Lean  $LEAN_TAG$
QuantConnect.Indicators Namespace Reference

Classes

class  AbsolutePriceOscillator
 This indicator computes the Absolute Price Oscillator (APO) The Absolute Price Oscillator is calculated using the following formula: APO[i] = FastMA[i] - SlowMA[i] More...
 
class  AccelerationBands
 The Acceleration Bands created by Price Headley plots upper and lower envelope bands around a moving average. More...
 
class  AccumulationDistribution
 This indicator computes the Accumulation/Distribution (AD) The Accumulation/Distribution is calculated using the following formula: AD = AD + ((Close - Low) - (High - Close)) / (High - Low) * Volume More...
 
class  AccumulationDistributionOscillator
 This indicator computes the Accumulation/Distribution Oscillator (ADOSC) The Accumulation/Distribution Oscillator is calculated using the following formula: ADOSC = EMA(fast,AD) - EMA(slow,AD) More...
 
class  AdvanceDeclineDifference
 The Advance Decline Difference compute the difference between the number of stocks that closed higher and the number of stocks that closed lower than their previous day's closing prices. More...
 
class  AdvanceDeclineIndicator
 The advance-decline indicator compares the number of stocks that closed higher against the number of stocks that closed lower than their previous day's closing prices. More...
 
class  AdvanceDeclineRatio
 The advance-decline ratio (ADR) compares the number of stocks that closed higher against the number of stocks that closed lower than their previous day's closing prices. More...
 
class  AdvanceDeclineVolumeRatio
 The Advance Decline Volume Ratio is a Breadth indicator calculated as ratio of summary volume of advancing stocks to summary volume of declining stocks. AD Volume Ratio is used in technical analysis to see where the main trading activity is focused. More...
 
class  Alpha
 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...
 
class  ArmsIndex
 The Arms Index, also called the Short-Term Trading Index (TRIN) is a technical analysis indicator that compares the number of advancing and declining stocks (AD Ratio) to advancing and declining volume (AD volume). More...
 
class  ArnaudLegouxMovingAverage
 Smooth and high sensitive moving Average. This moving average reduce lag of the information but still being smooth to reduce noises. Is a weighted moving average, which weights have a Normal shape; the parameters Sigma and Offset affect the kurtosis and skewness of the weights respectively. Source: https://www.cjournal.cz/files/308.pdf More...
 
class  AroonOscillator
 The Aroon Oscillator is the difference between AroonUp and AroonDown. The value of this indicator fluctuates between -100 and +100. An upward trend bias is present when the oscillator is positive, and a negative trend bias is present when the oscillator is negative. AroonUp/Down values over 75 identify strong trends in their respective direction. More...
 
class  AugenPriceSpike
 The Augen Price Spike indicator is an indicator that measures price changes in terms of standard deviations. In the book, The Volatility Edge in Options Trading, Jeff Augen describes a method for tracking absolute price changes in terms of recent volatility, using the standard deviation. More...
 
class  AutoRegressiveIntegratedMovingAverage
 An Autoregressive Intergrated Moving Average (ARIMA) is a time series model which can be used to describe a set of data. In particular,with Xₜ representing the series, the model assumes the data are of form (after differencing _diffOrder times): More...
 
class  AverageDirectionalIndex
 This indicator computes Average Directional Index which measures trend strength without regard to trend direction. Firstly, it calculates the Directional Movement and the True Range value, and then the values are accumulated and smoothed using a custom smoothing method proposed by Wilder. For an n period smoothing, 1/n of each period's value is added to the total period. From these accumulated values we are therefore able to derived the 'Positive Directional Index' (+DI) and 'Negative Directional Index' (-DI) which is used to calculate the Average Directional Index. Computation source: https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx More...
 
class  AverageDirectionalMovementIndexRating
 This indicator computes the Average Directional Movement Index Rating (ADXR). The Average Directional Movement Index Rating is calculated with the following formula: ADXR[i] = (ADX[i] + ADX[i - period + 1]) / 2 More...
 
