TintinTrading

Momentum Labels



––––History & Credit
Recreating the Labels functionality of ThinkorSwim. The most importnat labels for momentum trading. I have been using these over the years and am considering this my star indicator. I have included various methodologies from reading many trading books. Some of the credits go to Dr . Van Tharp (featured in the first Market Wizards book by Jack Schwagger), John Carter from Simpler Trading and Mark Minervini.

–––––What it does
The momentum labels give reading of different important momentum studies
  • SQN - defined by: "A measure of a market’s movement through an application of the System Quality Number calculation. To calculate, the daily changes from close to close measured in percentage terms are averaged and the standard deviation is calculated. Plugged into the SQN formula, those values and the number of days (N) provide the market SQN score." Fully customisable length for calculations.
  • MACD measures - MACD Line, MACD Signal, MACD histogram
  • Directional Movement Index (DMI) -> Positive Directional Index (DI+), Negative Directional Index (DI–), and the Average Directional Movement ( ADX )
  • ADXc = ADX change - please refer to my other indicator
  • Beta - the measure of a stock's volatility in relation to the overall market. Customisable symbol to calculate beta against
  • Up vs Down volume ratio, calculated on customisable period
  • SMA / EMA values of customisable length
  • SMA / EMA values of customisable length
  • Correlation coefficient with customisable symbol over customisable length
  • Price relation to high. The deifnition of high can be chosen between 52WK high (works only on Daily timeframe ) or ATH
  • Current VIX measure

–––––How to use it
The measures of the Momentum Labels are very important to assess the strenght of the trend. Some indications:
For SQN (when using 100 as a lookback period):
Over 1.4 is SuperBullish trend
0.75 to 1.4 is Bullish trend
0 to 0.75 is Neutral trend
-0.75 to -1.4 is Bearish trend
less than -1.4 is SuperBearish trend

For DMI:
For Bullish we want D+ > D- and ADX to be over 20
For Bearish we want D– > D+ and ADX to be over 20

For ADXc:
Combined with DMI, we want positive number to assess acceleration of the current trend

For Beta:
As a Swing trader, I look at stocks with beta over 1.0, since they are more volatile than the market and can access as leverage to my position size

For UDV:
Looking for measures over 1.0 to assess high inflow of volume

For Corr:
Correleation metric gives me indication how much this stock acts on its own and how much is dependent on the market

For % from High:
I look for stocks that are within 10% of 52WK High since Breakouts can be the start of a significant move up

For VIX:
Always looking at the VIX , measures over 25, would block me from trading with full size position in the market

リリースノート: Adding customisable position sizes for the labels
リリースノート: Adding the option to choose where to position the labels

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