Velocity (VEL)

Category: momentum

Calculates a zero-lag velocity measuring the rate of price change, smoothed using the Jurik Moving Average (JMA) algorithm.

Formula

VEL = JMA(Price_t - Price_{t-n}) \\\\ \text{where JMA is a non-linear adaptive smoothing filter.}

Inputs

• i_length (default: 10)
• i_source (default: close)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.