Rate of Change (roc)

[[roc]] compares the current value of source with its value length candles ago and expresses the difference relative to that starting value. For the usual case of a positive price source, +10 means that the current value is 10% above the start of the interval, -10 means that it is 10% below, and 0 means that it is unchanged. The series moves around zero and has no fixed bounds.

Because ROC measures relative change rather than a raw difference, it normalizes away the nominal price level: moves that occur at different price scales use the same percentage scale. length sets the distance between the two values being compared, so a short length covers a recent interval while a larger length covers a longer one. Only the two endpoints are compared; the path between them does not affect the result.

Block declaration#

A strategy can contain multiple [[roc]] blocks. Each block outputs one numeric series, exposed through the block id.

Examples#

Minimal setup#

This block computes ROC on the close series. Because source and length are omitted, the defaults are source = "close" and length = 9.

[[roc]]
id = "roc"

Custom fixed setup#

This block computes ROC on hlc3 with a 20 candle lag.

[[roc]]
id     = "roc"
source = "hlc3"
length = 20

Finding the optimal length#

This block explores several length values to identify the lag that best fits the strategy.

[[roc]]
id           = "roc"
source       = "close"
length.start = 5
length.stop  = 30
length.step  = 5

Positive momentum filter#

This example uses ROC inside a condition. The condition becomes true when the current source is above its value from length candles ago.

[[roc]]
id = "roc"

[[condition]]
id            = "positive_momentum"
condition     = "roc > 0"
next_block_id = "..."

Parameters#

Available variables#

Use the identifiers below directly in your expressions. The ROC block exposes a numeric series and its length, along with the input source, symbol, and timeframe.

Assuming the block is configured as follows:

[[roc]]
id = "roc"

Then:

Notes

• Numeric variables can be freely combined in formulas (arithmetic, comparisons, logical operators).
• Text variables are strings intended only for equality and inequality comparisons.
• The directional reading of the sign assumes that the past value is positive. A negative past value reverses that reading through the denominator.
• If the source value length candles ago is zero, ROC is positive or negative infinity according to the sign of the current value. If the current value is also zero, ROC is NaN.