quantopian_momentum

Author: Ian Doherty

Date: April 13, 2017

This algorithm holds indicators for trading momentum, it does not contain a strategy!

RVI (Relative Vigor Index - Oscillator indicator)

INPUTS: OHLC prices

Numerator

a = close - open <br />
b = close - open // one bar prior to a
c = close - open // one bar prior to b
d = close - open // one bar prior to c
numerator = ( a + (2 * b) + (2 * c) + d ) / 6

Denominator

e = high - low // of bar a
f = high - low // of bar b
g = high - low // of bar c
h = high - low // of bar d
denominator = ( e + (2 * f) + (2 * g) + h) / 6

RVI given select period

Current period selected = 20

RVI = SMA of numerator for selected period /
        SMA of denominator for selected period

Signal Line

i = RVI // one bar prior
j = RVI // one bar prior to i
k = RVI // one bar prior to j
SIGNAL_LINE = (RVI + (2 * i) + (2 * j) + k) / 6

RSI (Relative Strength Index - Momentum indicator)

RSI = 100-100/(1+RS)
RS = Average gain of up periods w specifed period/
    Average loss of down periods during a specified period

The RSI in this algorithm is calculated using talib

Bollinger bands ( - Volatility indicator)

    1. Moving average
    2. Upper band at K times an N-period standard deviation
    3. Lower band at K times an N-period standard deviation

This Bollinger Bands in this algorithm is calculated with talib

CCI (Commodity channel index - Oscillator indicator)

CCI = Price - MA / 0.015 x D

The CCI in this algorithm is calculated with talib