class  AverageTrueRange
 The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then smoothes the TrueRange over a given period. More...
 
class  AwesomeOscillator
 The Awesome Oscillator Indicator tracks the price midpoint-movement of a security. Specifically, More...
 
class  BalanceOfPower
 This indicator computes the Balance Of Power (BOP). The Balance Of Power is calculated with the following formula: BOP = (Close - Open) / (High - Low) More...
 
class  BarIndicator
 The BarIndicator is an indicator that accepts IBaseDataBar data as its input. More...
 
class  Beta
 In technical analysis Beta indicator is used to measure volatility or risk of a target (ETF) relative to the overall risk (volatility) of the reference (market indexes). The Beta indicators compares target's price movement to the movements of the indexes over the same period of time. More...
 
class  BollingerBands
 This indicator creates a moving average (middle band) with an upper band and lower band fixed at k standard deviations above and below the moving average. More...
 
class  ChaikinMoneyFlow
 The Chaikin Money Flow Index (CMF) is a volume-weighted average of accumulation and distribution over a specified period. More...
 
class  ChandeMomentumOscillator
 This indicator computes the Chande Momentum Oscillator (CMO). CMO calculation is mostly identical to RSI. The only difference is in the last step of calculation: RSI = gain / (gain+loss) CMO = (gain-loss) / (gain+loss) More...
 
class  CommodityChannelIndex
 Represents the traditional commodity channel index (CCI) More...
 
class  CompositeIndicator
 This indicator is capable of wiring up two separate indicators into a single indicator such that the output of each will be sent to a user specified function. More...
 
class  ConstantIndicator
 An indicator that will always return the same value. More...
 
class  CoppockCurve
 A momentum indicator developed by Edwin “Sedge” Coppock in October 1965. The goal of this indicator is to identify long-term buying opportunities in the S&P500 and Dow Industrials. Source: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:coppock_curve More...
 
class  Correlation
 The Correlation Indicator is a valuable tool in technical analysis, designed to quantify the degree of relationship between the price movements of a target security (e.g., a stock or ETF) and a reference market index. It measures how closely the target’s price changes are aligned with the fluctuations of the index over a specific period of time, providing insights into the target’s susceptibility to market movements. A positive correlation indicates that the target tends to move in the same direction as the market index, while a negative correlation suggests an inverse relationship. A correlation close to 0 implies a weak or no linear relationship. Commonly, the SPX index is employed as the benchmark for the overall market when calculating correlation, ensuring a consistent and reliable reference point. This helps traders and investors make informed decisions regarding the risk and behavior of the target security in relation to market trends. More...
 
class  Delay
 An indicator that delays its input for a certain period More...
 
class  Delta
 Option Delta indicator that calculate the delta of an option More...
 
class  DeMarkerIndicator
 In the DeMarker strategy, for some period of size N, set: More...
 
class  DetrendedPriceOscillator
 The Detrended Price Oscillator is an indicator designed to remove trend from price and make it easier to identify cycles. DPO does not extend to the last date because it is based on a displaced moving average. Is estimated as Price {X/2 + 1} periods ago less the X-period simple moving average. E.g.DPO(20) equals price 11 days ago less the 20-day SMA. More...
 
class  DonchianChannel
 This indicator computes the upper and lower band of the Donchian Channel. The upper band is computed by finding the highest high over the given period. The lower band is computed by finding the lowest low over the given period. The primary output value of the indicator is the mean of the upper and lower band for the given timeframe. More...
 
class  DoubleExponentialMovingAverage
 This indicator computes the Double Exponential Moving Average (DEMA). The Double Exponential Moving Average is calculated with the following formula: EMA2 = EMA(EMA(t,period),period) DEMA = 2 * EMA(t,period) - EMA2 The Generalized DEMA (GD) is calculated with the following formula: GD = (volumeFactor+1) * EMA(t,period) - volumeFactor * EMA2 More...
 
