tsmom - Momentum between times

Syntax

mom = tsmom(data, nTimes)
momts = tsmom(tsobj, nTimes)

Arguments

`data`	Data series. Column-oriented vector or matrix.
`nTimes`	(Optional) Number of times. Default = 12.
`tsobj`	Financial time series object.

Description

Momentum is the difference between two prices (data points) separated by a number of times.

mom = tsmom(data, nTimes) calculates the momentum of a data series data. If nTimes is specified, tsmom uses that value instead of the default 12.

momts = tsmom(tsobj, nTimes) calculates the momentum of all data series in the financial time series object tsobj. Each data series in tsobj is treated individually. momts is a financial time series object with similar dates and data series names as tsobj. If nTimes is specified, tsmom uses that value instead of the default 12.

Note, to compute a quantity over n periods, you must specify n+1 for nTimes. If you specify nTimes = 0, the function returns your original time series.

Examples

Compute the momentum for Disney stock and plot the results:

load disney.mat
dis = rmfield(dis,'VOLUME') % remove VOLUME field
dis_Mom = tsmom(dis);  
plot(dis_Mom)
title('Momentum for Disney')

tsmom - Momentum between times

Syntax

Arguments

Description

Examples

See Also