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tsmom

Momentum between times

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Syntax

momentum = tsmom(Data)
momentum = tsmom(___,Name,Value)

Description

momentum = tsmom(Data) calculates the momentum of a data series with time distance of n periods.

example

momentum = tsmom(___,Name,Value) adds optional name-value pair arguments.

example

Examples

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Open Live Script

Load the file SimulatedStock.mat, which provides a timetable (TMW) for financial data for TMW stock.

load SimulatedStock.mat
TMW.Volume = []; % remove VOLUME field
momentum = tsmom(TMW);  
plot(momentum.Time,momentum.Variables)
legend('OPEN','HIGH','LOW','CLOSE')
title('Acceleration for TMW')

Figure contains an axes object. The axes object with title Acceleration for TMW contains 4 objects of type line. These objects represent OPEN, HIGH, LOW, CLOSE.

Input Arguments

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Data with high, low, open, close information, specified as a vector, matrix, table, or timetable. For vector input, Data is a column vector. For matrix input, Data is an M-by-N column oriented matrix. Timetables and tables with M rows can contain variables named 'High', 'Low', 'Open', and 'Close' (case insensitive).

Data Types: double | table | timetable

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: momentum = tsmom(TMW,'NumPeriods',15)

Period difference for momentum, specified as the comma-separated pair consisting of 'NumPeriods' and a scalar positive integer.

Data Types: double

Output Arguments

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Momentum series, returned with the same number of rows (M) and the same type (matrix, table, or timetable) as the input Data.

More About

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Momentum Series

Momentum series is the difference of the current data with the data n periods ago. By default, momentum is based on 12-period difference.

References

[1] Kaufman, P. J. The New Commodity Trading Systems and Methods. John Wiley and Sons, New York, 1987.

Version History

Introduced before R2006a

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