Momentum/Change/ROC Scripting – the difference

Optuma Forums Optuma Scripting Momentum/Change/ROC Scripting – the difference

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  • #68991
    Tim
    • Topics: 25
    • Replies: 23
    • Posts: 48

    Hi,

    I was reading Mathews https://www.optuma.com/rate-of-change-acceleration/ blog and wanted to do some testing for myself.

    I have the following three scripts which based Mathews comments “Momentum and Rate of Change are then basically the same thing, but Rate of Change is in terms of percentage change” I was expecting the same results from all three scripts (as Momentum is set to % as well).

    However based on 15/08/2022 EOD date for SLX-Silex Systems I am getting MM3Mo% = 123.57%, %1Qrt = 140.77% and ROC Qtr Todate 49.05%.

    Is this because the three scripts are looking at different time frames?

    #68999
    Darren
    • Topics: 70
    • Replies: 871
    • Posts: 941

    Hi Tim,

    Yes – it’s the timeframes. The momentum and ROC formulas are using monthly data, whereas the CHANGE() is daily, looking back 3 months. Put the 3 formulas in a Show View below a chart and you will see the difference.

    Note that momentum is based on change in value ($) by default, but can be changed to percent (which will match the ROC value).

    #69009
    Tim
    • Topics: 25
    • Replies: 23
    • Posts: 48

    Hi Darren,

    Thanks.

    The Momentum formula is set to percent so it should be producing the same result as the ROC formula?

    Tim

    #69011
    Darren
    • Topics: 70
    • Replies: 871
    • Posts: 941

    With the ROC you are looking at a 1 period 3 month change, rather than a 3 period 1 month change. Change it to this and they will be the same:

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