SimpleROCStrat

Description

The Simple ROC strategy adds simulated buy and sell signals based on the rate of change of the two-bar price momentum. The strategy can be used in two modes: with or without the modified FM Demodulator, which is an indicator that singles out the frequency modulation component out of market data cycles. In both modes, a buy to open simulated order is added when the rate of change of the signal variable crosses above zero, and a sell to close simulated order is added when the signal variable crosses below zero.

The difference between the two modes is in how the signal variable is calculated. In the plain mode, it is an average of the sum of the four last consecutive two-bar price momentums. In the FM Demodulator mode, it is an average of the modified FM Demodulator’s Timing output of the two-bar momentum.

Input Parameters

Parameter Description
signal length The length of the average to calculate the signal variable with.
roc length The length of the rate of change.
rms length The length to calculate the root mean square with (only used in the FM Demodulator mode).
use fm demodulator Defines whether or not the modified FM Demodulator should be used in the calculation.

Backtesting is the evaluation of a particular trading strategy using historical data. Results presented are hypothetical, and there is no guarantee that the same strategy implemented today would produce similar results.

Technical analysis is not recommended as a sole means of investment research.

For educational purposes only. Not a recommendation of a specific security or investment strategy.