ROC — Rate of Change

Percentage price change over the last N bars. The normalized cousin of Momentum. Single value.

Signature

ROC(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Lookback. Default 14, bounds 1–200.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{ROC} = \frac{\text{close}t - \text{close}{t-N}}{\text{close}_{t-N}} \times 100 $$

Warmup

period + 1 bars (the window must hold both endpoints). Reads 0 until then.

Reading the value

roc = ROC(14, on=self.trade)

roc.value                  # percentage, e.g. 3.2 = +3.2% over 14 bars
roc.crossed_above(0)       # momentum turning positive

Example

class RocMomentum(Strategy):
    """Enter on strong momentum, exit when it fades."""
    period = Param(14, min=5, max=50)
    threshold = Param(5, min=1, max=20)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        roc = ROC(self.period, on=self.trade)
        self.stop_loss(3.0)

        if roc.crossed_above(self.threshold) and self.trade.is_flat:
            self.buy(self.trade, reason=f"ROC {roc.value:.1f}%")

        if roc.crossed_below(0) and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Momentum faded")

Notes

• ROC is percentage-based, so thresholds transfer across instruments — unlike Momentum, whose absolute value scales with price.
• ROC oscillates around zero with no bounds — a ±100 clamp does not exist (a stock that doubles reads +100).
• Zero-line crosses are the coarse regime signal; threshold crosses (as in the example) trade the acceleration.