Main Content


Momentum between times

Using a fints object for the Data argument of tsmom is not recommended. Use a vector, matrix, timetable, or table instead for financial time series. For more information, see Convert Financial Time Series Objects fints to Timetables.



momentum = tsmom(Data) calculates the momentum of a data series with time distance of n periods.


momentum = tsmom(___,Name,Value) adds optional name-value pair arguments.


collapse all

Load the file SimulatedStock.mat, which provides a timetable (TMW) for financial data for TMW stock.

load SimulatedStock.mat
TMW.Volume = []; % remove VOLUME field
momentum = tsmom(TMW);  
title('Acceleration for TMW')

Figure contains an axes object. The axes object with title Acceleration for TMW contains 4 objects of type line. These objects represent OPEN, HIGH, LOW, CLOSE.

Input Arguments

collapse all

Data with high, low, open, close information, specified as a vector, matrix, table, or timetable. For vector input, Data is a column vector. For matrix input, Data is an M-by-N column oriented matrix. Timetables and tables with M rows can contain variables named 'High', 'Low', 'Open', and 'Close' (case insensitive).

Data Types: double | table | timetable

Name-Value Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: momentum = tsmom(TMW,'NumPeriods',15)

Period difference for momentum, specified as the comma-separated pair consisting of 'NumPeriods' and a scalar positive integer.

Data Types: double

Output Arguments

collapse all

Momentum series, returned with the same number of rows (M) and the same type (matrix, table, or timetable) as the input Data.

More About

collapse all

Momentum Series

Momentum series is the difference of the current data with the data n periods ago. By default, momentum is based on 12-period difference.


[1] Kaufman, P. J. The New Commodity Trading Systems and Methods. John Wiley and Sons, New York, 1987.

Introduced before R2006a