Momentum Sizing [MiesOnCharts]
MOMENTUM SIZING
Momentum Sizing turns momentum into a position size. Rather than saying in or out, it says how much of the asset to hold, from nothing up to a full position. It is a long only indicator.
How it works
- Score. Returns over a range of horizons, from short to long, are each scaled by how far the asset normally travels over that horizon, then blended into one standardized score where zero is neutral. It is the same score as Volatility Scaled Momentum.
- Strength. Nothing is held at a score of zero or below, a full position at the full size score or above, and a proportional size in between.
- Calm. When volatility is above the asset's own normal level, the size is cut in proportion. At twice its normal volatility, the position is halved.
- Rebalance band. Strength and calm multiply into a target size. The held size only follows the target once it has drifted far enough, so small moves in the score do not turn into a stream of small trades.
On the chart
- Pane: the held size as columns with the target as a step line, or the momentum score.
- Candles tinted by size (optional).
- Panel: the current size, the score, and volatility against its normal level.
Alerts
Position opened, position closed, size changed.
Repainting
Size changes are decided on closed bars and do not change afterwards. On the live bar the score and the target move with price, while the held size, the colours and the alerts wait for the close.
Limits
- Long only. Negative momentum takes the size to zero.
- Momentum lags turning points.
This script is for informational and educational purposes only and is not financial advice.
Momentum Sizing turns momentum into a position size. Rather than saying in or out, it says how much of the asset to hold, from nothing up to a full position. It is a long only indicator.
How it works
- Score. Returns over a range of horizons, from short to long, are each scaled by how far the asset normally travels over that horizon, then blended into one standardized score where zero is neutral. It is the same score as Volatility Scaled Momentum.
- Strength. Nothing is held at a score of zero or below, a full position at the full size score or above, and a proportional size in between.
- Calm. When volatility is above the asset's own normal level, the size is cut in proportion. At twice its normal volatility, the position is halved.
- Rebalance band. Strength and calm multiply into a target size. The held size only follows the target once it has drifted far enough, so small moves in the score do not turn into a stream of small trades.
On the chart
- Pane: the held size as columns with the target as a step line, or the momentum score.
- Candles tinted by size (optional).
- Panel: the current size, the score, and volatility against its normal level.
Alerts
Position opened, position closed, size changed.
Repainting
Size changes are decided on closed bars and do not change afterwards. On the live bar the score and the target move with price, while the held size, the colours and the alerts wait for the close.
Limits
- Long only. Negative momentum takes the size to zero.
- Momentum lags turning points.
This script is for informational and educational purposes only and is not financial advice.
免責事項
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免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。