What's the difference between the ROC() and CHANGE() functions?

Optuma Forums Optuma Scripting What's the difference between the ROC() and CHANGE() functions?

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    Darren
    Darren
    • Topics: 22
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    The Rate of Change ROC() and CHANGE() functions are essentially the same (ie they calculate the % change over a user-defined lookback period). For example, the following columns on a daily watchlist will give the same values using the different functions. (Note that ROC(BARS=5) will only be the same as CHANGE(INT_TYPE=Week) in a 5 day trading week.)

    Capture

    However, the results will be different when changing timeframes.

    For example, ROC(Week(PERIODAMOUNT=1), BARS=1) uses weekly data, so will use the previous week’s (Friday) close to calculate the percentage change, whereas CHANGE(INT_TYPE=Week) will be a rolling weekly change, ie, Monday to Monday, Wednesday to Wednesday, etc.

    As such, when viewed on a Friday both will have the same values – as long as the markets were open on Friday – but on a Wednesday the ROC(Week(PERIODAMOUNT=1), BARS=1) function will show the performance of just the current week (since Friday) and the CHANGE(INT_TYPE=Week) will calculate Wednesday to Wednesday.

    Here’s an example comparing the two in a watchlist column and Time Price Measure tool on the chart of XIJ (notice the Bars and Days counts).

    Capture

     

     

    • This topic was modified 3 months, 3 weeks ago by Darren Darren.
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