Rate of Change (ROC)

Rate of Change, also known as Momentum Oscillator, is the percent change of price over a lookback window. Momentum is the raw price change equivalent. A Rate of Change with Bands variant, created by Vitali Apirine, is also available. [Discuss] 💬

// C# usage syntax
IReadOnlyList<RocResult> results =
  bars.ToRoc(lookbackPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) to go back. Must be greater than 0. Default is 14.

Historical price bars requirements

You must have at least N+1 periods of bars to cover the warmup periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<RocResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N periods will have null values for ROC since there's not enough data to calculate.

RocResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Momentum	double	Raw change in price over N periods
Roc	double	Percent change in price (%, not decimal)

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = bars
    .Use(CandlePart.HL2)
    .ToRoc(..);

Results can be further processed on Roc with additional chain-enabled indicators.

// example
var results = bars
    .ToRoc(..)
    .ToEma(..);

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

RocList rocList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  rocList.Add(bar);
}

// based on `ICollection<RocResult>`
IReadOnlyList<RocResult> results = rocList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
RocHub observer = barHub.ToRocHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<RocResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.