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 indicator for RateOfChangeRatio, call the ROCRrocr helper method from the QCAlgorithm class. The ROCRrocr 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 Initializeinitialize 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.add_equity("SPY", Resolution.DAILY).symbol
        self._rocr = self.rocr(self._symbol, 10)

    def on_data(self, slice: Slice) -> None:

        if self._rocr.is_ready:
            # The current value of self._rocr is represented by self._rocr.current.value
            self.plot("RateOfChangeRatio", "rocr", self._rocr.current.value)

For more information about this method, see the QCAlgorithm classQCAlgorithm class.

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 Updateupdate method. The indicator will only be ready after you prime it with enough data.

public class RateOfChangeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private RateOfChangeRatio _rateofchangeratio;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _rateofchangeratio = new RateOfChangeRatio(10);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
            _rateofchangeratio.Update(bar.EndTime, bar.Close);

        if (_rateofchangeratio.IsReady)
        {
            // The current value of _rateofchangeratio is represented by itself (_rateofchangeratio)
            // or _rateofchangeratio.Current.Value
            Plot("RateOfChangeRatio", "rateofchangeratio", _rateofchangeratio);
        }
    }
}
class RateOfChangeRatioAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._rateofchangeratio = RateOfChangeRatio(10)

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._rateofchangeratio.update(bar.end_time, bar.close)

        if self._rateofchangeratio.is_ready:
            # The current value of self._rateofchangeratio is represented by self._rateofchangeratio.current.value
            self.plot("RateOfChangeRatio", "rateofchangeratio", self._rateofchangeratio.current.value)

For more information about this indicator, see its referencereference.

Visualization

The following plot shows values for some of the RateOfChangeRatio indicator properties:

RateOfChangeRatio line plot.

Indicator History

To get the historical data of the RateOfChangeRatio indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription. 

public class RateOfChangeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private RateOfChangeRatio _rocr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _rocr = ROCR(_symbol, 10);

        var indicatorHistory = IndicatorHistory(_rocr, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_rocr, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_rocr, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class RateOfChangeRatioAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._rocr = self.rocr(self._symbol, 10)

        indicator_history = self.indicator_history(self._rocr, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._rocr, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._rocr, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

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