Rate of Change (ROC)

get_roc(quotes, lookback_periods, sma_periods=None)

Parameters

name type notes
quotes Iterable[Quote] Iterable of the Quote class or its sub-class.
See here for usage with pandas.DataFrame
lookback_periods int Number of periods (N) to go back. Must be greater than 0.
sma_periods int, Optional Number of periods in the moving average of ROC. Must be greater than 0, if specified.

Historical quotes requirements

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

quotes is an Iterable[Quote] collection of historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Returns

ROCResults[ROCResult]

ROCResult

name type notes
date datetime Date
roc float, Optional Rate of Change over N lookback periods (%, not decimal)
roc_sma float, Optional Moving average (SMA) of ROC based on sma_periods periods, if specified

Utilities

See Utilities and Helpers for more information.

Example

from stock_indicators import indicators

# This method is NOT a part of the library.
quotes = get_history_from_feed("SPY")

# calculate 20-period ROC
results = indicators.get_roc(quotes, 20)

ROC with Bands

get_roc_with_band(quotes, lookback_periods, ema_periods, std_dev_periods)

Parameters with Bands

name type notes
quotes Iterable[Quote] Iterable of the Quote class or its sub-class.
See here for usage with pandas.DataFrame
lookback_periods int Number of periods (N) to go back. Must be greater than 0. Typical values range from 10-20.
ema_periods int Number of periods for the ROC EMA line. Must be greater than 0. Standard is 3.
std_dev_periods int Number of periods the standard deviation for upper/lower band lines. Must be greater than 0 and not more than lookback_periods. Standard is to use same value as lookback_periods.

Returns with Bands

ROCWBResults[ROCWBResult]

ROCWBResult

name type notes
date datetime Date
roc float, Optional Rate of Change over N lookback periods (%, not decimal)
roc_ema float, Optional Exponential moving average (EMA) of roc
upper_band float, Optional Upper band of ROC (overbought indicator)
lower_band float, Optional Lower band of ROC (oversold indicator)

About Rate of Change (ROC)

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

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ROC with Bands variant

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Sources