Rate-of-Change Variants (ROC, ROCP, and ROCR)
Install and import#
npm install fintech-algorithmsimport { rateOfChangeVariantsRocRocpAndRocr } from "fintech-algorithms/technical-indicators/momentum/rate-of-change-variants-roc-rocp-and-rocr";Signature#
rateOfChangeVariantsRocRocpAndRocr(input)Expresses the same period-bar price ratio three ways: as a percentage, as a proportion, and as the raw ratio.
Parameters#
| Name | Type | Notes |
|---|---|---|
input | TopicInput | bars is a chronological array of OHLCV rows, each with a non-empty timestamp plus finite open, high, low, close and volume. From parameters this topic reads period (integer >= 2, default 14), the lookback in bars. The preamble also validates fast_period (default 5) and slow_period (default 34) before branching, so a bad value for either throws even though this topic does not use them. |
Returns#
TopicResult
series and latest carry three keys. rocp is close / close[-period] - 1, roc is 100 times rocp, and rocr is 1 + rocp. All three share the same null warm-up prefix.
Warm-up#
The first period bars (14 by default) positions are null. The first period bars have no reference close, so all three keys are null and ready_at is period, 14 on the canonical fixture. A close of exactly 0 period bars back also produces a null later in the series.
Errors#
- When
periodis not an integer >= 2 — throws Error - When
barsare not strictly increasing bytimestamp— throws Error
Complexity: time O(n),
space O(n).
Worked example#
executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.
Input#
{
"bars": [
{
"timestamp": "2024-01-02",
"basis": "synthetic-unadjusted",
"open": 100,
"high": 101.45,
"low": 98.695,
"close": 100,
"volume": 750000,
"benchmark": 200
},
{
"timestamp": "2024-01-03",
"basis": "synthetic-unadjusted",
"open": 101.49111452,
"high": 103.38381693,
"low": 100.05480022,
"close": 101.78791214,
"volume": 795117,
"benchmark": 200.56326135
},
{
"timestamp": "2024-01-04",
"basis": "synthetic-unadjusted",
"open": 102.45519048,
"high": 104.6701838,
"low": 100.91147007,
"close": 102.9549389,
"volume": 840234,
"benchmark": 201.11020913
}
],
"parameters": {}
}Call#
rateOfChangeVariantsRocRocpAndRocr(input)Returns#
object with 9 fields: topic_id, title, state, ready, ready_at, series, latest, parameters, …
{
"topic_id": "D07-F03-A10",
"title": "Rate-of-Change Variants (ROC, ROCP, and ROCR)",
"state": "calculated",
"ready": true,
"ready_at": 14,
"series": {
"roc": [null, null, null, null, null, null],
"rocp": [null, null, null, null, null, null],
"rocr": [null, null, null, null, null, null]
},
"latest": {
"roc": -3.185757936162148,
"rocp": -0.03185757936162148,
"rocr": 0.9681424206383785
},
"parameters": {},
"diagnostics": {
"causal": true,
"input_count": 96
}
}Diagrams#
Calculation flow#
Rate-of-Change Variants (ROC, ROCP, and ROCR) calculation flow
flowchart LR
A["an ordered price or OHLC series, declared lookbacks, smoot"] --> B["Validate order, basis, and finite values"]
B --> C["Apply the selected Rate-of-Change Variants (ROC, ROCP, and ROCR) convention"]
C --> D["Emit value, readiness, and diagnostics"]
D --> E["Interpret descriptively; test outcomes separately"]
B -->|invalid or insufficient| X["Withhold output with a reason"]
Rate-of-Change Variants (ROC, ROCP, and ROCR) readiness and evidence states
stateDiagram-v2
[*] --> Waiting
Waiting --> Ready: enough valid causal observations
Waiting --> Rejected: malformed or unsupported input
Ready --> Calculated: selected formula applied
Calculated --> Interpreted: diagnostic and limitation retained
Interpreted --> Ready: next observation arrives
Rejected --> Waiting: corrected input and deterministic reset
How it works#
This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.
References#
- TA-Lib function groups — see linked primary or authoritative record
- TA-Lib C/C++ API — see linked primary or authoritative record
- TA-Lib maintained source — see linked primary or authoritative record
- Evidence decision
- Level 1 evidence map