Supported Indicators

Arms Index

Introduction

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).

To view the implementation of this indicator, see the LEAN GitHub repository.

Using TRIN Indicator

To create an automatic indicators for ArmsIndex, call the TRIN helper method from the QCAlgorithm class. The TRIN method creates a ArmsIndex object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initializeinitialize method.

public class ArmsIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Symbol _reference;
    private ArmsIndex _trin;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _reference = AddEquity("QQQ", Resolution.Daily).Symbol;
        _trin = TRIN([_symbol, reference]);
    }

    public override void OnData(Slice data)
    {
        if (_trin.IsReady)
        {
            // The current value of _trin is represented by itself (_trin)
            // or _trin.Current.Value
            Plot("ArmsIndex", "trin", _trin);
            // Plot all properties of trin
            Plot("ArmsIndex", "adratio", _trin.ADRatio);
            Plot("ArmsIndex", "advratio", _trin.ADVRatio);
        }
    }
}
class ArmsIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self.reference = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._trin = self.trin([self._symbol, reference])

    def on_data(self, slice: Slice) -> None:
        if self._trin.is_ready:
            # The current value of self._trin is represented by self._trin.current.value
            self.plot("ArmsIndex", "trin", self._trin.current.value)
            # Plot all attributes of self._trin
            self.plot("ArmsIndex", "ad_ratio", self._trin.ad_ratio.current.value)
            self.plot("ArmsIndex", "adv_ratio", self._trin.adv_ratio.current.value)

The following reference table describes the TRIN method:

trin(symbols, resolution=None, selector=None)[source]

Creates a new Arms Index indicator

Parameters:
  • symbols (List[Symbol] | Symbol[]) — The symbols whose Arms Index we want
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Arms Index indicator for the requested symbol over the specified period

Return type:

ArmsIndex

TRIN(symbols, resolution=None, selector=None)[source]

Creates a new Arms Index indicator

Parameters:
  • symbols (IEnumerable[Symbol] | Symbol[]) — The symbols whose Arms Index we want
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Arms Index indicator for the requested symbol over the specified period

Return type:

ArmsIndex

If you don't provide a resolution, it defaults to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.

For more information about the selector argument, see Alternative Price Fields.

For more information about plotting indicators, see Plotting Indicators.

You can manually create a ArmsIndex indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Updateupdate method with a TradeBar. The indicator will only be ready after you prime it with enough data.

public class ArmsIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Symbol _reference;
    private ArmsIndex _trin;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _reference = AddEquity("QQQ", Resolution.Daily).Symbol;
        _trin = new ArmsIndex("");
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _trin.Update(bar);
        }
        if (data.Bars.TryGetValue(_reference, out bar))
        {      
            _trin.Update(bar);
        }
   
        if (_trin.IsReady)
        {
            // The current value of _trin is represented by itself (_trin)
            // or _trin.Current.Value
            Plot("ArmsIndex", "trin", _trin);
            // Plot all properties of trin
            Plot("ArmsIndex", "adratio", _trin.ADRatio);
            Plot("ArmsIndex", "advratio", _trin.ADVRatio);
        }
    }
}
class ArmsIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self.reference = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._trin = ArmsIndex("")

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._trin.update(bar)
        bar = slice.bars.get(self.referece)
        if bar:
            self._trin.update(bar)
        if self._trin.is_ready:
            # The current value of self._trin is represented by self._trin.current.value
            self.plot("ArmsIndex", "trin", self._trin.current.value)
            # Plot all attributes of self._trin
            self.plot("ArmsIndex", "ad_ratio", self._trin.ad_ratio.current.value)
            self.plot("ArmsIndex", "adv_ratio", self._trin.adv_ratio.current.value)

To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.

public class ArmsIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Symbol _reference;
    private ArmsIndex _trin;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _reference = AddEquity("QQQ", Resolution.Daily).Symbol;
        _trin = new ArmsIndex("");
        RegisterIndicator(_symbol, _trin, Resolution.Daily);
        RegisterIndicator(reference, _trin, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_trin.IsReady)
        {
            // The current value of _trin is represented by itself (_trin)
            // or _trin.Current.Value
            Plot("ArmsIndex", "trin", _trin);
            // Plot all properties of trin
            Plot("ArmsIndex", "adratio", _trin.ADRatio);
            Plot("ArmsIndex", "advratio", _trin.ADVRatio);
        }
    }
}
class ArmsIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self.reference = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._trin = ArmsIndex("")
        self.register_indicator(self._symbol, self._trin, Resolution.DAILY)
        self.register_indicator(reference, self._trin, Resolution.DAILY)

    def on_data(self, slice: Slice) -> None:
        if self._trin.is_ready:
            # The current value of self._trin is represented by self._trin.current.value
            self.plot("ArmsIndex", "trin", self._trin.current.value)
            # Plot all attributes of self._trin
            self.plot("ArmsIndex", "ad_ratio", self._trin.ad_ratio.current.value)
            self.plot("ArmsIndex", "adv_ratio", self._trin.adv_ratio.current.value)

The following reference table describes the ArmsIndex constructor:

ArmsIndex

class QuantConnect.Indicators.ArmsIndex[source]

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).

get_enumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

reset()

