 1.2;
Column2 = ROCPeriod;Column2Name = "ROCPeriod";Column2Format = 1.2;
Column3 = ROCHalfPeriod;Column3Name = "ROCHalfPeriod";Column3Format = 1.2;
Column4 = ROCQuarterPeriod;Column4Name = "ROCQuarterPeriod";Column4Format = 1.2;