In financial analysis, the Alpha indicator is used to measure the performance of an investment (such as a stock or ETF) relative to a benchmark index, often representing the broader market. Alpha indicates the excess return of the investment compared to the return of the benchmark index. More...

Inheritance diagram for QuantConnect.Indicators.Alpha:

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Public Member Functions
	Alpha (string name, Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, IRiskFreeInterestRateModel riskFreeRateModel)
	Creates a new Alpha indicator with the specified name, target, reference, and period values More...

	Alpha (string name, Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, decimal? riskFreeRate=null)
	Creates a new Alpha indicator with the specified name, target, reference, and period values More...

	Alpha (Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, decimal? riskFreeRate=null)
	Creates a new Alpha indicator with the specified target, reference, and period values More...

	Alpha (Symbol targetSymbol, Symbol referenceSymbol, int period, decimal? riskFreeRate=null)
	Creates a new Alpha indicator with the specified target, reference, and period value More...

	Alpha (string name, Symbol targetSymbol, Symbol referenceSymbol, int period, decimal? riskFreeRate=null)
	Creates a new Alpha indicator with the specified name, target, reference, and period value More...

	Alpha (Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, IRiskFreeInterestRateModel riskFreeRateModel)
	Creates a new Alpha indicator with the specified target, reference, and period values More...

	Alpha (Symbol targetSymbol, Symbol referenceSymbol, int period, IRiskFreeInterestRateModel riskFreeRateModel)
	Creates a new Alpha indicator with the specified target, reference, and period value More...

	Alpha (string name, Symbol targetSymbol, Symbol referenceSymbol, int period, IRiskFreeInterestRateModel riskFreeRateModel)
	Creates a new Alpha indicator with the specified name, target, reference, and period value More...

	Alpha (string name, Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, PyObject riskFreeRateModel)
	Creates a new Alpha indicator with the specified name, target, reference, and period values More...

	Alpha (Symbol targetSymbol, Symbol referenceSymbol, int alphaPeriod, int betaPeriod, PyObject riskFreeRateModel)
	Creates a new Alpha indicator with the specified target, reference, and period values More...

	Alpha (Symbol targetSymbol, Symbol referenceSymbol, int period, PyObject riskFreeRateModel)
	Creates a new Alpha indicator with the specified target, reference, and period value More...

	Alpha (string name, Symbol targetSymbol, Symbol referenceSymbol, int period, PyObject riskFreeRateModel)
	Creates a new Alpha indicator with the specified name, target, reference, and period value More...

override void	Reset ()
	Resets this indicator to its initial state More...

Public Attributes
override bool	IsReady => _targetROC.IsReady && _beta.IsReady && _referenceROC.IsReady
	Gets a flag indicating when the indicator is ready and fully initialized More...

Protected Member Functions
override decimal	ComputeNextValue (IBaseDataBar input)
	Computes the next value for this indicator from the given state. More...

Protected Member Functions inherited from QuantConnect.Indicators.BarIndicator
	BarIndicator (string name)
	Creates a new TradeBarIndicator with the specified name More...

Properties
int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

In financial analysis, the Alpha indicator is used to measure the performance of an investment (such as a stock or ETF) relative to a benchmark index, often representing the broader market. Alpha indicates the excess return of the investment compared to the return of the benchmark index.

The S P 500 index is frequently used as a benchmark in Alpha calculations to represent the overall market performance. Alpha is an essential tool for investors to understand the idiosyncratic returns of their investment that aren't caused by movement in the underlying benchmark.

Definition at line 34 of file Alpha.cs.

Constructor & Destructor Documentation

◆ Alpha() [1/12]

QuantConnect.Indicators.Alpha.Alpha	(	string	name,
		Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	alphaPeriod,
		int	betaPeriod,
		IRiskFreeInterestRateModel	riskFreeRateModel
	)

Creates a new Alpha indicator with the specified name, target, reference, and period values

Parameters

name	The name of this indicator
targetSymbol	The target symbol of this indicator
referenceSymbol	The reference symbol of this indicator
alphaPeriod	Period of the indicator - alpha
betaPeriod	Period of the indicator - beta
riskFreeRateModel	The risk free rate model of this indicator

Definition at line 95 of file Alpha.cs.

◆ Alpha() [2/12]

QuantConnect.Indicators.Alpha.Alpha	(	string	name,
		Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	alphaPeriod,
		int	betaPeriod,
		decimal?	riskFreeRate = `null`
	)

Creates a new Alpha indicator with the specified name, target, reference, and period values

Parameters

name	The name of this indicator
targetSymbol	The target symbol of this indicator
referenceSymbol	The reference symbol of this indicator
alphaPeriod	Period of the indicator - alpha
betaPeriod	Period of the indicator - beta
riskFreeRate	The risk free rate of this indicator for given period

Definition at line 140 of file Alpha.cs.

◆ Alpha() [3/12]

QuantConnect.Indicators.Alpha.Alpha	(	Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	alphaPeriod,
		int	betaPeriod,
		decimal?	riskFreeRate = `null`
	)

Creates a new Alpha indicator with the specified target, reference, and period values

Parameters

targetSymbol
referenceSymbol
alphaPeriod	Period of the indicator - alpha
betaPeriod	Period of the indicator - beta
riskFreeRate	The risk free rate of this indicator for given period

Definition at line 153 of file Alpha.cs.

◆ Alpha() [4/12]

QuantConnect.Indicators.Alpha.Alpha	(	Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	period,
		decimal?	riskFreeRate = `null`
	)

Creates a new Alpha indicator with the specified target, reference, and period value

Parameters

targetSymbol	The target symbol of this indicator
referenceSymbol	The reference symbol of this indicator
period	Period of the indicator - alpha and beta
riskFreeRate	The risk free rate of this indicator for given period

Definition at line 165 of file Alpha.cs.

