Stock Market Momentum Model Documents

This material has 2 associated documents. Select a document title to view a document's information.

Main Document

Stock Market Momentum Model 

written by Matthew Mohorn

The Stock Market Momentum Model uses the change in price to predict a future change. In trading jargon, this change in price is referred to as momentum. Mathematically, the model can be considered to be a causal high pass filter of degree 1.

In this model,  the user can analyze the momentum indicator response as it relates to the daily closing price of a few popular stock indices.  The upper plot shows the closing price and a smoothed price (in blue) if the filter is turned on. The lower panel is the momentum indicator. Users can drag a cursor left and right to compare values on these two graphs. Below, the cursor is dropped at a point where the momentum shifts from negative to positive values, which happens to be the beginning of a bull market. A trader would want to buy at these opportunities and sell when the momentum becomes negative. Time is measured in years and in each year there are approximately 253 business days.

Published April 15, 2013
Last Modified June 12, 2014

This file has previous versions.

Source Code Documents

Stock Market Momentum Source Code 

The source code zip archive contains an XML representation of the Stock Market Momentum Model.  Unzip this archive in your EJS workspace to compile and run this model using EJS.

Last Modified June 12, 2014

This file has previous versions.