Rate of Change / Momentum

Share:

Description

Calculate the (rate of) change of a series over n periods.

Usage

1
2
3
4
  ROC(x, n = 1, type = c("continuous", "discrete"),
    na.pad = TRUE)

  momentum(x, n = 1, na.pad = TRUE)

Arguments

x

Price, volume, etc. series that is coercible to xts or matrix.

n

Number of periods to use.

type

Compounding type; either "continuous" (the default) or "discrete".

na.pad

Should periods prior to n be appended? Default is TRUE.

Details

The ROC indicator provides the percentage difference of a series over two observations, while the momentum indicator simply provides the difference.

Value

A object of the same class as x or a vector (if try.xts fails) containing the rate-of-change (or return) values for ROC or a vector containing the differenced price series for momentum.

Author(s)

Joshua Ulrich

Examples

1
2
3
data(ttrc)
roc <- ROC(ttrc[,"Close"])
mom <- momentum(ttrc[,"Close"])

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.