Momentum/Change/ROC Scripting - the difference

Optuma Scripting
1

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?

//MM3Mo%
MOMENTUM(Month(PERIODAMOUNT=1), TYPE=Percentage, TOOLCALCTYPE=Percentage, BARS=3)/100

//%1Qrt
CHANGE(INT_TYPE=Month, INT_COUNT=3)/100

//ROC Qtr Todate
ROC(Month(PERIODAMOUNT=3), BARS=1)/100
2

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).

3

Hi Darren,

Thanks.

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

Tim

4

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:

ROC(Month(PERIODAMOUNT=1), BARS=3)/100