Sincerely, I expected more from the book "I consigli dei grandi trader" ed. Hoepli
(chapter 1) and expecially to the awarded mr. Francesco Caruso
I've tested his "Composite Momentum" on daily and 30/60m bases on Ftsemib :
it tends really to ANTICIPATE the trend, but a cloud of indecision rolls up
the trading desk every time the CM gives a signal (WHEN will take place reversion
of the market? when CM is lower or higher, it doesn't imply the movement will be
stronger).
The use of a moving average doesn't help (there is no coincidence with the
highs and lows of the market and to the beginnings of a trend).
As usual for many other indicators, the valutation of divergence CM/prices is
always discretional and so not reliable.
Maybe the Composite Momentum works better with longer time frames as reported
in the chapter of the book (weekly, monthly, annual).
FORMULA
k=4
media1=WeightedAverage[k](Close)
media2=WeightedAverage[k*3](Close)
MOM=average[1](media1-media2)/(media1)*100
diffMOM=MOM-MOM[1]
If MOM>MOM[1] then
temp1=diffMOM
else
temp1=0
endif
If MOM<MOM[1] then
temp2=diffMOM
else
temp2=0
endif
sumtemp1=summation[5](temp1)
sumtemp2=summation[5](temp2)
abssumdiff=summation[5](abs(diffMOM))
aa=((sumtemp1[1]-(sumtemp1[1]/5)+temp1)/(abssumdiff[1]-(abssumdiff[1]/5)+abs(diffmom))*100)
bb=((sumtemp2[1]-(sumtemp2[1]/5)+temp2)/(abssumdiff[1]-(abssumdiff[1]/5)+abs(diffmom))*100)
cc=aa-abs(bb) key=ExponentialAverage[3](cc)
k=((close-lowest[5](low))/(highest[5](high)-lowest[5](low)))*100
d=average[3](k) xtl=WeightedAverage[3](d)*2-100
Composite=WeightedAverage[2]((2*key+xtl)/3)
l1=50 l2=-50
linea1=80
linea2=-80
linea3=0
return linea1,linea2,linea3,l1,l2,Composite
//// l'uso di medie mobili e di altri indicatori (con la differenza dei prezzi non è di grande aiuto)