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.