class  EaseOfMovementValue
 This indicator computes the n-period Ease of Movement Value using the following: MID = (high_1 + low_1)/2 - (high_0 + low_0)/2 RATIO = (currentVolume/10000) / (high_1 - low_1) EMV = MID/RATIO _SMA = n-period of EMV Returns _SMA Source: https://www.investopedia.com/terms/e/easeofmovement.asp More...
 
class  ExponentialMovingAverage
 Represents the traditional exponential moving average indicator (EMA). When the indicator is ready, the first value of the EMA is equivalent to the simple moving average. After the first EMA value, the EMA value is a function of the previous EMA value. Therefore, depending on the number of samples you feed into the indicator, it can provide different EMA values for a single security and lookback period. To make the indicator values consistent across time, warm up the indicator with all the trailing security price history. More...
 
class  FilteredIdentity
 Represents an indicator that is a ready after ingesting a single sample and always returns the same value as it is given if it passes a filter condition More...
 
class  FisherTransform
 The Fisher transform is a mathematical process which is used to convert any data set to a modified data set whose Probability Distribution Function is approximately Gaussian. Once the Fisher transform is computed, the transformed data can then be analyzed in terms of it's deviation from the mean. More...
 
class  FractalAdaptiveMovingAverage
 The Fractal Adaptive Moving Average (FRAMA) by John Ehlers More...
 
class  FunctionalIndicator
 The functional indicator is used to lift any function into an indicator. This can be very useful when trying to combine output of several indicators, or for expression a mathematical equation More...
 
class  HeikinAshi
 This indicator computes the Heikin-Ashi bar (HA) The Heikin-Ashi bar is calculated using the following formulas: HA_Close[0] = (Open[0] + High[0] + Low[0] + Close[0]) / 4 HA_Open[0] = (HA_Open[1] + HA_Close[1]) / 2 HA_High[0] = MAX(High[0], HA_Open[0], HA_Close[0]) HA_Low[0] = MIN(Low[0], HA_Open[0], HA_Close[0]) More...
 
class  HullMovingAverage
 Produces a Hull Moving Average as explained at http://www.alanhull.com/hull-moving-average/ and derived from the instructions for the Excel VBA code at http://finance4traders.blogspot.com/2009/06/how-to-calculate-hull-moving-average.html More...
 
class  IchimokuKinkoHyo
 This indicator computes the Ichimoku Kinko Hyo indicator. It consists of the following main indicators: Tenkan-sen: (Highest High + Lowest Low) / 2 for the specific period (normally 9) Kijun-sen: (Highest High + Lowest Low) / 2 for the specific period (normally 26) Senkou A Span: (Tenkan-sen + Kijun-sen )/ 2 from a specific number of periods ago (normally 26) Senkou B Span: (Highest High + Lowest Low) / 2 for the specific period (normally 52), from a specific number of periods ago (normally 26) More...
 
class  Identity
 Represents an indicator that is a ready after ingesting a single sample and always returns the same value as it is given. More...
 
interface  IIndicator
 KEEPING THIS INTERFACE FOR BACKWARDS COMPATIBILITY. Represents an indicator that can receive data updates and emit events when the value of the indicator has changed. More...
 
interface  IIndicatorWarmUpPeriodProvider
 Represents an indicator with a warm up period provider. More...
 
class  ImpliedVolatility
 Implied Volatility indicator that calculate the IV of an option using Black-Scholes Model More...
 
class  Indicator
 Represents a type capable of ingesting a piece of data and producing a new piece of data. Indicators can be used to filter and transform data into a new, more informative form. More...
 
class  IndicatorBase
 Abstract Indicator base, meant to contain non-generic fields of indicator base to support non-typed inputs More...
 
class  IndicatorDataPoint
 Represents a piece of data at a specific time More...
 
