Description
The Rate Of Change With Bands (ROCWB) strategy is based on the eponymous technical indicator developed by Vitali Apirine. This strategy acts on the combination of two factors: current trend and overbought/oversold conditions. The strategy attempts to detect uptrend by comparing the current price to an exponential moving average (EMA); overbought/oversold levels are detected based on the crossovers of the average rate of change with ROCWB bands.
The strategy adds simulated orders based on the following conditions:
- Buy to open. A simulated order of this type is added when an uptrend is detected and the average ROC crosses above the lower band.
- Sell to close. A simulated order of this type is added either when the average ROC crosses below the upper band while in uptrend or when the price crosses below EMA.
- Sell to open. A simulated order of this type is added when the average ROC crosses below the upper band while in downtrend.
- Buy to close. A simulated order of this type is added either when the average ROC crosses above the lower band while in downtrend or when the price crosses above EMA.
Input Parameters
| Parameter | Description |
|---|---|
price
|
The type of price to be used in calculations. |
roc length
|
The length to calculate the rate of change with. |
average length
|
The length to calculate the moving average with. |
rms length
|
The length to calculate root mean square with. |
ema length
|
The length to calculate the trend-detecting EMA with. |
num rmss
|
Defines the distance between the average ROC and both upper and lower bands in standard deviations of the average ROC. |
average type
|
The type of moving average to be used in calculations: simple, exponential, weighted, Wilder's, or Hull. |
Plots
| Plot | Description |
|---|---|
EMA
|
Exponential moving average of price. |
Further Reading
1. "Rate Of Change With Bands" by Vitali Apirine. Technical Analysis of Stocks & Commodities, March 2021.
Backtesting is the evaluation of a particular trading strategy using historical data. Results presented are hypothetical, and there is no guarantee that the same strategy implemented today would produce similar results.
Technical analysis is not recommended as a sole means of investment research.
For educational purposes only. Not a recommendation of a specific security or investment strategy.