Maths::RateOfChange< Observation, RoC > Struct Template Reference

A structure for calculating the Rate of Change (ROC) over a rolling window. More...

#include <rate_of_change.hpp>

Public Member Functions
	RateOfChange (std::size_t length)
	Initialize a new RoC with given history length \(n\). More...
std::size_t	get_length () const
	Return the length of the rate of change history. More...
RoC	get_rate_of_change () const
	Return the current rate of change (RoC). More...
void	reset ()
	Reset the history to its initial state.
void	process (Observation observation)
	Calculate the next RoC based on observation \(o_t\). More...

Static Public Attributes
static constexpr std::size_t	LENGTH_MIN = 2
	the inclusive minimal size for the length of the history
static constexpr std::size_t	LENGTH_MAX = std::numeric_limits<uint16_t>::max() - 1
	the inclusive maximal size for the length of the history

Detailed Description

template<typename Observation = double, typename RoC = double>
struct Maths::RateOfChange< Observation, RoC >

A structure for calculating the Rate of Change (ROC) over a rolling window.

Template Parameters

Observation	the type for the observations
RoC	the type for the rate of change to be calculated in

The Rate of Change (ROC), i.e., momentum, is a technical analysis indicator measuring the difference between values in a time series window. A moving window of values, i.e., history vector \(\boldsymbol{h}^n\), stores of the last \(n\) observations. An indexing variable \(i\) determines the head of the circular moving window. For a new observation \(o_t\) at time \(t\), the history vector is updated with the observation \(\boldsymbol{h_i} \gets o_t\). The RoC is calculated from the current observation \(\boldsymbol{h}_i\) and the oldest observation \(\boldsymbol{h}_{(i + 1) \bmod n}\) as:

\[ r_t = \frac{\boldsymbol{h}_i - \boldsymbol{h}_{(i + 1) \bmod n}}{\boldsymbol{h}_{(i + 1) \bmod n}}\]

The index is updated as \(i \gets (i + 1) \bmod n\).

Constructor & Destructor Documentation

RateOfChange()

template<typename Observation = double, typename RoC = double>

Maths::RateOfChange< Observation, RoC >::RateOfChange ( std::size_t  length )

inlineexplicit

Initialize a new RoC with given history length \(n\).

Parameters

length

the length of the history window \(n\)

Member Function Documentation

get_length()

template<typename Observation = double, typename RoC = double>

std::size_t Maths::RateOfChange< Observation, RoC >::get_length ( ) const

inline

Return the length of the rate of change history.

Returns

the length of the history window \(n\)

get_rate_of_change()

template<typename Observation = double, typename RoC = double>

RoC Maths::RateOfChange< Observation, RoC >::get_rate_of_change ( ) const

inline

Return the current rate of change (RoC).

Returns

the current RoC \(r_t\)

process()

template<typename Observation = double, typename RoC = double>

void Maths::RateOfChange< Observation, RoC >::process ( Observation  observation )

inline

Calculate the next RoC based on observation \(o_t\).

Parameters

observation

the observation \(o_t\) to integrate into the RoC

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The documentation for this struct was generated from the following file:

• include/maths/rate_of_change.hpp