With the table below as an example, what is the best way to measure relative momentum, comparing EACH DAY TO THE PREVIOUS DAY? Each of the numbers in the table represents the number of stocks up minus the number of stocks down on the New York Stock Exchange each day. I have been doing it thus far by simply measuring percent change and then removing the negative signs. On a related issue, my numbers don’t look correct the last two days. For instance, is a move from 7 to -749 really a greater percentage change than from -749 to 1611. The latter seems like a much larger move percentage wise, but according to the excel formula =(a1-a2)/abs(a2), it’s not.
8/2: 1611/ 315.09%
8/1: -749/ -10800.00%
7/31: 7/ -99.65%
7/28: 2020/ 541.05%
7/27: -458
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It is not very clear what you want to achieve with the measurement "relative momentum". The momentum definition in stock market is complex, I assume you instead, want a simple indicator to see if the market sentiment has changed. The simple indicator abs(a1-a2) seems to do the job. I am surprised at first too, but after thinking of it for about half an hour, I am pursuaded that is what you need here.
"Relative" probably can be introduced by dividing abs(a1 – a2) by the number of tocks. But since the # of stocks is a fixed number, why bother? Just use abs(a1 – a2).
You got non-intuitive number(s) because of the abs(a2) term. When it is small, as it was on 07/31, you get a huge number afterward.
BTW, how do you get a1 or a2 in the first place? That sounds harder to me.