Roc
class backtide.strategies.Roc(period=12)
Rate of Change momentum strategy.
A simple momentum strategy based on Rate of Change. Buys when the ROC over a specified period exceeds an upper threshold (strong upward momentum) and sells when ROC falls below a lower threshold. Useful as a straightforward momentum filter.
| Parameters |
ROC look-back period.
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| Attributes |
Human-readable strategy name.
is_multi_asset : bool
Whether this is a multi-asset strategy.
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See Also
Trend-following strategy driven by short-term price momentum.
Multi-asset portfolio rotation ranked by Rate of Change.
Relative Strength Index combined with Bollinger Bands for dual confirmation.
Methods
| description | Short explanation of what the strategy does. |
| evaluate | Evaluate the strategy and return orders. |
| required_indicators | Indicators that must be computed up-front for this strategy. |
method description()
Short explanation of what the strategy does.
| Returns |
str
The description.
|
method evaluate(data, portfolio, state, indicators=None)
Evaluate the strategy and return orders.
| Parameters |
data : dict[str, np.array | pd.DataFrame | pl.DataFrame]
Keys are the experiment's symbols and values are the historical
OHLCV data available up to the current bar.
portfolio : Portfolio
Current portfolio holdings (cash, positions and open orders).
state : State
Current simulation state.
indicators : dict[str, dict[str, np.array | pd.DataFrame | pl.DataFrame]] | None
The first keys are the indicator names. The second keys are the
experiment's symbols. The values are the pre-computed indicator
values.
None if no indicators were selected.
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| Returns |
list[Order]
Orders to place this tick.
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method required_indicators()
Indicators that must be computed up-front for this strategy.
Returns a list of indicator instances, already parameterized with this strategy's current settings, that the engine will auto-include before the backtest starts.
| Returns |
list[BaseIndicator]
The required indicator instances.
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