stock momentum

https://www.donfishback.com/2016/01/panic-selling-a-pause-then-another-smash-whats-next/

• S&P 500 ($SPX) closes down more than 1% for three straight days.
• Each close is a new 20-day low.
• The final close on the third day is below the 200-day moving average.

momersion <- function(R, n, returnLag = 1) {
  momentum <- sign(R * lag(R, returnLag))
  momentum[momentum < 0] <- 0
  momersion <- runSum(momentum, n = n)/n * 100
  colnames(momersion) <- "momersion"
  return(momersion)
}