◆ Alpha() [5/12]

QuantConnect.Indicators.Alpha.Alpha	(	string	name,
		Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	period,
		decimal?	riskFreeRate = `null`
	)

Creates a new Alpha indicator with the specified name, target, reference, and period value

Parameters

name
targetSymbol
referenceSymbol
period	Period of the indicator - alpha and beta
riskFreeRate	The risk free rate of this indicator for given period

Definition at line 178 of file Alpha.cs.

◆ Alpha() [6/12]

QuantConnect.Indicators.Alpha.Alpha	(	Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	alphaPeriod,
		int	betaPeriod,
		IRiskFreeInterestRateModel	riskFreeRateModel
	)

Creates a new Alpha indicator with the specified target, reference, and period values

Parameters

targetSymbol
referenceSymbol
alphaPeriod	Period of the indicator - alpha
betaPeriod	Period of the indicator - beta
riskFreeRateModel	The risk free rate model of this indicator

Definition at line 191 of file Alpha.cs.

◆ Alpha() [7/12]

QuantConnect.Indicators.Alpha.Alpha	(	Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	period,
		IRiskFreeInterestRateModel	riskFreeRateModel
	)

Creates a new Alpha indicator with the specified target, reference, and period value

Parameters

targetSymbol	The target symbol of this indicator
referenceSymbol	The reference symbol of this indicator
period	Period of the indicator - alpha and beta
riskFreeRateModel	The risk free rate model of this indicator

Definition at line 203 of file Alpha.cs.

◆ Alpha() [8/12]

QuantConnect.Indicators.Alpha.Alpha	(	string	name,
		Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	period,
		IRiskFreeInterestRateModel	riskFreeRateModel
	)

Creates a new Alpha indicator with the specified name, target, reference, and period value

Parameters

name
targetSymbol
referenceSymbol
period	Period of the indicator - alpha and beta
riskFreeRateModel	The risk free rate model of this indicator

Definition at line 216 of file Alpha.cs.

◆ Alpha() [9/12]

QuantConnect.Indicators.Alpha.Alpha	(	string	name,
		Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	alphaPeriod,
		int	betaPeriod,
		PyObject	riskFreeRateModel
	)

Creates a new Alpha indicator with the specified name, target, reference, and period values

Parameters

name	The name of this indicator
targetSymbol	The target symbol of this indicator
referenceSymbol	The reference symbol of this indicator
alphaPeriod	Period of the indicator - alpha
betaPeriod	Period of the indicator - beta
riskFreeRateModel	The risk free rate model of this indicator

Definition at line 230 of file Alpha.cs.

◆ Alpha() [10/12]

QuantConnect.Indicators.Alpha.Alpha	(	Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	alphaPeriod,
		int	betaPeriod,
		PyObject	riskFreeRateModel
	)

Creates a new Alpha indicator with the specified target, reference, and period values

Parameters

targetSymbol
referenceSymbol
alphaPeriod	Period of the indicator - alpha
betaPeriod	Period of the indicator - beta
riskFreeRateModel	The risk free rate model of this indicator

Definition at line 243 of file Alpha.cs.

◆ Alpha() [11/12]

QuantConnect.Indicators.Alpha.Alpha	(	Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	period,
		PyObject	riskFreeRateModel
	)

Creates a new Alpha indicator with the specified target, reference, and period value

Parameters

targetSymbol	The target symbol of this indicator
referenceSymbol	The reference symbol of this indicator
period	Period of the indicator - alpha and beta
riskFreeRateModel	The risk free rate model of this indicator

Definition at line 255 of file Alpha.cs.

◆ Alpha() [12/12]

QuantConnect.Indicators.Alpha.Alpha	(	string	name,
		Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	period,
		PyObject	riskFreeRateModel
	)

Creates a new Alpha indicator with the specified name, target, reference, and period value

Parameters

name
targetSymbol
referenceSymbol
period	Period of the indicator - alpha and beta
riskFreeRateModel	The risk free rate model of this indicator

Definition at line 268 of file Alpha.cs.

Member Function Documentation

◆ ComputeNextValue()

override decimal QuantConnect.Indicators.Alpha.ComputeNextValue ( IBaseDataBar input )

protected

Computes the next value for this indicator from the given state.

Parameters

input

Returns

Exceptions

ArgumentException

Definition at line 279 of file Alpha.cs.

◆ Reset()

override void QuantConnect.Indicators.Alpha.Reset ( )

Resets this indicator to its initial state

Definition at line 332 of file Alpha.cs.

Member Data Documentation

◆ IsReady

override bool QuantConnect.Indicators.Alpha.IsReady => _targetROC.IsReady && _beta.IsReady && _referenceROC.IsReady

Gets a flag indicating when the indicator is ready and fully initialized

Definition at line 84 of file Alpha.cs.

Property Documentation

◆ WarmUpPeriod

int QuantConnect.Indicators.Alpha.WarmUpPeriod

get

Required period, in data points, for the indicator to be ready and fully initialized.

Definition at line 79 of file Alpha.cs.

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

Indicators/Alpha.cs

Public Member Functions

Public Attributes

Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ Alpha() [1/12]

◆ Alpha() [2/12]

◆ Alpha() [3/12]

◆ Alpha() [4/12]

◆ Alpha() [5/12]

◆ Alpha() [6/12]

◆ Alpha() [7/12]

◆ Alpha() [8/12]

◆ Alpha() [9/12]

◆ Alpha() [10/12]

◆ Alpha() [11/12]

◆ Alpha() [12/12]

Member Function Documentation

◆ ComputeNextValue()

◆ Reset()

Member Data Documentation

◆ IsReady

Property Documentation

◆ WarmUpPeriod