class  IndicatorExtensions
 Provides extension methods for Indicator More...
 
class  IndicatorResult
 Represents the result of an indicator's calculations More...
 
class  IntradayVwap
 Defines the canonical intraday VWAP indicator More...
 
interface  IReadOnlyWindow
 Interface type used to pass windows around without worry of external modification More...
 
class  KaufmanAdaptiveMovingAverage
 This indicator computes the Kaufman Adaptive Moving Average (KAMA). The Kaufman Adaptive Moving Average is calculated as explained here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:kaufman_s_adaptive_moving_average More...
 
class  KaufmanEfficiencyRatio
 This indicator computes the Kaufman Efficiency Ratio (KER). The Kaufman Efficiency Ratio is calculated as explained here: https://www.marketvolume.com/technicalanalysis/efficiencyratio.asp More...
 
class  KeltnerChannels
 This indicator creates a moving average (middle band) with an upper band and lower band fixed at k average true range multiples away from the middle band.
More...
 
class  LeastSquaresMovingAverage
 The Least Squares Moving Average (LSMA) first calculates a least squares regression line over the preceding time periods, and then projects it forward to the current period. In essence, it calculates what the value would be if the regression line continued. Source: https://rtmath.net/assets/docs/finanalysis/html/b3fab79c-f4b2-40fb-8709-fdba43cdb363.htm More...
 
class  LinearWeightedMovingAverage
 Represents the traditional Weighted Moving Average indicator. The weight are linearly distributed according to the number of periods in the indicator. More...
 
class  LogReturn
 Represents the LogReturn indicator (LOGR) More...
 
class  MarketProfile
 Represents an Indicator of the Market Profile and its attributes More...
 
class  MassIndex
 The Mass Index uses the high-low range to identify trend reversals based on range expansions. In this sense, the Mass Index is a volatility indicator that does not have a directional bias. Instead, the Mass Index identifies range bulges that can foreshadow a reversal of the current trend. Developed by Donald Dorsey. More...
 
class  Maximum
 Represents an indicator capable of tracking the maximum value and how many periods ago it occurred More...
 
class  McClellanOscillator
 The McClellan Oscillator is a market breadth indicator which was developed by Sherman and Marian McClellan. It is based on the difference between the number of advancing and declining periods. More...
 
class  McClellanSummationIndex
 The McClellan Summation Index (MSI) is a market breadth indicator that is based on the rolling average of difference between the number of advancing and declining issues on a stock exchange. It is generally considered as is a long-term version of the McClellanOscillator More...
 
class  MeanAbsoluteDeviation
 This indicator computes the n-period mean absolute deviation. More...
 
class  MidPoint
 This indicator computes the MidPoint (MIDPOINT) The MidPoint is calculated using the following formula: MIDPOINT = (Highest Value + Lowest Value) / 2 More...
 
class  MidPrice
 This indicator computes the MidPrice (MIDPRICE). The MidPrice is calculated using the following formula: MIDPRICE = (Highest High + Lowest Low) / 2 More...
 
class  Minimum
 Represents an indicator capable of tracking the minimum value and how many periods ago it occurred More...
 
class  Momentum
 This indicator computes the n-period change in a value using the following: value_0 - value_n More...
 
class  MomentumPercent
 This indicator computes the n-period percentage rate of change in a value using the following: 100 * (value_0 - value_n) / value_n More...
 
class  MomersionIndicator
 Oscillator indicator that measures momentum and mean-reversion over a specified period n. Source: Harris, Michael. "Momersion Indicator." Price Action Lab., 13 Aug. 2015. Web. http://www.priceactionlab.com/Blog/2015/08/momersion-indicator/. More...
 
class  MoneyFlowIndex
 The Money Flow Index (MFI) is an oscillator that uses both price and volume to measure buying and selling pressure More...
 
