Rate of change (63d)

Formula

ROC = price today / price 63 trading days ago − 1.

Interpretation

Positive quarterly momentum tends to persist over the following weeks — the base of the momentum literature.

What good looks like

Solidly positive alongside a trend the averages confirm.

What bad looks like

Deeply negative — catching falling knives fights the strongest documented anomaly in markets.

Typical range

±15% covers a typical large-cap quarter.

Limitations

One quarter of history in a single number — reversals show up all at once.

How OmniSignal uses it

The most honest momentum number: no smoothing, no parameters, verifiable in two data points.

Where it enters the score

A t-statistic version of short/medium return momentum is a core input to the engine’s momentum sleeve; this display value is the unnormalized cousin.

References

Jegadeesh & Titman (1993), Journal of Finance