Momentum model
Direction, consistency, and spread-quality behavior in V0.1.
#Universe movement
The model computes first-to-last percentage change for each complete symbol series and averages the results. It does not infer a last trade.
#Directional consistency
An equal-weight basket is built for every index in the window. The component counts consecutive steps aligned with the total window direction.
#Quote quality
Average relative bid/ask spread becomes basis points. Spread quality declines linearly to zero at 50 bps and is clipped.
#Interpretation
Short-window momentum can reverse quickly. A high score is not a probability or expected return.