Supported Indicators
Rate Of Change Ratio
Introduction
This indicator computes the Rate Of Change Ratio (ROCR). The Rate Of Change Ratio is calculated with the following formula: ROCR = price / prevPrice
To view the implementation of this indicator, see the LEAN GitHub repository.
Using ROCR Indicator
To create an automatic indicators for RateOfChangeRatio
, call the ROCR
helper method from the QCAlgorithm
class. The ROCR
method creates a RateOfChangeRatio
object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize
method.
public class RateOfChangeRatioAlgorithm : QCAlgorithm { private Symbol _symbol; private RateOfChangeRatio _rocr; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _rocr = ROCR(_symbol, 10); } public override void OnData(Slice data) { if (_rocr.IsReady) { // The current value of _rocr is represented by itself (_rocr) // or _rocr.Current.Value Plot("RateOfChangeRatio", "rocr", _rocr); } } }
class RateOfChangeRatioAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.rocr = self.ROCR(self.symbol, 10) def OnData(self, slice: Slice) -> None: if self.rocr.IsReady: # The current value of self.rocr is represented by self.rocr.Current.Value self.Plot("RateOfChangeRatio", "rocr", self.rocr.Current.Value)
The following reference table describes the ROCR
method:
ROCR()1/1
RateOfChangeRatio QuantConnect.Algorithm.QCAlgorithm.ROCR (Symbol
symbol,Int32
period,*Nullable<Resolution>
resolution,*Func<IBaseData, Decimal>
selector )
Creates a new RateOfChangeRatio indicator.
If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.
For more information about the selector argument, see Alternative Price Fields.
For more information about plotting indicators, see Plotting Indicators.
You can manually create a RateOfChangeRatio
indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.
Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update
method with time/number pair, or an IndicatorDataPoint
. The indicator will only be ready after you prime it with enough data.
public class RateOfChangeRatioAlgorithm : QCAlgorithm { private Symbol _symbol; private RateOfChangeRatio _rocr; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _rocr = new RateOfChangeRatio(10); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _rocr.Update(bar.EndTime, bar.Close); } if (_rocr.IsReady) { // The current value of _rocr is represented by itself (_rocr) // or _rocr.Current.Value Plot("RateOfChangeRatio", "rocr", _rocr); } } }
class RateOfChangeRatioAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.rocr = RateOfChangeRatio(10) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.rocr.Update(bar.EndTime, bar.Close) if self.rocr.IsReady: # The current value of self.rocr is represented by self.rocr.Current.Value self.Plot("RateOfChangeRatio", "rocr", self.rocr.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class RateOfChangeRatioAlgorithm : QCAlgorithm { private Symbol _symbol; private RateOfChangeRatio _rocr; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _rocr = new RateOfChangeRatio(10); RegisterIndicator(_symbol, _rocr, Resolution.Daily); } public override void OnData(Slice data) { if (_rocr.IsReady) { // The current value of _rocr is represented by itself (_rocr) // or _rocr.Current.Value Plot("RateOfChangeRatio", "rocr", _rocr); } } }
class RateOfChangeRatioAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.rocr = RateOfChangeRatio(10) self.RegisterIndicator(self.symbol, self.rocr, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.rocr.IsReady: # The current value of self.rocr is represented by self.rocr.Current.Value self.Plot("RateOfChangeRatio", "rocr", self.rocr.Current.Value)
The following reference table describes the RateOfChangeRatio
constructor:
RateOfChangeRatio()1/2
RateOfChangeRatio QuantConnect.Indicators.RateOfChangeRatio (string
name,int
period )
Initializes a new instance of the RateOfChangeRatio
class using the specified name and period.
RateOfChangeRatio()2/2
RateOfChangeRatio QuantConnect.Indicators.RateOfChangeRatio (
int
period
)
Initializes a new instance of the RateOfChangeRatio
class using the specified period.
Visualization
The following image shows plot values of selected properties of RateOfChangeRatio
using the plotly library.
