roc¶

Defined in fynance.features.indicators

roc(X, w=14, axis=0, dtype=None)[source]

Rate of Change momentum indicator.

Percentage change of the series over a lagged window w: \(ROC^w_t = 100 \cdot (X_t / X_{t-w} - 1)\). Strictly causal — the first w points use the first observation as the base (expanding).

Parameters:

Xnp.ndarray[dtype, ndim=1 or 2]: Price/level series.
wint, optional: Lag window. Default 14.
axis{0, 1}, optional: Axis of computation. Default 0.
dtypenp.dtype, optional: Output dtype.

Returns:

np.ndarray[dtype, ndim=1 or 2]: Rate of change in percent.

Examples

>>> X = np.array([10., 11., 12., 13., 14.])
>>> roc(X, w=2)
array([ 0.        , 10.        , 20.        , 18.18181818, 16.66666667])