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The Chande Momentum Oscillator, as the name implies, is a momentum oscillator. There are two different ways that this oscillator is used as a trading signal. The first is to measure overbought (greater than 50%) or oversold (less than -50%) levels for a given stock. The second method is to buy when the oscillator crosses above its moving average line and to sell when the oscillator crosses below its moving average line.
The Chande Momentum Oscillator is constructed using the sum over a given period of price changes on up days, sum(high-low),up, and the sum over the same period of prices on down days, sum(high-low),down. The specific formula is: (sum(high-low),up - sum(high-low),down)/sum(high-low),all. An exponential moving average of this line is then overlaid upon the oscillator as a signal line. The oscillator requires two parameters: (1) the period over which the price ranges will be summed and (2) the period for the moving average.
