Family Connections: Tying Up Volatility and Momentum with the Octane Indicator
11 Pages Posted: 4 Jun 2013
Date Written: June 3, 2013
This paper presents a momentum indicator and associated oscillator that are related to the well-known Relative Strength Indicator, but are coherent with the manner in which volatility, Sharpe and Sortino ratios are usually computed in quantitative investment strategies. The Octane Indicator is a persistent momentum indicator that can enhance the analytic arsenal of momentum or other trend following strategies.
Keywords: Momentum indicator, RSI, Relative Strength Indicator, Risk Parity, Octane Indicator, Sharpe ratio, Sortino Ratio
JEL Classification: G11
Suggested Citation: Suggested Citation