Annualized ROC / HV Ratios

Category: volatility, momentum

Calculates the ratio of Annualized Rate of Change (ROC) to Annualized Historical Volatility (HV), essentially a rolling Sharpe-like performance metric for raw price action.

Formula

ratio = \frac{((\frac{Close_{t}}{Close_{t-n}})^{\frac{252}{n}} - 1) \times 100}{\text{stdev}(\text{returns}, n) \times \sqrt{252} \times 100}

Inputs

• useLogReturns (default: true)

See signal primitives and every published strategy that uses Annualized ROC / HV Ratios on WOBR StrategyVerse.