TTR (version 0.21-1)

changes: Rate of Change / Momentum

Description

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

Usage

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.

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.

concept

returns

Details

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

Examples

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