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]

This method returns a time series of all available indicator values for the quotes provided.
ROCResults is just a list of ROCResult.
It always returns the same number of elements as there are in the historical quotes.
It does not return a single incremental indicator value.
The first N periods will have None values for ROC since there’s not enough data to calculate.

ROCResult

name	type	notes
`date`	datetime	Date
`momentum`	float, Optional	Raw change in price over `N` periods
`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_historical_quotes("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. Momentum is the raw price change equivalent. A Rate of Change with Bands variant, created by Vitali Apirine, is also available. [Discuss] 💬