ROC with Bands

Rate of Change (ROC) with Bands, created by Vitali Apirine, is a volatility banded variant of Rate of Change (ROC). [Discuss] 💬

// C# usage syntax
IReadOnlyList<RocWbResult> results =
  bars.ToRocWb(lookbackPeriods, emaPeriods, stdDevPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) to go back. Must be greater than 0. Typical values range from 10-20.
emaPeriods	int	Number of periods for the ROC EMA line. Must be greater than 0. Standard is 3.
stdDevPeriods	int	Number of periods the standard deviation for upper/lower band lines. Must be greater than 0 and not more than lookbackPeriods. Standard is to use same value as lookbackPeriods.

Historical price bars requirements

You must have at least N+1 periods of bars to cover the warmup periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<RocWbResult>

RocWbResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Roc	double	Rate of Change over N lookback periods (%, not decimal)
RocEma	double	Exponential moving average (EMA) of Roc
UpperBand	double	Upper band of ROC (overbought indicator)
LowerBand	double	Lower band of ROC (oversold indicator)

Utilities

See Utilities and helpers for more information.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

RocWbList rocWbList = new(lookbackPeriods, emaPeriods, stdDevPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  rocWbList.Add(bar);
}

// based on `ICollection<RocWbResult>`
IReadOnlyList<RocWbResult> results = rocWbList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
RocWbHub observer = barHub.ToRocWbHub(lookbackPeriods, emaPeriods, stdDevPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<RocWbResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = bars
    .Use(CandlePart.HL2)
    .ToRocWb(..);

Results can be further processed on Roc with additional chain-enabled indicators.

// example
var results = bars
    .ToRocWb(..)
    .ToEma(..);

See Chaining indicators for more.