I am trying to figure out what this text means any advice is greatly appreciated.
"volatility-adjusted crossover signal where momentum is measured by comparing a short-horizon (45 days) moving average of the total return index to a longer-horizon (90 days) moving average of the total return index" Momentum Investing in Fixed Income
say I have a returns series, i compute the cumulative return (ie the index) I then compute the average of the index over 45 days and 90 days. Do I then compute the volatility of the returns (std deviation over 45 days ) and (90 days)
So then the signal is: MA_90_Index MA_45_Index/STDEV_RET_90STDEV_RET_45 - MA_45_IndexMA_90_Index/STDEV_RET_45STDEV_RET_90?