QuantConnect.Indicators
Classes
| Class | Description |
|---|---|
| AbsolutePriceOscillator | This indicator computes the Absolute Price Oscillator (APO)... |
| AccelerationBands | The Acceleration Bands created by Price Headley plots upper and lower envelope bands around a moving average. |
| AccumulationDistribution | This indicator computes the Accumulation/Distribution (AD)... |
| AccumulationDistributionOscillator | This indicator computes the Accumulation/Distribution Oscillator (ADOSC)... |
| AdvanceDeclineDifference | The Advance Decline Difference compute the difference between the number of stocks... |
| AdvanceDeclineIndicator | The advance-decline indicator compares the number of stocks... |
| AdvanceDeclineRatio | The advance-decline ratio (ADR) compares the number of stocks... |
| AdvanceDeclineVolumeRatio | The Advance Decline Volume Ratio is a Breadth indicator calculated as ratio of... |
| Alpha | In financial analysis, the Alpha indicator is used to measure the performance of an investment (such as a stock or ETF)... |
| ArmsIndex | The Arms Index, also called the Short-Term Trading Index (TRIN)... |
| ArnaudLegouxMovingAverage | Smooth and high sensitive moving Average. This moving average reduce lag of the information... |
| AroonOscillator | The Aroon Oscillator is the difference between AroonUp and AroonDown. The value of this... |
| AugenPriceSpike | The Augen Price Spike indicator is an indicator that measures price... |
| AutoRegressiveIntegratedMovingAverage | An Autoregressive Intergrated Moving Average (ARIMA) is a time series model which can be used to describe a set of data.... |
| AverageDirectionalIndex | This indicator computes Average Directional Index which measures trend strength without regard to trend direction.... |
| AverageDirectionalMovementIndexRating | This indicator computes the Average Directional Movement Index Rating (ADXR).... |
| AverageRange | Represents the Average Range (AR) indicator, which calculates the average price range |
| AverageTrueRange | The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his... |
| AwesomeOscillator | The Awesome Oscillator Indicator tracks the price midpoint-movement of a security. Specifically,... |
| BalanceOfPower | This indicator computes the Balance Of Power (BOP).... |
| BarIndicator | The BarIndicator is an indicator that accepts IBaseDataBar data as its input.... |
| Beta | In technical analysis Beta indicator is used to measure volatility or risk of a target (ETF) relative to the overall... |
| BollingerBands | This indicator creates a moving average (middle band) with an upper band and lower band... |
| ChaikinMoneyFlow | The Chaikin Money Flow Index (CMF) is a volume-weighted average of accumulation and distribution over... |
| ChaikinOscillator | This class is an alias for AccumulationDistributionOscillator (also known as Chaikin Oscillator). |
| ChandeKrollStop | This indicator computes the short stop and lower stop values of the Chande Kroll Stop Indicator.... |
| ChandeMomentumOscillator | This indicator computes the Chande Momentum Oscillator (CMO).... |
| ChoppinessIndex | The ChoppinessIndex indicator is an indicator designed to determine if the market is choppy (trading sideways)... |
| CommodityChannelIndex | Represents the traditional commodity channel index (CCI)... |
| CompositeIndicator | This indicator is capable of wiring up two separate indicators into a single indicator... |
| ConnorsRelativeStrengthIndex | Represents the Connors Relative Strength Index (CRSI), a combination of... |
| ConstantIndicator | An indicator that will always return the same value. |
| CoppockCurve | A momentum indicator developed by Edwin “Sedge” Coppock in October 1965.... |
| Correlation | The Correlation Indicator is a valuable tool in technical analysis, designed to quantify the degree of... |
| Delay | An indicator that delays its input for a certain period |
| Delta | Option Delta indicator that calculate the delta of an option |
| DeMarkerIndicator | In the DeMarker strategy, for some period of size N, set:... |
| DerivativeOscillator | Represents the Derivative Oscillator Indicator, utilizing... |
| DetrendedPriceOscillator | The Detrended Price Oscillator is an indicator designed to remove trend from price... |
| DonchianChannel | This indicator computes the upper and lower band of the Donchian Channel.... |
| DoubleExponentialMovingAverage | This indicator computes the Double Exponential Moving Average (DEMA).... |
| DualSymbolIndicator | Base class for indicators that work with two different symbols and calculate an indicator based on them. |
| EaseOfMovementValue | This indicator computes the n-period Ease of Movement Value using the following:... |
