Momentum strategy construction

1
Dearest mr tools, one way of improving the performance of the momentum strategy which is normally constrained to either be long or short, might be to focus on a model that can output a signal of 'no position' in times of sideways trend/high volatility. Can you think of a indicator like a directional volatility that is not lagging or something similar?


Re: Momentum strategy construction

2
Janus wrote: Fri Oct 12, 2018 6:58 am Dearest mr tools, one way of improving the performance of the momentum strategy which is normally constrained to either be long or short, might be to focus on a model that can output a signal of 'no position' in times of sideways trend/high volatility. Can you think of a indicator like a directional volatility that is not lagging or something similar?
Maybe some sort of standard deviation type indicator.
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