Returns computes the percentage change between the current close and the close period bars ago. Same shape as ROC; the name reflects how the quantity is used in performance / factor models.

Formula

returns[t] = (close[t] - close[t-N]) / close[t-N]

Params

period - lookback in bars. Required.

Output

Single column named after your indicator (e.g. 5-bar return).

Usage

Building block. Examples:

Momentum filter: returns > 0 over a 20-bar window as a long bias.
Drawdown gate: skip entries when returns_60 < -0.05 (recent 5% drawdown).

Returns vs ROC

Returns is in fractional units (0.05 = 5%); ROC is in percentage units (5 = 5%). Pick the one that matches the rest of your conditions and stick with it.

Pitfalls

Same as ROC - single-bar shocks dominate short windows and create noisy signals.