---
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 has one job: decide how much of an asset's top-down target should be active. It does not produce 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. At the portfolio level, a lower total-risk target requires two closes; adding risk or rotating at the same total-risk level requires five. The model simulation executes the confirmed allocation 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 is only the answer. The calculation details tell you whether that answer rests on broad trend confirmation or one unusually strong momentum reading.