Hi everyone :-)
So I've been rooting through the Momentum indicator lately, and I came across something weird. I'm wondering if I'm just looking at this wrong.
So in the TA community, there seems to be two ways of calculating momentum. Both are equally useful. However neither seem to be what the Lean engine's momentum captures, at least not for the data I'm producing.
For example, what the Lean engine is reporting for the 12-month momentum (i.e. roughly 252 tradeable days as the period) for SPY around the beginning of Feb 2005 is 8.22.
When I try to calculate this number manually, I get answers that aren't close to that at all. To begin, according to Yahoo finance, prices for SPY are at around $120 and $115 for Feb 2005 and Feb 2004, respectively.
Momentum's definition dictates we calculate by simply subtracting the current price by the period price: $120 - $115 = $5
The alternate definition of Momentum, which is the Rate of Change definition, is subtracting the current price by the period price, and then dividing that by the period price again: ($120 - $115) / $115 = 0.04
Neither of these definitions get close to what the Lean Engine's Momentum indicator is to currently telling us. So I'm not sure what Lean is attempting to calculate. Am I looking at this wrong?
Thanks for listening to my ignorance on the issue :-P
Stephen Oehler
Stephen Oehler
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