Rate of Change Variants and Their Price-Comparison Limits

Summary

This document compares several common rate-of-change measures: raw momentum, percentage change, and ratio forms. It gives the corresponding formulas and maps several variants to names used in TA-Lib, TradeStation, and MetaStock. These definitions help readers distinguish indicators that may share similar labels across platforms.

The key interpretation is that raw momentum measures an absolute price difference, so its scale depends on the price series and it is unsuitable for direct comparisons across differently priced instruments. The percentage and ratio variants normalize by the earlier price, making them more comparable. The note also describes ROC and ROCP as zero-centered measures that can be positive or negative, but includes an apparent inconsistency in its stated equivalence between those two formulas and their scaling. It offers definitions rather than a tested trading signal, and gives no evidence about predictive performance or parameter choice.

Key ideas

• Raw momentum is the difference between the current price and a prior price, so it is not normalized across price series.
• ROC and ROCP express price change relative to the prior price, while ROCR and ROCR100 use ratio scales.
• Indicator names differ across TA-Lib, TradeStation, and MetaStock.
• The formulas and stated relationship between ROC and ROCP should be checked carefully because their scaling is presented inconsistently.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.