--- title: How VAMS Is Actually Calculated canonical: "https://themacrodashboard.com/blog/how-vams-is-calculated/" pubDate: "2026-06-01T00:00:00.000Z" updatedDate: "2026-06-01T00:00:00.000Z" author: The Macro Dashboard description: "The exact momentum weights, volatility adjustment, trend votes, thresholds, and confirmation rule behind each asset-level VAMS state." categories: [Field Notes] --- The Bullish, Neutral, or Bearish badge hides a fair amount of math. VAMS blends four momentum windows, realized volatility, five trend checks, and a confirmation delay. All of that machinery decides how much of an asset's top-down target should be active. VAMS produces an exposure multiplier, never a price target. ## Start with four momentum horizons The raw momentum calculation uses log returns over four windows: | Horizon | Weight | |---|---:| | 1 month | 20% | | 3 months | 35% | | 6 months | 30% | | 12 months | 15% | The three-month window receives the largest weight, but no single horizon controls the result. A one-month bounce can help without erasing a weak six-month trend. A strong twelve-month return can remain visible without overpowering a recent breakdown. Research on [time-series momentum](https://www.aqr.com/Insights/Research/Journal-Article/Time-Series-Momentum) and [a century of trend following](https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing) provides the broader evidence for using trends across more than one horizon. ## Adjust momentum for volatility The weighted momentum score is divided by 63-day annualized realized volatility. A 10% move in a calm asset is treated differently from a 10% move in a highly volatile asset. The adjustment is especially noticeable with bitcoin. Fidelity Digital Assets' discussion of [bitcoin volatility](https://www.fidelitydigitalassets.com/research-and-insights/closer-look-bitcoins-volatility) shows why a raw return alone says little about portfolio risk. The current raw score is then compared with roughly three years of its own history. The resulting z-score measures how unusual the reading is for that asset. A z-score above +0.25 creates bullish pressure. A z-score below -0.25 creates bearish pressure. The middle zone is neutral. ## Check five trend votes VAMS also evaluates five yes-or-no conditions: 1. price is above the 50-day moving average; 2. price is above the 200-day moving average; 3. the 50-day average is above the 200-day average; 4. the three-month return is positive; 5. the 50-day average is higher than it was ten trading days earlier. These votes overlap. Price above the 200-day average and the 50-day average above the 200-day average often agree. The model does not describe them as five independent economic facts. They are a compact trend checklist. ## The exact state rules VAMS becomes Bullish when either condition is true: - z-score is above +0.25 and at least three trend votes are bullish; or - price is above the 200-day average, the three-month return is positive, and at least four votes are bullish. VAMS becomes Bearish when either condition is true: - z-score is below -0.25 and no more than two trend votes are bullish; or - price is below the 200-day average, the three-month return is negative, and no more than two votes are bullish. If neither side triggers, the state is Neutral. Bullish applies 100% of the top-down target. Neutral applies 50%. Bearish applies 0%. RSI 14 is displayed on the dashboard, but it does not affect the VAMS state, multiplier, or allocation. ## Confirmation slows the model down A new VAMS state must persist for two consecutive closes before it becomes confirmed. Allocation confirmation is tracked independently for each sleeve. A lower sleeve target requires two closes and a higher sleeve target requires five, so a change in one asset does not reset another asset's count. The model simulation executes a confirmed sleeve change on the next trading session. That delay can look late around a sharp turn. It is the price of refusing to trade every one-day reversal. Quantpedia's [asset-class trend-following summary](https://quantpedia.com/strategies/asset-class-trend-following) covers the general strategy, while Vanguard's [rebalancing guidance](https://investor.vanguard.com/investor-resources-education/portfolio-management/rebalancing-your-portfolio) explains the practical cost of changing a portfolio too often. ## Reading a VAMS card Read VAMS in layers: z-score, five votes, triggered rule, confirmation status, then multiplier. The badge gives the answer. The calculation details show whether it rests on broad trend confirmation or one unusually strong momentum reading.