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已更新 GRJMOM - Risk-Adjusted Momentum

GRJMOM – Risk-Adjusted Momentum
GRJMOM stands for Generalized Risk-Adjusted Momentum. This indicator adjusts traditional momentum by dividing it by realized volatility over the same formation period. The result is a cleaner, more risk-sensitive momentum signal designed to avoid momentum crashes and volatility-driven false breakouts.
How it works:
Calculates raw momentum: Close - Close[N]
Computes realized volatility using standard deviation of log returns
Outputs a risk-adjusted momentum score (Momentum / Volatility)
Optional smoothing can be applied to reduce short-term noise
Background coloring highlights bullish (green) and bearish (red) regimes
Use Cases:
GRJMOM > 0 suggests a bullish risk-adjusted trend
GRJMOM < 0 indicates a weakening or bearish trend
Can be used as a trend confirmation filter
Pairs well with cycle indicators like HHT or FFT for timing
Best for:
Swing traders, trend followers, and systematic strategy builders looking for smarter momentum signals with built-in risk awareness
GRJMOM stands for Generalized Risk-Adjusted Momentum. This indicator adjusts traditional momentum by dividing it by realized volatility over the same formation period. The result is a cleaner, more risk-sensitive momentum signal designed to avoid momentum crashes and volatility-driven false breakouts.
How it works:
Calculates raw momentum: Close - Close[N]
Computes realized volatility using standard deviation of log returns
Outputs a risk-adjusted momentum score (Momentum / Volatility)
Optional smoothing can be applied to reduce short-term noise
Background coloring highlights bullish (green) and bearish (red) regimes
Use Cases:
GRJMOM > 0 suggests a bullish risk-adjusted trend
GRJMOM < 0 indicates a weakening or bearish trend
Can be used as a trend confirmation filter
Pairs well with cycle indicators like HHT or FFT for timing
Best for:
Swing traders, trend followers, and systematic strategy builders looking for smarter momentum signals with built-in risk awareness
版本注释
Updated chart版本注释
GRJMOM - Risk-Adjusted MomentumOverview:
GRJMOM (Generalized Risk-Adjusted Momentum) modifies traditional momentum calculations by normalizing them against realized volatility over the same measurement period. This approach scales momentum relative to the underlying price volatility rather than using absolute price change values.
Technical Methodology:
Raw Momentum Calculation: Current close minus close N periods ago
Realized Volatility: Standard deviation of logarithmic returns over the same N-period window
Risk Adjustment: Momentum value divided by realized volatility to create a normalized ratio
Optional Smoothing: Exponential moving average can be applied to reduce signal noise
Visual Elements: Background coloring indicates positive (green) or negative (red) values
Parameters:
Lookback Period (N): Number of bars used for both momentum and volatility calculations
Smoothing Length: Period for optional exponential moving average smoothing
Color Settings: Background highlighting options for visual interpretation
Calculation Logic:
The indicator attempts to distinguish between momentum driven by genuine price trends versus momentum created by high volatility environments. By dividing momentum by volatility, it theoretically provides context for whether price movement represents consistent directional bias or random price fluctuation.
Interpretation Framework:
Positive values suggest upward momentum relative to recent volatility levels
Negative values indicate downward momentum relative to recent volatility levels
Values near zero may indicate ranging or transitional market conditions
Important Limitations:
Volatility normalization can produce unstable readings during very low volatility periods
The relationship between momentum and volatility varies significantly across different market regimes
Risk adjustment does not eliminate the inherent lagging nature of momentum-based calculations
Effectiveness depends heavily on the chosen lookback period and market characteristics
Should not be used as a standalone trading system without additional confirmation
Technical Considerations:
This indicator modifies momentum calculation methodology but does not predict future price direction. Users should thoroughly backtest across different market conditions and timeframes to understand its behavior patterns before implementation.
开源脚本
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这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。
开源脚本
本着TradingView的真正精神,此脚本的创建者将其开源,以便交易者可以查看和验证其功能。向作者致敬!虽然您可以免费使用它,但请记住,重新发布代码必须遵守我们的网站规则。
免责声明
这些信息和出版物并不意味着也不构成TradingView提供或认可的金融、投资、交易或其它类型的建议或背书。请在使用条款阅读更多信息。