Lean
$LEAN_TAG$

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 advancedecline 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 advancedecline 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  ArmsIndex 
The Arms Index, also called the ShortTerm 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 midpointmovement 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 volumeweighted 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 = (gainloss) / (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 longterm 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  Delay 
An indicator that delays its input for a certain period 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 Xperiod simple moving average. E.g.DPO(20) equals price 11 days ago less the 20day 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 nperiod 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 = nperiod 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 HeikinAshi bar (HA) The HeikinAshi 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/hullmovingaverage/ and derived from the instructions for the Excel VBA code at http://finance4traders.blogspot.com/2009/06/howtocalculatehullmovingaverage.html More...  
class  IchimokuKinkoHyo 
This indicator computes the Ichimoku Kinko Hyo indicator. It consists of the following main indicators: Tenkansen: (Highest High + Lowest Low) / 2 for the specific period (normally 9) Kijunsen: (Highest High + Lowest Low) / 2 for the specific period (normally 26) Senkou A Span: (Tenkansen + Kijunsen )/ 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  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 nongeneric fields of indicator base to support nontyped 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/b3fab79cf4b240fb8709fdba43cdb363.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 highlow 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 longterm version of the McClellanOscillator More...  
class  MeanAbsoluteDeviation 
This indicator computes the nperiod 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 nperiod change in a value using the following: value_0  value_n More...  
class  MomentumPercent 
This indicator computes the nperiod 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 meanreversion over a specified period n. Source: Harris, Michael. "Momersion Indicator." Price Action Lab., 13 Aug. 2015. Web. http://www.priceactionlab.com/Blog/2015/08/momersionindicator/. 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  ParabolicStopAndReverse 
Parabolic SAR Indicator Based on TALib 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/learningcenter/tradinginvesting/technicalanalysis/technicalindicatorguide/pivotpointshighlow More...  
class  PythonIndicator 
Provides a wrapper for IndicatorBase<IBaseData> implementations written in python More...  
class  RateOfChange 
This indicator computes the nperiod rate of change in a value using the following: (value_0  value_n) / value_n More...  
class  RateOfChangePercent 
This indicator computes the nperiod 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.hybridsolutions.com/plugins/clientvtlplugins/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  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[Count1] 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 nperiod 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/supertrendindicatorexcelsheetwithrealtimebuysellsignals/ 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 nperiod target downside deviation. The target downside deviation is defined as the rootmeansquare, 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  TimeSeriesIndicator 
The base class for any Time Seriestype 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 (1period 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  Variance 
This indicator computes the nperiod 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...  
Functions  
delegate void  IndicatorUpdatedHandler (object sender, IndicatorDataPoint updated) 
Event handler type for the IndicatorBase.Updated event More...  

strong 
The possible states returned by IndicatorBase<T>.ComputeNextValue
Definition at line 21 of file IndicatorStatus.cs.

strong 
Defines the different types of moving averages
Definition at line 21 of file MovingAverageType.cs.

strong 
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.

strong 
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.
delegate void QuantConnect.Indicators.IndicatorUpdatedHandler  (  object  sender, 
IndicatorDataPoint  updated  
) 
Event handler type for the IndicatorBase.Updated event
sender  The indicator that fired the event 
updated  The new piece of data produced by the indicator 