| ExponentialMovingAverage | Represents the traditional exponential moving average indicator (EMA).... |
| FilteredIdentity | Represents an indicator that is a ready after ingesting a single sample and... |
| FisherTransform | The Fisher transform is a mathematical process which is used to convert any data set to a modified... |
| ForceIndex | The Force Index is calculated by comparing the current market price with the previous market price... |
| FractalAdaptiveMovingAverage | The Fractal Adaptive Moving Average (FRAMA) by John Ehlers |
| FunctionalIndicator | The functional indicator is used to lift any function into an indicator. This can be very useful... |
| Gamma | Option Gamma indicator that calculate the gamma of an option |
| HeikinAshi | This indicator computes the Heikin-Ashi bar (HA)... |
| HilbertTransform | This indicator computes the Hilbert Transform Indicator by John Ehlers.... |
| HullMovingAverage | Produces a Hull Moving Average as explained at http://www.alanhull.com/hull-moving-average/... |
| HurstExponent | Represents the Hurst Exponent indicator, which is used to measure the long-term memory of a time series.... |
| IchimokuKinkoHyo | This indicator computes the Ichimoku Kinko Hyo indicator. It consists of the following main indicators:... |
| Identity | Represents an indicator that is a ready after ingesting a single sample and... |
| IIndicator | KEEPING THIS INTERFACE FOR BACKWARDS COMPATIBILITY.... |
| IIndicatorWarmUpPeriodProvider | Represents an indicator with a warm up period provider. |
| ImpliedVolatility | Implied Volatility indicator that calculate the IV of an option using Black-Scholes Model |
| Indicator | Represents a type capable of ingesting a piece of data and producing a new piece of data.... |
| IndicatorBase | Provides a base type for all indicators |
| IndicatorDataPoint | Represents a piece of data at a specific time |
| IndicatorDataPoints | Collection of indicator data points for a given time |
| IndicatorExtensions | Provides extension methods for Indicator |
| IndicatorResult | Represents the result of an indicator's calculations |
| InternalBarStrength | The InternalBarStrenght indicator is a measure of the relative position of a period's closing price... |
| InternalIndicatorValues | Internal carrier of an indicator values by property name |
| IntradayVwap | Defines the canonical intraday VWAP indicator |
| IReadOnlyWindow | Interface type used to pass windows around without worry of external modification |
| KaufmanAdaptiveMovingAverage | This indicator computes the Kaufman Adaptive Moving Average (KAMA).... |
| KaufmanEfficiencyRatio | This indicator computes the Kaufman Efficiency Ratio (KER).... |
| KeltnerChannels | This indicator creates a moving average (middle band) with an upper band and lower band... |
| KlingerVolumeOscillator | The Klinger Volume Oscillator (KVO) is a technical indicator that analyzes the relationship between... |
| KnowSureThing | This indicator creates a moving average (middle band) with an upper band and lower band... |
| LeastSquaresMovingAverage | The Least Squares Moving Average (LSMA) first calculates a least squares regression line... |
| LinearWeightedMovingAverage | Represents the traditional Weighted Moving Average indicator. The weight are linearly... |
| LogReturn | Represents the LogReturn indicator (LOGR)... |
| MarketProfile | Represents an Indicator of the Market Profile and its attributes... |
| MassIndex | The Mass Index uses the high-low range to identify trend reversals based on range expansions.... |
| Maximum | Represents an indicator capable of tracking the maximum value and how many periods ago it occurred |
| McClellanOscillator | The McClellan Oscillator is a market breadth indicator which was... |
| McClellanSummationIndex | The McClellan Summation Index (MSI) is a market breadth indicator that is based on the rolling average of difference... |
| McGinleyDynamic | Represents the McGinley Dynamic (MGD)... |
| MeanAbsoluteDeviation | This indicator computes the n-period mean absolute deviation. |
| MesaAdaptiveMovingAverage | Implements the Mesa Adaptive Moving Average (MAMA) indicator along with the following FAMA (Following Adaptive Moving Average) as a secondary indicator.... |
| MidPoint | This indicator computes the MidPoint (MIDPOINT)... |
| MidPrice | This indicator computes the MidPrice (MIDPRICE).... |
| Minimum | Represents an indicator capable of tracking the minimum value and how many periods ago it occurred |
| Momentum | This indicator computes the n-period change in a value using the following:... |
| MomentumPercent | This indicator computes the n-period percentage rate of change in a value using the following:... |
| Momersion | Oscillator indicator that measures momentum and mean-reversion over a specified... |