class  MovingAverageConvergenceDivergence
 This indicator creates two moving averages defined on a base indicator and produces the difference between the fast and slow averages. More...
 
class  MovingAverageTypeExtensions
 Provides extension methods for the MovingAverageType enumeration More...
 
class  NormalizedAverageTrueRange
 This indicator computes the Normalized Average True Range (NATR). The Normalized Average True Range is calculated with the following formula: NATR = (ATR(period) / Close) * 100 More...
 
class  OnBalanceVolume
 This indicator computes the On Balance Volume (OBV). The On Balance Volume is calculated by determining the price of the current close price and previous close price. If the current close price is equivalent to the previous price the OBV remains the same, If the current close price is higher the volume of that day is added to the OBV, while a lower close price will result in negative value. More...
 
class  OptionGreekIndicatorsHelper
 Helper clas for option greeks related indicators More...
 
class  OptionGreeksIndicatorBase
 To provide a base class for option greeks indicator More...
 
class  OptionIndicatorBase
 To provide a base class for option indicator More...
 
class  ParabolicStopAndReverse
 Parabolic SAR Indicator Based on TA-Lib implementation More...
 
class  PercentagePriceOscillator
 This indicator computes the Percentage Price Oscillator (PPO) The Percentage Price Oscillator is calculated using the following formula: PPO[i] = 100 * (FastMA[i] - SlowMA[i]) / SlowMA[i] More...
 
class  PivotPoint
 Represents the points identified by Pivot Point High/Low Indicator. More...
 
class  PivotPointsEventArgs
 Event arguments class for the PivotPointsHighLow.NewPivotPointFormed event More...
 
class  PivotPointsHighLow
 Pivot Points (High/Low), also known as Bar Count Reversals, indicator. https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/pivot-points-high-low More...
 
class  PythonIndicator
 Provides a wrapper for IndicatorBase<IBaseData> implementations written in python More...
 
class  RateOfChange
 This indicator computes the n-period rate of change in a value using the following: (value_0 - value_n) / value_n More...
 
class  RateOfChangePercent
 This indicator computes the n-period percentage rate of change in a value using the following: 100 * (value_0 - value_n) / value_n More...
 
class  RateOfChangeRatio
 This indicator computes the Rate Of Change Ratio (ROCR). The Rate Of Change Ratio is calculated with the following formula: ROCR = price / prevPrice More...
 
class  RegressionChannel
 The Regression Channel indicator extends the LeastSquaresMovingAverage with the inclusion of two (upper and lower) channel lines that are distanced from the linear regression line by a user defined number of standard deviations. Reference: http://www.onlinetradingconcepts.com/TechnicalAnalysis/LinRegChannel.html More...
 
class  RelativeDailyVolume
 The Relative Daily Volume indicator is an indicator that compares current cumulative volume to the cumulative volume for a given time of day, measured as a ratio. More...
 
class  RelativeMovingAverage
 Represents the relative moving average indicator (RMA). RMA = SMA(3 x Period) - SMA(2 x Period) + SMA(1 x Period) per formula: https://www.hybrid-solutions.com/plugins/client-vtl-plugins/free/rma.html More...
 
class  RelativeStrengthIndex
 Represents the Relative Strength Index (RSI) developed by K. Welles Wilder. You can optionally specified a different moving average type to be used in the computation More...
 
class  RelativeVigorIndex
 The Relative Vigor Index (RVI) compares the ratio of the closing price of a security to its trading range. For illustration, let: More...
 
class  RelativeVigorIndexSignal
 The signal for the Relative Vigor Index, itself an indicator. More...
 
class  ResetCompositeIndicator
 Class that extends CompositeIndicator to execute a given action once is reset More...
 
class  RollingWindow
 This is a window that allows for list access semantics, where this[0] refers to the most recent item in the window and this[Count-1] refers to the last item in the window More...
 
class  SchaffTrendCycle
 This indicator creates the Schaff Trend Cycle More...
 
