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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
93 lines
3.2 KiB
Markdown
93 lines
3.2 KiB
Markdown
# CHANGE: Relative Price Change
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> *The simplest measure of movement is often the most powerful.*
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| Property | Value |
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| ---------------- | -------------------------------- |
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| **Category** | Numeric |
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| **Inputs** | Source (close) |
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| **Parameters** | `period` (default 1) |
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| **Outputs** | Single series (Change) |
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| **Output range** | Varies (see docs) |
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| **Warmup** | `period + 1` bars |
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| **PineScript** | [change.pine](change.pine) |
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- CHANGE calculates the percentage change between the current value and a value N periods ago.
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- **Trading note:** Simple price change (difference); foundation for momentum and rate-of-change calculations.
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- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
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CHANGE calculates the percentage change between the current value and a value N periods ago. This fundamental indicator forms the basis for momentum analysis, rate of change calculations, and relative performance comparisons.
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## Mathematical Foundation
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The change calculation is straightforward:
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$$
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\text{Change}_t = \frac{P_t - P_{t-n}}{P_{t-n}}
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$$
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where:
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- $P_t$ = current price
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- $P_{t-n}$ = price N periods ago
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- Result is expressed as a decimal (multiply by 100 for percentage)
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### Edge Cases
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- **Division by zero**: When $P_{t-n} = 0$, returns 0
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- **NaN/Infinity inputs**: Uses last valid value substitution
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## Performance Profile
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### Operation Count (Per Bar)
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| Operation | Count | Notes |
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| :--- | :---: | :--- |
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| Subtraction | 1 | Current - Past |
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| Division | 1 | Conditional on past ≠ 0 |
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| Buffer access | 1 | Ring buffer lookup |
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| **Total** | **~3** | O(1) constant time |
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### Quality Metrics
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| Metric | Score | Notes |
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| :--- | :---: | :--- |
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| **Accuracy** | 10/10 | Exact mathematical calculation |
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| **Timeliness** | 10/10 | No lag beyond lookback period |
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| **Smoothness** | 3/10 | Raw returns are noisy |
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| **Memory** | 9/10 | Only stores period+1 values |
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## Validation
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| Library | Status | Notes |
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| :--- | :---: | :--- |
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| **TA-Lib** | ✅ | ROC function (divide by 100) |
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| **Skender** | ✅ | Roc indicator |
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| **Manual** | ✅ | Direct calculation verified |
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## Common Pitfalls
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1. **Percentage vs Decimal**: QuanTAlib returns decimal (0.1 = 10%), while TA-Lib ROC returns percentage (10.0 = 10%). Multiply by 100 when comparing.
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2. **Warmup Period**: Requires `period + 1` bars before producing meaningful results. First `period` values return 0.
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3. **Zero Division**: When the past value is zero, returns 0 rather than NaN/Infinity.
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4. **Compounding**: For multi-period returns, geometric compounding may be more appropriate than simple arithmetic change.
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## Usage Examples
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```csharp
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// Period-1 change (simple return)
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var change = new Change(1);
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// 10-period momentum
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var momentum = new Change(10);
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// Chained from another indicator
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var smaChange = new Change(new Sma(20), 5);
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```
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## References
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- Murphy, J. (1999). "Technical Analysis of the Financial Markets." New York Institute of Finance.
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- Pring, M. (2002). "Technical Analysis Explained." McGraw-Hill. |