| MomersionIndicator | Legacy name for the Momersion indicator, maintained for backwards compatibility.... |
| MoneyFlowIndex | The Money Flow Index (MFI) is an oscillator that uses both price and volume to... |
| MovingAverageConvergenceDivergence | This indicator creates two moving averages defined on a base indicator and produces the difference... |
| MovingAverageTypeExtensions | Provides extension methods for the MovingAverageType enumeration |
| MultiSymbolIndicator | Base class for indicators that work with multiple different symbols. |
| NormalizedAverageTrueRange | This indicator computes the Normalized Average True Range (NATR).... |
| OnBalanceVolume | This indicator computes the On Balance Volume (OBV).... |
| OptionGreekIndicatorsHelper | Helper class for option greeks related indicators |
| OptionGreeksIndicatorBase | To provide a base class for option greeks indicator |
| OptionIndicatorBase | To provide a base class for option indicator |
| ParabolicStopAndReverse | Parabolic SAR Indicator... |
| ParabolicStopAndReverseExtended | Parabolic SAR Extended Indicator... |
| PercentagePriceOscillator | This indicator computes the Percentage Price Oscillator (PPO)... |
| PivotPoint | Represents the points identified by Pivot Point High/Low Indicator. |
| PivotPointsEventArgs | Event arguments class for the PivotPointsHighLow.new_pivot_point_formed event |
| PivotPointsHighLow | Pivot Points (High/Low), also known as Bar Count Reversals, indicator.... |
| PremierStochasticOscillator | Premier Stochastic Oscillator (PSO) Indicator implementation.... |
| PythonIndicator | Provides a wrapper for IndicatorBase{IBaseData} implementations written in python |
| RateOfChange | This indicator computes the n-period rate of change in a value using the following:... |
| RateOfChangePercent | This indicator computes the n-period percentage rate of change in a value using the following:... |
| RateOfChangeRatio | This indicator computes the Rate Of Change Ratio (ROCR).... |
| RegressionChannel | The Regression Channel indicator extends the LeastSquaresMovingAverage... |
| RelativeDailyVolume | The Relative Daily Volume indicator is an indicator that compares current... |
| RelativeMovingAverage | Represents the relative moving average indicator (RMA).... |
| RelativeStrengthIndex | Represents the Relative Strength Index (RSI) developed by K. Welles Wilder.... |
| RelativeVigorIndex | The Relative Vigor Index (RVI) compares the ratio of the closing price of a security to its trading range.... |
| RelativeVigorIndexSignal | The signal for the Relative Vigor Index, itself an indicator. |
| ResetCompositeIndicator | Class that extends CompositeIndicator to execute a given action once is reset |
| Rho | Option Rho indicator that calculate the rho of an option |
| RogersSatchellVolatility | This indicator computes the Rogers-Satchell Volatility... |
| RollingWindow | This is a window that allows for list access semantics,... |
| SchaffTrendCycle | This indicator creates the Schaff Trend Cycle |
| SharpeRatio | Calculation of the Sharpe Ratio (SR) developed by William F. Sharpe.... |
| SimpleMovingAverage | Represents the traditional simple moving average indicator (SMA) |
| SmoothedOnBalanceVolume | This class has no documentation. |
| SortinoRatio | Calculation of the Sortino Ratio, a modification of the SharpeRatio.... |
| SqueezeMomentum | The SqueezeMomentum indicator calculates whether the market is in a "squeeze" condition,... |
| StandardDeviation | This indicator computes the n-period population standard deviation. |
| Stochastic | This indicator computes the Slow Stochastics %K and %D. The Fast Stochastic %K is is computed by... |
| StochasticRelativeStrengthIndex | Stochastic RSI, or simply StochRSI, is a technical analysis indicator used to determine whether... |
| Sum | Represents an indicator capable of tracking the sum for the given period |
| SuperTrend | Super trend indicator.... |
| SwissArmyKnife | Swiss Army Knife indicator by John Ehlers |
| T3MovingAverage | This indicator computes the T3 Moving Average (T3).... |
| TargetDownsideDeviation | This indicator computes the n-period target downside deviation. The target downside deviation is defined as the... |
| Theta | Option Theta indicator that calculate the theta of an option |
| TimeProfile | Represents an Indicator of the Market Profile with Time Price Opportunity (TPO) mode and its attributes |
| TimeSeriesForecast | Represents an indicator capable of predicting new values given previous data from a window.... |
| TimeSeriesIndicator | The base class for any Time Series-type indicator, containing methods common to most of such models. |
| TomDemarkSequential | Represents the Tom Demark Sequential indicator, which is used to identify potential trend exhaustion points.... |