class  SharpeRatio
 Calculation of the Sharpe Ratio (SR) developed by William F. Sharpe. More...
 
class  SimpleMovingAverage
 Represents the traditional simple moving average indicator (SMA) More...
 
class  SortinoRatio
 Calculation of the Sortino Ratio, a modification of the SharpeRatio. More...
 
class  StandardDeviation
 This indicator computes the n-period population standard deviation. More...
 
class  Stochastic
 This indicator computes the Slow Stochastics K and D. The Fast Stochastics K is is computed by (Current Close Price - Lowest Price of given Period) / (Highest Price of given Period - Lowest Price of given Period) multiplied by 100. Once the Fast Stochastics K is calculated the Slow Stochastic K is calculated by the average/smoothed price of of the Fast K with the given period. The Slow Stochastics D is then derived from the Slow Stochastics K with the given period. More...
 
class  Sum
 Represents an indicator capable of tracking the sum for the given period More...
 
class  SuperTrend
 Super trend indicator. Formula can be found here via the excel file: https://tradingtuitions.com/supertrend-indicator-excel-sheet-with-realtime-buy-sell-signals/ More...
 
class  SwissArmyKnife
 Swiss Army Knife indicator by John Ehlers More...
 
class  T3MovingAverage
 This indicator computes the T3 Moving Average (T3). The T3 Moving Average is calculated with the following formula: EMA1(x, Period) = EMA(x, Period) EMA2(x, Period) = EMA(EMA1(x, Period),Period) GD(x, Period, volumeFactor) = (EMA1(x, Period)*(1+volumeFactor)) - (EMA2(x, Period)* volumeFactor) T3 = GD(GD(GD(t, Period, volumeFactor), Period, volumeFactor), Period, volumeFactor); More...
 
class  TargetDownsideDeviation
 This indicator computes the n-period target downside deviation. The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0. More...
 
class  TimeProfile
 Represents an Indicator of the Market Profile with Time Price Opportunity (TPO) mode and its attributes More...
 
class  TimeSeriesForecast
 Represents an indicator capable of predicting new values given previous data from a window. Source: https://tulipindicators.org/tsf More...
 
class  TimeSeriesIndicator
 The base class for any Time Series-type indicator, containing methods common to most of such models. More...
 
class  TradeBarIndicator
 The TradeBarIndicator is an indicator that accepts TradeBar data as its input. More...
 
class  TriangularMovingAverage
 This indicator computes the Triangular Moving Average (TRIMA). The Triangular Moving Average is calculated with the following formula: (1) When the period is even, TRIMA(x,period)=SMA(SMA(x,period/2),(period/2)+1) (2) When the period is odd, TRIMA(x,period)=SMA(SMA(x,(period+1)/2),(period+1)/2) More...
 
class  TripleExponentialMovingAverage
 This indicator computes the Triple Exponential Moving Average (TEMA). The Triple Exponential Moving Average is calculated with the following formula: EMA1 = EMA(t,period) EMA2 = EMA(EMA(t,period),period) EMA3 = EMA(EMA(EMA(t,period),period),period) TEMA = 3 * EMA1 - 3 * EMA2 + EMA3 More...
 
class  Trix
 This indicator computes the TRIX (1-period ROC of a Triple EMA) The TRIX is calculated as explained here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:trix More...
 
class  TrueRange
 This indicator computes the True Range (TR). The True Range is the greatest of the following values: value1 = distance from today's high to today's low. value2 = distance from yesterday's close to today's high. value3 = distance from yesterday's close to today's low. More...
 
class  TrueStrengthIndex
 This indicator computes the True Strength Index (TSI). The True Strength Index is calculated as explained here: https://school.stockcharts.com/doku.php?id=technical_indicators:true_strength_index More...
 
class  UltimateOscillator
 This indicator computes the Ultimate Oscillator (ULTOSC) The Ultimate Oscillator is calculated as explained here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:ultimate_oscillator More...
 
