Daily Forex Top & Bottom Momentum List

[AndersenBands]

Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses:

Top 5 short-term momentum: $AUDNZD $CADCHF $AUDCHF $UDSCHF $EURNZD

Bottom 5 short-term momentum: $NZDUSD $EURCAD $GBPUSD $NZDCAD $GBPCAD

Top 5 long-term momentum: $USDCHF $EURCHF $CADCHF $GBPCHF $EURNZD

Bottom 5 long-term momentum: $NZJPY $NZDUSD $AUDUSD $AUDCAD $CHFJPY

 

[truetype]

Do you have any way to trade / monetize this?

 

[AndersenBands]

Do you have any way to trade / monetize this?

Hi truetype. Thanks for asking. Short answer is "yes"-

Top/bottom 5 are the subset of 28 that I follow. The statistical measure of momentum utilized identifies strength and weakness that has a tendency to be persistent. Consequently, the highest momentum pairs do tend to move higher as a basket and the lowest momentum tend to collectively move lower. Additionally, not part of this particular thread but related to the momentum utilized, crossing over the zero line (up or down) tends to be significant for swing and trend trades.

Cheers!

 

[AndersenBands]

Hi truetype. Thanks for asking. Short answer is "yes"-

Top/bottom 5 are the subset of 28 that I follow. The statistical measure of momentum utilized identifies strength and weakness that has a tendency to be persistent. Consequently, the highest momentum pairs do tend to move higher as a basket and the lowest momentum tend to collectively move lower. Additionally, not part of this particular thread but related to the momentum utilized, crossing over the zero line (up or down) tends to be significant for swing and trend trades.

Cheers!

Here is an example of the LT momentum and persistence. Highest momentum (1) in dark green and lowest (28) in dark red. Hope this helps.

Best trades!

 

[truetype]

Here is an example of the LT momentum and persistence

Thanks, but to know if this is evidence of persistence we'd have to know something about the lookback period. If stock X is in the strongest quantile today based on a (say) 1-year lookback, it's highly likely to be tomorrow also, regardless of its one-day return.

 

[AndersenBands]

Thanks, but to know if this is evidence of persistence we'd have to know something about the lookback period. If stock X is in the strongest quantile today based on a (say) 1-year lookback, it's highly likely to be tomorrow also, regardless of its one-day return.

Good question. So the momentum calculation is all price driven based on a stochastic process which drives the look-back process. The sensitivity to one-day price movement is also reflected in the two different methods (ST and LT). It's not flat and linear smoothed or anything. If price extension and range expansion occurs, the momentum algo will be more sensitive in order to reduce lag based on the statistical significance of price movement.

 

[AndersenBands]

Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses:

Top 5 short-term momentum: $AUDNZD $EURNZD $CADCHF $CADJPY $USDCHF

Bottom 5 short-term momentum: $GBPUSD $GBPCAD $NZDJPY $NZDUSD $NZDCAD

Top 5 long-term momentum: $USDCHF $EURCHF $CADCHF $GBPCHF $EURNZD

Bottom 5 long-term momentum: $NZJPY $NZDUSD $AUDUSD $AUDCAD $CHFJPY

 

[AndersenBands]

Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses:

Top 5 short-term momentum: $AUDNZD $USDJPY $USDCHF $EURNZD $CADJPY

Bottom 5 short-term momentum: $NZDJPY $EURUSD $GBPUSD $NZDUSD $NZDCAD

Top 5 long-term momentum: $USDCHF $CADCHF $EURCHF $GBPCHF $EURNZD

Bottom 5 long-term momentum: $GBPUSD $NZDUSD $AUDUSD $AUDCAD $CHFJPY

 

[AndersenBands]

Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses:

Top 5 short-term momentum: $AUDNZD $USDJPY $CADJPY $USDCHF $CADCHF

Bottom 5 short-term momentum: $GBPCAD $EURUSD $GBPUSD $NZDCAD $EURCAD

Top 5 long-term momentum: $USDCHF $CADCHF $EURCHF $GBPCHF $USDJPY

Bottom 5 long-term momentum: $GBPUSD $AUDUSD $NZDUSD $AUDCAD $CHFJPY

 

[AndersenBands]

Daily list of top 5 and bottom 5 short-term and long-term momentum rankings out of 28 primary currency pairs and crosses:

Top 5 short-term momentum: $USDJPY $AUDNZD $CADJPY $USDCHF $CADCHF

Bottom 5 short-term momentum: $GBPCAD $EURUSD $NZDUSD $NZDCAD $EURCAD

Top 5 long-term momentum: $USDCHF $CADCHF $USDJPY $EURCHF $GBPCHF

Bottom 5 long-term momentum: $AUDUSD $NZDCAD $NZDUSD $CHFJPY $AUDCAD