Momentum

The raw rate of change over N bars. Positive = trending up, negative = trending down.

Signature

Momentum(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Lookback.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{Momentum}_t = \text{close}t - \text{close}{t-N} $$

That’s it — current price minus price N bars ago. The result is in the same units as the source (typically price), so values are not bounded.

Warmup

period + 1 bars.

Reading the value

mom.value             # signed change
mom > 0               # uptrend
mom < 0               # downtrend
mom.crossed_above(0)  # trend flipped positive
mom.crossed_below(0)  # trend flipped negative

Example

class MomentumBreakout(Strategy):
    """Enter on positive momentum, exit on flip."""
    period = Param(10, min=3, max=30)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        mom = Momentum(self.period, on=self.trade)
        self.stop_loss(2.0)

        if mom.crossed_above(0) and self.trade.is_flat:
            self.buy(self.trade, reason=f"Momentum flipped to +{mom.value:.2f}")

        if mom.crossed_below(0) and self.trade.is_long:
            self.sell(self.trade, self.trade.position)

Notes

• Momentum is unbounded — values scale with price. Compare against a threshold proportional to price (mom > self.trade.close * 0.01) rather than a fixed number.
• For a normalized version, divide by previous price: pct_mom = mom.value / self.trade.close * 100 — though that’s a strategy-side computation, not a separate indicator.
• Momentum on volume (Momentum(10, on=self.trade.volume)) gauges volume trends — useful as a confirmation filter.