Rate of Change with Bands

Rate of Change (ROC) with Bands, created by Vitali Apirine, is a volatility banded variant of Rate of Change (ROC). [Discuss] 💬

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// C# usage syntax
IReadOnlyList<RocWbResult> results =
  bars.ToRocWb(lookbackPeriods, emaPeriods, stdDevPeriods);

Parameters

param	description
lookbackPeriods int	Number of periods (N) to go back. Must be greater than 0. Typical values range from 10-20. Default is 20.
emaPeriods int	Number of periods for the ROC EMA line. Must be greater than 0. Default is 5.
stdDevPeriods int	Number of periods the standard deviation for upper/lower band lines. Must be greater than 0 and not more than lookbackPeriods. Default is 5.

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<RocWbResult>

RocWbResult

property	description
Timestamp DateTime	Date from evaluated TBar
Roc double?	Rate of Change over N lookback periods (%, not decimal)
RocEma double?	Exponential moving average (EMA) of Roc
UpperBand double?	Upper band of ROC (overbought indicator)
LowerBand double?	Lower band of ROC (oversold indicator)

Utilities

See Utilities and helpers for more information.

Streaming

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

RocWbList rocWbList = new(lookbackPeriods, emaPeriods, stdDevPeriods);

// call from your WebSocket or SSE message handler
void OnBarReceived(IBar bar) => rocWbList.Add(bar);

// based on `ICollection<RocWbResult>`; fills as the handler runs
IReadOnlyList<RocWbResult> results = rocWbList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
RocWbHub observer = barHub.ToRocWbHub(lookbackPeriods, emaPeriods, stdDevPeriods);

// call from your WebSocket or SSE message handler
void OnBarReceived(IBar bar) => barHub.Add(bar);

// results fill as the handler runs
IReadOnlyList<RocWbResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.

Chaining

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

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

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

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

See Chaining indicators for more.