i'm currently trying to implement a ranking based on momentum indicators into my Entropy Pooling approach. Basically, the idea behind Entropy Pooling is to incorporate views into a reference model (prior distribution) by blending them. This procedure is a generalization and enhancement of the Black-Litterman model.

My Question is now: Do you have suggestions on momentum indicators, which are applicable on a ranking. By this i mean, that i want to rank the portfolio assets is an ascending order regarding the respective indicator. A first simple example could be ROC (Rate of Change), where the best performing asset is assigned the highest rank. Are there further indicators, which can be ranked in an easy way?

I would be very pleased on additional suggestions.

Thanks and regards!


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