Strategy #0000000091 · Trend following and oscillator signals
Price momentum oscillators and thresholds
Enter prior/current oscillator values, upper/lower thresholds, directional return and costs.
ROC, directional indicators and moving-average deviations compress price changes into bounded or normalised values. Rules may follow a break above an overbought line or short a break below an oversold line, while other systems fade extremes. Current and prior readings are both needed to identify a crossover; markets and parameters require out-of-sample checks.
Illustrates crossover logic only; it computes no actual ROC/indicator and does not forecast returns.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
Does an oscillator threshold crossover create a new directional signal?
ROC, directional indicators and moving-average deviations compress price changes into bounded or normalised values. Rules may follow a break above an overbought line or short a break below an oversold line, while other systems fade extremes. Current and prior readings are both needed to identify a crossover; markets and parameters require out-of-sample checks.
Enter prior/current oscillator values, upper/lower thresholds, directional return and costs.
Illustrates crossover logic only; it computes no actual ROC/indicator and does not forecast returns.
- Signal inputEnter prior/current oscillator values, upper/lower thresholds, directional return and costs.
- Return scenarioIllustrates crossover logic only; it computes no actual ROC/indicator and does not forecast returns.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Signal_t=1[Osc_{t-1}\leq k,Osc_t>k]-1[Osc_{t-1}\geq -k,Osc_t<-k]
Osc is the oscillator; k is the upper threshold and −k the lower; return scenarios are separate inputs.
Greeks: the directional intuition
- 資料
- Measures sensitivity to implied volatility.
- 門檻
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
Signal_t=1[Osc_{t-1}\leq k,Osc_t>k]-1[Osc_{t-1}\geq -k,Osc_t<-k]
Practical context · published observations
Price momentum oscillators and thresholds: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
Illustrates crossover logic only; it computes no actual ROC/indicator and does not forecast returns. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Signals within a family use different assumptions.
Compare horizon, frequency and trend/fade interpretations.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base indicator | Technical signal | ROC, directional indicators and moving-average deviations compress price changes into bounded or normalised values. Rules may follow a break above an overbought line or short a break below an oversold line, while other systems fade extremes. Current and prior readings are both needed to identify a crossover; markets and parameters require out-of-sample checks. | Illustrates crossover logic only; it computes no actual ROC/indicator and does not forecast returns. |
| Confirmation version | Multi-indicator filter | Add trend or volume confirmation. | Confirmation can delay entry. |
| Contrarian version | Mean reversion | Fade extreme deviations. | Can lose while a strong trend persists. |
Illustrates crossover logic only; it computes no actual ROC/indicator and does not forecast returns.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.