Resets this indicator to its initial state

to_detailed_string()

Provides a more detailed string of this indicator in the form of {Name} - {Value}

Return type:

str

update(time, value)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • time (datetime)
  • value (float)
Return type:

bool

update(input)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • input (IBaseData)
Return type:

bool

property ad_ratio

Gets the Advance/Decline Ratio (ADR) indicator

Returns:

Gets the Advance/Decline Ratio (ADR) indicator

Return type:

AdvanceDeclineRatio

property adv_ratio

Gets the Advance/Decline Volume Ratio (ADVR) indicator

Returns:

Gets the Advance/Decline Volume Ratio (ADVR) indicator

Return type:

AdvanceDeclineVolumeRatio

property consolidators

The data consolidators associated with this indicator if any

Returns:

The data consolidators associated with this indicator if any

Return type:

ISet[IDataConsolidator]

property current

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property is_ready

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

Returns:

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

Return type:

bool

property item

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Returns:

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Return type:

IndicatorDataPoint

property name

Gets a name for this indicator

Returns:

Gets a name for this indicator

Return type:

str

property previous

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property samples

Gets the number of samples processed by this indicator

Returns:

Gets the number of samples processed by this indicator

Return type:

int

property warm_up_period

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

Returns:

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

Return type:

int

property window

A rolling window keeping a history of the indicator values of a given period

Returns:

A rolling window keeping a history of the indicator values of a given period

Return type:

RollingWindow[IndicatorDataPoint]

ArmsIndex

class QuantConnect.Indicators.ArmsIndex[source]

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).

GetEnumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

Reset()

Resets this indicator to its initial state

ToDetailedString()

Provides a more detailed string of this indicator in the form of {Name} - {Value}

Return type:

String

Update(time, value)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • time (DateTime)
  • value (decimal)
Return type:

Boolean

Update(input)

Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise

Parameters:
  • input (IBaseData)
Return type:

Boolean

property ADRatio

Gets the Advance/Decline Ratio (ADR) indicator

Returns:

Gets the Advance/Decline Ratio (ADR) indicator

Return type:

AdvanceDeclineRatio

property ADVRatio

Gets the Advance/Decline Volume Ratio (ADVR) indicator

Returns:

Gets the Advance/Decline Volume Ratio (ADVR) indicator

Return type:

AdvanceDeclineVolumeRatio

property Consolidators

The data consolidators associated with this indicator if any

Returns:

The data consolidators associated with this indicator if any

Return type:

ISet<IDataConsolidator>

property Current

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property IsReady

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

Returns:

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

Return type:

bool

property Name

Gets a name for this indicator

Returns:

Gets a name for this indicator

Return type:

string

property Previous

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Returns:

Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.

Return type:

IndicatorDataPoint

property Samples

Gets the number of samples processed by this indicator

Returns:

Gets the number of samples processed by this indicator

Return type:

int

property WarmUpPeriod

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

Returns:

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

Return type:

Int32

property Window

A rolling window keeping a history of the indicator values of a given period

Returns:

A rolling window keeping a history of the indicator values of a given period

Return type:

RollingWindow<IndicatorDataPoint>

property [System.Int32]

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Returns:

Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.

Return type:

IndicatorDataPoint

Visualization

The following image shows plot values of selected properties of ArmsIndex using the plotly library.

ArmsIndex line plot.

Indicator History

To get the historical data of the ArmsIndex indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription. 

public class ArmsIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Symbol _reference;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _reference = AddEquity("QQQ", Resolution.Daily).Symbol;
        var trin = TRIN([_symbol, reference]);
        var countIndicatorHistory = IndicatorHistory(trin, new[] { _symbol, _reference }, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(trin, new[] { _symbol, _reference }, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(trin, new[] { _symbol, _reference }, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class ArmsIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._reference = self.add_equity("QQQ", Resolution.DAILY).symbol
        trin = self.trin([self._symbol, reference])
        count_indicator_history = self.indicator_history(trin, [self._symbol, self._reference], 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(trin, [self._symbol, self._reference], timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(trin, [self._symbol, self._reference], datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

To make the IndicatorHistoryindicator_history method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector argument.

var indicatorHistory = IndicatorHistory(trin, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(trin, 100, Resolution.MINUTE, lambda bar: bar.high)
indicator_history_df = indicator_history.data_frame

If you already have a list of Slice objects, you can pass them to the IndicatorHistoryindicator_history method to avoid the internal history request.

var history = History(new[] { _symbol, _reference }, 100, Resolution.Minute);
var historyIndicatorHistory = IndicatorHistory(trin, history);

To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.

var adratio = indicatorHistory.Select(x => ((dynamic)x).ADRatio).ToList();
var advratio = indicatorHistory.Select(x => ((dynamic)x).ADVRatio).ToList();

// Alternative way
// var adratio = indicatorHistory.Select(x => x["adratio"]).ToList();
// var advratio = indicatorHistory.Select(x => x["advratio"]).ToList();

ad_ratio = indicator_history_df["ad_ratio"]
adv_ratio = indicator_history_df["adv_ratio"]

# Alternative way
# ad_ratio = indicator_history_df.ad_ratio
# adv_ratio = indicator_history_df.adv_ratio

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