A plain-English explainer — then the honest backtest, because knowing what it is isn't the same as knowing whether it works.
Rate of Change (ROC) measures how far price has moved over a set lookback — say the last 20 or 126 days — as a percentage. It's one of the purest ways to put a number on 'momentum'.
Momentum strategies buy what's already been going up, betting that recent strength persists. The lookback window is the whole decision: one-month momentum behaves nothing like six-month momentum.
Momentum is one of the most robust effects in all of finance — and honest backtests broadly agree the longer-horizon versions hold up well, while very short lookbacks are noisier.
Does Rate of Change (momentum) actually work?
Don't take the textbook's word for it — see the honest, survivorship-free score.
See the honest backtest →ROC momentum · one-month momentum · six-month momentum · the ROC zero-line cross · all strategies →
Rate of Change (ROC) measures how far price has moved over a set lookback — say the last 20 or 126 days — as a percentage. It's one of the purest ways to put a number on 'momentum'. Momentum strategies buy what's already been going up, betting that recent strength persists. The lookback wi
On its own, Rate of Change (momentum) is an indicator, not a guarantee. We backtested the strategies built on it with survivorship-free data — see the honest scores linked below.
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Educational, not financial advice. An honest backtest score measures whether a result survives statistical scrutiny — it does not predict future profit, and is not a buy or sell signal. · About · FAQ · All strategies