class  ValueAtRisk
 This indicator computes 1-day VaR for a specified confidence level and lookback period More...
 
class  VariableIndexDynamicAverage
 This indicator computes the n-period adaptive weighted moving average indicator. VIDYAi = Pricei x F x ABS(CMOi) + VIDYAi-1 x (1 - F x ABS(CMOi)) where: VIDYAi - is the value of the current period. Pricei - is the source price of the period being calculated. F = 2/(Period_EMA+1) - is a smoothing factor. ABS(CMOi) - is the absolute current value of CMO. VIDYAi-1 - is the value of the period immediately preceding the period being calculated. More...
 
class  Variance
 This indicator computes the n-period population variance. More...
 
class  VolumeProfile
 Represents an Indicator of the Market Profile with Volume Profile mode and its attributes More...
 
class  VolumeWeightedAveragePriceIndicator
 Volume Weighted Average Price (VWAP) Indicator: It is calculated by adding up the dollars traded for every transaction (price multiplied by number of shares traded) and then dividing by the total shares traded for the day. More...
 
class  WilderAccumulativeSwingIndex
 This indicator calculates the Accumulative Swing Index (ASI) as defined by Welles Wilder in his book 'New Concepts in Technical Trading Systems'. More...
 
class  WilderMovingAverage
 Represents the moving average indicator defined by Welles Wilder in his book: New Concepts in Technical Trading Systems. More...
 
class  WilderSwingIndex
 This indicator calculates the Swing Index (SI) as defined by Welles Wilder in his book 'New Concepts in Technical Trading Systems'. More...
 
class  WilliamsPercentR
 Williams R, or just R, is the current closing price in relation to the high and low of the past N days (for a given N). The value of this indicator fluctuates between -100 and 0. The symbol is said to be oversold when the oscillator is below -80%, and overbought when the oscillator is above -20%. More...
 
class  WindowIdentity
 Represents an indicator that is a ready after ingesting enough samples (# samples > period) and always returns the same value as it is given. More...
 
class  WindowIndicator
 Represents an indicator that acts on a rolling window of data More...
 

Enumerations

enum  CorrelationType { CorrelationType.Pearson, CorrelationType.Spearman }
 Defines the different types of Correlation More...
 
enum  IndicatorStatus { IndicatorStatus.Success, IndicatorStatus.InvalidInput, IndicatorStatus.MathError, IndicatorStatus.ValueNotReady }
 The possible states returned by IndicatorBase<T>.ComputeNextValue More...
 
enum  MovingAverageType {
  MovingAverageType.Simple, MovingAverageType.Exponential, MovingAverageType.Wilders, MovingAverageType.LinearWeightedMovingAverage,
  MovingAverageType.DoubleExponential, MovingAverageType.TripleExponential, MovingAverageType.Triangular, MovingAverageType.T3,
  MovingAverageType.Kama, MovingAverageType.Hull, MovingAverageType.Alma
}
 Defines the different types of moving averages More...
 
enum  OptionPricingModelType { OptionPricingModelType.BlackScholes, OptionPricingModelType.BinomialCoxRossRubinstein }
 Defines different types of option pricing model More...
 
enum  PivotPointType { PivotPointType.Low = -1, PivotPointType.None = 0, PivotPointType.High = 1, PivotPointType.Both = 2 }
 Pivot point direction More...
 
enum  SwissArmyKnifeTool {
  SwissArmyKnifeTool.Gauss, SwissArmyKnifeTool.Butter, SwissArmyKnifeTool.HighPass, SwissArmyKnifeTool.TwoPoleHighPass,
  SwissArmyKnifeTool.BandPass
}
 The tools of the Swiss Army Knife. Some of the tools lend well to chaining with the "Of" Method, others may be treated as moving averages More...
 

