Family Connections: Tying Up Volatility and Momentum with the Octane Indicator

11 Pages Posted: 4 Jun 2013

See all articles by Patrick Beaudan

Patrick Beaudan

Northern Trust Corporation; Emotomy

Date Written: June 3, 2013

Abstract

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

Beaudan, Patrick, Family Connections: Tying Up Volatility and Momentum with the Octane Indicator (June 3, 2013). Available at SSRN: https://ssrn.com/abstract=2273361 or http://dx.doi.org/10.2139/ssrn.2273361

Patrick Beaudan (Contact Author)

Northern Trust Corporation ( email )

50 South LaSalle Street
Chicago, IL 60603
United States
415 839 5239 (Phone)

Emotomy ( email )

2 Embarcadero Center
San Francisco, CA 94111
United States

HOME PAGE: http://www.emotomy.com

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