VolumeROC — Volume Rate of Change

Percentage change in volume over N bars. The participation spike that confirms a breakout — or its absence, which is the more useful signal: a new high on volume 40% below normal is a different event from one on double volume.

Signature

VolumeROC(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Lookback. Default 14, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads volume.

Formula

$$ \text{VROC} = 100,\frac{V_t - V_{t-n}}{V_{t-n}} $$

Warmup

period + 1 bars; 0 until then, and 0 if the reference bar had no volume.

Reading the value

vroc.value
vroc > 50

Example

class VolumeSpike(Strategy):
    """Only take breakouts accompanied by a volume surge."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        vroc = VolumeROC(14, on=self.trade)
        dh = DonchianHighTrue(20, on=self.trade)
        if self.trade.close >= dh.value_at(1) and vroc.value > 50 and self.trade.is_flat:
            self.buy(self.trade, reason=f"Breakout, volume +{vroc.value:.0f} pct")
        if self.trade.close < dh.value * 0.97 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Failed break")

Notes

• The standard rate-of-change construction applied to volume.
• Compares against one bar n back, so it inherits that bar’s noise. RelativeVolume compares against an average and is steadier.