Rate of Change (ROC)

Category: momentum

Percent change of close over N bars; raw momentum measure used in time-series momentum research.

Formula

ROC = 100·(close_t − close_{t−N}) / close_{t−N}

Inputs

• period (default: 12)

See signal primitives and every published strategy that uses Rate of Change (ROC) on WOBR StrategyVerse.