It really depends. If the horse is going to be raced the race horse names tend to really vary a lot - many relate to bloodlines or something about the breeder, owner, etc.
If the horse is going to be shown on the show hunter, circuit, many of their names tend to be a place, a play on words, something cute.
Show jumper names can get REALLY cute - my friend had one called 'Where's the Money' and one called 'Line Your Wallet'.
Hunter names - vary from fun to classy - 'Chad's Ford' for a PA horse - 'Rox Dene' was one of the great hunters of all time, their names vary.
It's a strapping colt. Just really built nice.
Looks like he's going to be chestnut, and have some white on its feet. It's just going to be such a nice colt.
I think that the dam, Pumpkin Roll is Rocky Mountain/Alydar.
The sire is Wiseman's Ferry which Hennesy/Storm Cat
I think the name should come from the name of the gransire and damsire, Rocky Mountain and Storm Cat
So for a race horse it's important the name is easy to say for the announcer - so Rocking Storm seems nice for a race horse.
For a show hunter, that's different. I think their names tend to be more personal and more owner/place oriented. They don't have to come so much from the bloodline.
Since it's such a nice sturdy colt, he was born early in the year, if he was going to be a show hunter, I think I'd call him Chase the Storm or Storm Chase. I like Chase the Storm better.