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업데이트됨 GRJMOM - Risk-Adjusted Momentum

GRJMOM – Risk-Adjusted Momentum
GRJMOM stands for Generalized Risk-Adjusted Momentum. This indicator adjusts traditional momentum by dividing it by realized volatility over the same formation period. The result is a cleaner, more risk-sensitive momentum signal designed to avoid momentum crashes and volatility-driven false breakouts.
How it works:
Calculates raw momentum: Close - Close[N]
Computes realized volatility using standard deviation of log returns
Outputs a risk-adjusted momentum score (Momentum / Volatility)
Optional smoothing can be applied to reduce short-term noise
Background coloring highlights bullish (green) and bearish (red) regimes
Use Cases:
GRJMOM > 0 suggests a bullish risk-adjusted trend
GRJMOM < 0 indicates a weakening or bearish trend
Can be used as a trend confirmation filter
Pairs well with cycle indicators like HHT or FFT for timing
Best for:
Swing traders, trend followers, and systematic strategy builders looking for smarter momentum signals with built-in risk awareness
GRJMOM stands for Generalized Risk-Adjusted Momentum. This indicator adjusts traditional momentum by dividing it by realized volatility over the same formation period. The result is a cleaner, more risk-sensitive momentum signal designed to avoid momentum crashes and volatility-driven false breakouts.
How it works:
Calculates raw momentum: Close - Close[N]
Computes realized volatility using standard deviation of log returns
Outputs a risk-adjusted momentum score (Momentum / Volatility)
Optional smoothing can be applied to reduce short-term noise
Background coloring highlights bullish (green) and bearish (red) regimes
Use Cases:
GRJMOM > 0 suggests a bullish risk-adjusted trend
GRJMOM < 0 indicates a weakening or bearish trend
Can be used as a trend confirmation filter
Pairs well with cycle indicators like HHT or FFT for timing
Best for:
Swing traders, trend followers, and systematic strategy builders looking for smarter momentum signals with built-in risk awareness
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GRJMOM - Risk-Adjusted MomentumOverview:
GRJMOM (Generalized Risk-Adjusted Momentum) modifies traditional momentum calculations by normalizing them against realized volatility over the same measurement period. This approach scales momentum relative to the underlying price volatility rather than using absolute price change values.
Technical Methodology:
Raw Momentum Calculation: Current close minus close N periods ago
Realized Volatility: Standard deviation of logarithmic returns over the same N-period window
Risk Adjustment: Momentum value divided by realized volatility to create a normalized ratio
Optional Smoothing: Exponential moving average can be applied to reduce signal noise
Visual Elements: Background coloring indicates positive (green) or negative (red) values
Parameters:
Lookback Period (N): Number of bars used for both momentum and volatility calculations
Smoothing Length: Period for optional exponential moving average smoothing
Color Settings: Background highlighting options for visual interpretation
Calculation Logic:
The indicator attempts to distinguish between momentum driven by genuine price trends versus momentum created by high volatility environments. By dividing momentum by volatility, it theoretically provides context for whether price movement represents consistent directional bias or random price fluctuation.
Interpretation Framework:
Positive values suggest upward momentum relative to recent volatility levels
Negative values indicate downward momentum relative to recent volatility levels
Values near zero may indicate ranging or transitional market conditions
Important Limitations:
Volatility normalization can produce unstable readings during very low volatility periods
The relationship between momentum and volatility varies significantly across different market regimes
Risk adjustment does not eliminate the inherent lagging nature of momentum-based calculations
Effectiveness depends heavily on the chosen lookback period and market characteristics
Should not be used as a standalone trading system without additional confirmation
Technical Considerations:
This indicator modifies momentum calculation methodology but does not predict future price direction. Users should thoroughly backtest across different market conditions and timeframes to understand its behavior patterns before implementation.
오픈 소스 스크립트
진정한 트레이딩뷰 정신에 따라 이 스크립트 작성자는 트레이더가 기능을 검토하고 검증할 수 있도록 오픈소스로 공개했습니다. 작성자에게 찬사를 보냅니다! 무료로 사용할 수 있지만 코드를 다시 게시할 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.
오픈 소스 스크립트
진정한 트레이딩뷰 정신에 따라 이 스크립트 작성자는 트레이더가 기능을 검토하고 검증할 수 있도록 오픈소스로 공개했습니다. 작성자에게 찬사를 보냅니다! 무료로 사용할 수 있지만 코드를 다시 게시할 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
이 정보와 게시물은 TradingView에서 제공하거나 보증하는 금융, 투자, 거래 또는 기타 유형의 조언이나 권고 사항을 의미하거나 구성하지 않습니다. 자세한 내용은 이용 약관을 참고하세요.