@Mudit.Kushalvardhan this is in line with what the great guru Andreas Clenow had talked about in his book on momentum strategy. He had included a chapter on how to create a portfolio.
This is a measure of volatility check. As we are using other methods like returns / SD (captured as momentum ratio), we need not use this parameter.
If you are going to use it, then you can apply this directly on daily price changes and ignore the momentum ratio parameter that we have in our sheet.
| Subscribe To Our Free Newsletter |