| TradeBarIndicator | The TradeBarIndicator is an indicator that accepts TradeBar data as its input.... |
| TriangularMovingAverage | This indicator computes the Triangular Moving Average (TRIMA).... |
| TripleExponentialMovingAverage | This indicator computes the Triple Exponential Moving Average (TEMA).... |
| Trix | This indicator computes the TRIX (1-period ROC of a Triple EMA)... |
| TrueRange | This indicator computes the True Range (TR).... |
| TrueStrengthIndex | This indicator computes the True Strength Index (TSI).... |
| UltimateOscillator | This indicator computes the Ultimate Oscillator (ULTOSC)... |
| ValueAtRisk | This indicator computes 1-day VaR for a specified confidence level and lookback period |
| VariableIndexDynamicAverage | This indicator computes the n-period adaptive weighted moving average indicator.... |
| Variance | This indicator computes the n-period population variance. |
| Vega | Option Vega indicator that calculate the Vega of an option |
| VolumeProfile | Represents an Indicator of the Market Profile with Volume Profile mode and its attributes |
| VolumeWeightedAveragePriceIndicator | Volume Weighted Average Price (VWAP) Indicator:... |
| VolumeWeightedMovingAverage | This indicator computes the Volume Weighted Moving Average (VWMA)... |
| Vortex | Represents the Vortex Indicator, which identifies the start and continuation of market trends.... |
| WilderAccumulativeSwingIndex | This indicator calculates the Accumulative Swing Index (ASI) as defined by... |
| WilderMovingAverage | Represents the moving average indicator defined by Welles Wilder in his book:... |
| WilderSwingIndex | This indicator calculates the Swing Index (SI) as defined by Welles Wilder... |
| WilliamsPercentR | Williams %R, or just %R, is the current closing price in relation to the high and low of... |
| WindowIdentity | Represents an indicator that is a ready after ingesting enough samples (# samples > period)... |
| WindowIndicator | Represents an indicator that acts on a rolling window of data |
| ZeroLagExponentialMovingAverage | Represents the zero lag moving average indicator (ZLEMA)... |
| ZigZag | The ZigZag indicator identifies significant turning points in price movements,... |
Enumerations
Bases: IntEnum
Defines the different types of Correlation
PEARSON = 0
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 = 1
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.
Bases: IntEnum
The possible states returned by IndicatorBase{T}.ComputeNextValue
SUCCESS = 0
The indicator successfully calculated a value for the input data (0)
INVALID_INPUT = 1
The indicator detected an invalid input data point or tradebar (1)
MATH_ERROR = 2
The indicator encountered a math error during calculations (2)
VALUE_NOT_READY = 3
The indicator value is not ready (3)
Bases: IntEnum
Defines the different types of moving averages
SIMPLE = 0
An unweighted, arithmetic mean (0)
EXPONENTIAL = 1
The standard exponential moving average, using a smoothing factor of 2/(n+1) (1)
WILDERS = 2
An exponential moving average, using a smoothing factor of 1/n and simple moving average as seeding (2)
LINEAR_WEIGHTED_MOVING_AVERAGE = 3
A weighted moving average type (3)
DOUBLE_EXPONENTIAL = 4
The double exponential moving average (4)
TRIPLE_EXPONENTIAL = 5
The triple exponential moving average (5)
TRIANGULAR = 6
The triangular moving average (6)
T_3 = 7
The T3 moving average (7)
KAMA = 8
The Kaufman Adaptive Moving Average (8)
HULL = 9
The Hull Moving Average (9)
ALMA = 10
The Arnaud Legoux Moving Average (10)
ZLEMA = 11
The Zero Lag Exponential Moving Average (11)
MGD = 12
The McGinley Dynamic moving average (12)
Bases: IntEnum
Defines different types of option pricing model
BLACK_SCHOLES = 0
Vanilla Black Scholes Model
BINOMIAL_COX_ROSS_RUBINSTEIN = 1
The Cox-Ross-Rubinstein binomial tree model (CRR model)
FORWARD_TREE = 2
The forward binomial tree model, or Cox-Ross-Rubinstein with drift model
Bases: IntEnum
Pivot point direction
LOW = -1
Low pivot point (-1)
NONE = 0
No pivot point (0)
HIGH = 1
High pivot point (1)
BOTH = 2
Both high and low pivot point (2)
Bases: IntEnum
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
GAUSS = 0
Two Pole Gaussian Filter (0)
BUTTER = 1
Two Pole Butterworth Filter (1)
HIGH_PASS = 2
High Pass Filter (2)
TWO_POLE_HIGH_PASS = 3
Two Pole High Pass Filter (3)
BAND_PASS = 4
BandPass Filter (4)
Bases: IntEnum
Represents the different phases of the TomDemark Sequential indicator.
NONE = 0
No active phase.
BUY_SETUP = 1
Buy setup phase.
SELL_SETUP = 2
Sell setup phase.
BUY_COUNTDOWN = 3
Buy countdown phase.
SELL_COUNTDOWN = 4
Sell countdown phase.
BUY_SETUP_PERFECT = 5
Perfect buy setup phase.
SELL_SETUP_PERFECT = 6
Perfect sell setup phase.