Functions

delegate void IndicatorUpdatedHandler (object sender, IndicatorDataPoint updated)
 Event handler type for the IndicatorBase.Updated event More...
 

Enumeration Type Documentation

◆ CorrelationType

Defines the different types of Correlation


Enumerator
Pearson 

Pearson Correlation (Product-Moment Correlation): Measures the linear relationship between two datasets. The coefficient ranges from -1 to 1. A value of 1 indicates a perfect positive linear relationship, -1 indicates a perfect negative linear relationship, and 0 indicates no linear relationship. It assumes that both datasets are normally distributed and the relationship is linear. It is sensitive to outliers which can affect the correlation significantly.

Spearman 

Spearman Correlation (Rank Correlation): Measures the strength and direction of the monotonic relationship between two datasets. Instead of calculating the coefficient using raw data, it uses the rank of the data points. This method is non-parametric and does not assume a normal distribution of the datasets. It's useful when the data is not normally distributed or when the relationship is not linear. Spearman's correlation is less sensitive to outliers than Pearson's correlation. The coefficient also ranges from -1 to 1 with similar interpretations for the values, but it reflects monotonic relationships rather than only linear ones.

Definition at line 21 of file CorrelationType.cs.

◆ IndicatorStatus

The possible states returned by IndicatorBase<T>.ComputeNextValue

Enumerator
Success 

The indicator successfully calculated a value for the input data (0)

InvalidInput 

The indicator detected an invalid input data point or tradebar (1)

MathError 

The indicator encountered a math error during calculations (2)

ValueNotReady 

The indicator value is not ready (3)

Definition at line 21 of file IndicatorStatus.cs.

◆ MovingAverageType

Defines the different types of moving averages


Enumerator
Simple 

An unweighted, arithmetic mean (0)

Exponential 

The standard exponential moving average, using a smoothing factor of 2/(n+1) (1)

Wilders 

An exponential moving average, using a smoothing factor of 1/n and simple moving average as seeding (2)

LinearWeightedMovingAverage 

A weighted moving average type (3)

DoubleExponential 

The double exponential moving average (4)

TripleExponential 

The triple exponential moving average (5)

Triangular 

The triangular moving average (6)

T3 

The T3 moving average (7)

Kama 

The Kaufman Adaptive Moving Average (8)

Hull 

The Hull Moving Average (9)

Alma 

The Arnaud Legoux Moving Average (10)

Definition at line 21 of file MovingAverageType.cs.

◆ OptionPricingModelType

Defines different types of option pricing model

Enumerator
BlackScholes 

Vanilla Black Scholes Model

Preferred on calculating greeks for European options, and IV for all options

BinomialCoxRossRubinstein 

The Cox-Ross-Rubinstein binomial tree model (CRR model)

Preferred on calculating greeks for American options

Definition at line 21 of file OptionPricingModelType.cs.

◆ PivotPointType

Pivot point direction

Enumerator
Low 

Low pivot point (-1)

None 

No pivot point (0)

High 

High pivot point (1)

Both 

Both high and low pivot point (2)

Definition at line 287 of file PivotPointsHighLow.cs.

◆ SwissArmyKnifeTool

The tools of the Swiss Army Knife. Some of the tools lend well to chaining with the "Of" Method, others may be treated as moving averages

Enumerator
Gauss 

Two Pole Gaussian Filter (0)

Butter 

Two Pole Butterworth Filter (1)

HighPass 

High Pass Filter (2)

TwoPoleHighPass 

Two Pole High Pass Filter (3)

BandPass 

BandPass Filter (4)

Definition at line 23 of file SwissArmyKnife.cs.

Function Documentation

◆ IndicatorUpdatedHandler()

delegate void QuantConnect.Indicators.IndicatorUpdatedHandler ( object  sender,
IndicatorDataPoint  updated 
)

Event handler type for the IndicatorBase.Updated event

Parameters
senderThe indicator that fired the event
updatedThe new piece of data produced by the indicator