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Reversion Docs

ROC Overview

Rate of Change (ROC) measures the percentage change in price over n periods — the simplest momentum indicator. ROC = ((Close - Close[n]) / Close[n]) × 100. Positive = price rising, Negative = price falling.

ROC’s strength is its simplicity and directness — it answers “how much has price changed?” without any smoothing or transformation.

How Rate of Change Works

Section titled “How Rate of Change Works”

Core Concept

Section titled “Core Concept”
  1. Calculate ROC value from the input price/volume data
  2. Apply smoothing if applicable
  3. Compare to threshold or signal line for signal generation
  4. Interpret: Signals indicate momentum direction or extremes

Key Characteristics:

  • Momentum Indicator = Measures momentum direction and strength
  • Signal Line Available = Yes
  • Bounded = No (unbounded)

Visual Interpretation

Section titled “Visual Interpretation”

ROC Behavior:

  • Bullish momentum
  • Bearish momentum
  • Signal line crossovers provide timing signals

Trading Signals Available on Reversion

Section titled “Trading Signals Available on Reversion”

These are the signal names you select when configuring ROC in the algorithm builder or via the MCP agent:

SignalTriggers WhenTypical Use
roc_positiveROC value is positive (price higher than n bars ago)Bullish momentum
roc_negativeROC value is negative (price lower than n bars ago)Bearish momentum
roc_above_signalLineROC crosses above its signal lineMomentum accelerating
roc_below_signalLineROC crosses below its signal lineMomentum decelerating

Display: Separate pane

Category: Momentum

Threshold range: Unbounded (centered on zero, percentage-based)

Key Characteristics

Section titled “Key Characteristics”

What Rate of Change Does Well:

  • Clear Directional Signals
  • Combines well with trend filters
  • Signal line crossovers signals for entry timing