Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses: Top 5 short-term momentum: $AUDNZD $CADCHF $AUDCHF $UDSCHF $EURNZD Bottom 5 short-term momentum: $NZDUSD $EURCAD $GBPUSD $NZDCAD $GBPCAD Top 5 long-term momentum: $USDCHF $EURCHF $CADCHF $GBPCHF $EURNZD Bottom 5 long-term momentum: $NZJPY $NZDUSD $AUDUSD $AUDCAD $CHFJPY
Hi truetype. Thanks for asking. Short answer is "yes"- Top/bottom 5 are the subset of 28 that I follow. The statistical measure of momentum utilized identifies strength and weakness that has a tendency to be persistent. Consequently, the highest momentum pairs do tend to move higher as a basket and the lowest momentum tend to collectively move lower. Additionally, not part of this particular thread but related to the momentum utilized, crossing over the zero line (up or down) tends to be significant for swing and trend trades. Cheers!
Here is an example of the LT momentum and persistence. Highest momentum (1) in dark green and lowest (28) in dark red. Hope this helps. Best trades!
Thanks, but to know if this is evidence of persistence we'd have to know something about the lookback period. If stock X is in the strongest quantile today based on a (say) 1-year lookback, it's highly likely to be tomorrow also, regardless of its one-day return.
Good question. So the momentum calculation is all price driven based on a stochastic process which drives the look-back process. The sensitivity to one-day price movement is also reflected in the two different methods (ST and LT). It's not flat and linear smoothed or anything. If price extension and range expansion occurs, the momentum algo will be more sensitive in order to reduce lag based on the statistical significance of price movement.
Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses: Top 5 short-term momentum: $AUDNZD $EURNZD $CADCHF $CADJPY $USDCHF Bottom 5 short-term momentum: $GBPUSD $GBPCAD $NZDJPY $NZDUSD $NZDCAD Top 5 long-term momentum: $USDCHF $EURCHF $CADCHF $GBPCHF $EURNZD Bottom 5 long-term momentum: $NZJPY $NZDUSD $AUDUSD $AUDCAD $CHFJPY
Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses: Top 5 short-term momentum: $AUDNZD $USDJPY $USDCHF $EURNZD $CADJPY Bottom 5 short-term momentum: $NZDJPY $EURUSD $GBPUSD $NZDUSD $NZDCAD Top 5 long-term momentum: $USDCHF $CADCHF $EURCHF $GBPCHF $EURNZD Bottom 5 long-term momentum: $GBPUSD $NZDUSD $AUDUSD $AUDCAD $CHFJPY
Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses: Top 5 short-term momentum: $AUDNZD $USDJPY $CADJPY $USDCHF $CADCHF Bottom 5 short-term momentum: $GBPCAD $EURUSD $GBPUSD $NZDCAD $EURCAD Top 5 long-term momentum: $USDCHF $CADCHF $EURCHF $GBPCHF $USDJPY Bottom 5 long-term momentum: $GBPUSD $AUDUSD $NZDUSD $AUDCAD $CHFJPY
Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses: Top 5 short-term momentum: $USDJPY $AUDNZD $CADJPY $USDCHF $CADCHF Bottom 5 short-term momentum: $GBPCAD $EURUSD $NZDUSD $NZDCAD $EURCAD Top 5 long-term momentum: $USDCHF $CADCHF $USDJPY $EURCHF $GBPCHF Bottom 5 long-term momentum: $AUDUSD $NZDCAD $NZDUSD $CHFJPY $AUDCAD