QuanTAlib/lib/numerics/change/Change.md

CHANGE: Relative Price Change

The simplest measure of movement is often the most powerful.

Property	Value
Category	Numeric
Inputs	Source (close)
Parameters	period (default 1)
Outputs	Single series (Change)
Output range	Varies (see docs)
Warmup	period + 1 bars
PineScript	change.pine

• CHANGE calculates the percentage change between the current value and a value N periods ago.
• Trading note: Simple price change (difference); foundation for momentum and rate-of-change calculations.
• Validated against TA-Lib, Skender, and Tulip reference implementations where available.

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.

Mathematical Foundation

The change calculation is straightforward:

\text{Change}_t = \frac{P_t - P_{t-n}}{P_{t-n}}

where:

• P_t = current price
• P_{t-n} = price N periods ago
• Result is expressed as a decimal (multiply by 100 for percentage)

Edge Cases

• Division by zero: When P_{t-n} = 0, returns 0
• NaN/Infinity inputs: Uses last valid value substitution

Performance Profile

Operation Count (Per Bar)

Operation	Count	Notes
Subtraction	1	Current - Past
Division	1	Conditional on past ≠ 0
Buffer access	1	Ring buffer lookup
Total	~3	O(1) constant time

Quality Metrics

Metric	Score	Notes
Accuracy	10/10	Exact mathematical calculation
Timeliness	10/10	No lag beyond lookback period
Smoothness	3/10	Raw returns are noisy
Memory	9/10	Only stores period+1 values

Validation

Library	Status	Notes
TA-Lib	✅	ROC function (divide by 100)
Skender	✅	Roc indicator
Manual	✅	Direct calculation verified

Common Pitfalls

1. Percentage vs Decimal: QuanTAlib returns decimal (0.1 = 10%), while TA-Lib ROC returns percentage (10.0 = 10%). Multiply by 100 when comparing.

2. Warmup Period: Requires period + 1 bars before producing meaningful results. First period values return 0.

3. Zero Division: When the past value is zero, returns 0 rather than NaN/Infinity.

4. Compounding: For multi-period returns, geometric compounding may be more appropriate than simple arithmetic change.

Usage Examples

// Period-1 change (simple return)
var change = new Change(1);

// 10-period momentum
var momentum = new Change(10);

// Chained from another indicator
var smaChange = new Change(new Sma(20), 5);

References

• Murphy, J. (1999). "Technical Analysis of the Financial Markets." New York Institute of Finance.
• Pring, M. (2002). "Technical Analysis Explained." McGraw-Hill.