tsmom (Financial Time Series Toolbox)

Momentum between periods

Syntax

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

Arguments

data
Data series

nperiods
(Optional) Number of periods. Default = 12.

tsobj
Financial time series object

`data`	Data series
`nperiods`	(Optional) Number of periods. Default = 12.
`tsobj`	Financial time series object

Description

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

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

momts = tsmom(tsobj, nperiods) 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 nperiods is specified, tsmom uses that value instead of the default 12.

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')

See Also

tsaccel

tsaccel tsmovavg