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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.
版本注释
Long Term Hold Volatility Weighted Momentum Signal版本注释
Long-Term Hold Volatility Weighted Momentum Indicator仅限邀请脚本
只有作者授权的用户才能访问此脚本。您需要申请并获得使用许可。通常情况下，付款后即可获得许可。更多详情，请按照下方作者的说明操作，或直接联系CIVolatility。
请注意，此私密、仅限邀请脚本未经脚本版主审核，是否符合网站规则尚未确定。 TradingView不建议您付费购买或使用任何脚本，除非您完全信任其作者并了解其工作原理。您也可以在我们的社区脚本找到免费的开源替代方案。
作者的说明
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。
仅限邀请脚本
只有作者授权的用户才能访问此脚本。您需要申请并获得使用许可。通常情况下，付款后即可获得许可。更多详情，请按照下方作者的说明操作，或直接联系CIVolatility。
请注意，此私密、仅限邀请脚本未经脚本版主审核，是否符合网站规则尚未确定。 TradingView不建议您付费购买或使用任何脚本，除非您完全信任其作者并了解其工作原理。您也可以在我们的社区脚本找到免费的开源替代方案。
作者的说明
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。