Supported Indicators

Connors Relative Strength Index

Introduction

This indicator represents the Connors Relative Strength Index (CRSI), a combination of the traditional Relative Strength Index (RSI), a Streak RSI (SRSI), and Percent Rank. This index is designed to provide a more robust measure of market strength by combining momentum, streak behavior, and price change.

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

Using ConnorsRelativeStrengthIndex Indicator

To create an automatic indicators for ConnorsRelativeStrengthIndex, call the ConnorsRelativeStrengthIndex helper method from the QCAlgorithm class. The ConnorsRelativeStrengthIndex method creates a ConnorsRelativeStrengthIndex 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 ConnorsRelativeStrengthIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ConnorsRelativeStrengthIndex _connorsrelativestrengthindex;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _connorsrelativestrengthindex = ConnorsRelativeStrengthIndex(_symbol);
    }

    public override void OnData(Slice data)
    {
        if (_connorsrelativestrengthindex.IsReady)
        {
            // The current value of _connorsrelativestrengthindex is represented by itself (_connorsrelativestrengthindex)
            // or _connorsrelativestrengthindex.Current.Value
            Plot("ConnorsRelativeStrengthIndex", "connorsrelativestrengthindex", _connorsrelativestrengthindex);
            
        }
    }
}
class ConnorsRelativeStrengthIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._connors_relative_strength_index = self.connors_relative_strength_index(self._symbol)

    def on_data(self, slice: Slice) -> None:
        if self._connors_relative_strength_index.is_ready:
            # The current value of self._connors_relative_strength_index is represented by self._connors_relative_strength_index.current.value
            self.plot("ConnorsRelativeStrengthIndex", "connors_relative_strength_index", self._connors_relative_strength_index.current.value)

The following reference table describes the ConnorsRelativeStrengthIndex method:

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 ConnorsRelativeStrengthIndex 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 time/number pair or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.

public class ConnorsRelativeStrengthIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ConnorsRelativeStrengthIndex _connorsrelativestrengthindex;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _connorsrelativestrengthindex = new ConnorsRelativeStrengthIndex();
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _connorsrelativestrengthindex.Update(bar.EndTime, bar.Close);
        }
   
        if (_connorsrelativestrengthindex.IsReady)
        {
            // The current value of _connorsrelativestrengthindex is represented by itself (_connorsrelativestrengthindex)
            // or _connorsrelativestrengthindex.Current.Value
            Plot("ConnorsRelativeStrengthIndex", "connorsrelativestrengthindex", _connorsrelativestrengthindex);
            
        }
    }
}
class ConnorsRelativeStrengthIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._connors_relative_strength_index = ConnorsRelativeStrengthIndex()

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._connors_relative_strength_index.update(bar.EndTime, bar.Close)
        if self._connors_relative_strength_index.is_ready:
            # The current value of self._connors_relative_strength_index is represented by self._connors_relative_strength_index.current.value
            self.plot("ConnorsRelativeStrengthIndex", "connors_relative_strength_index", self._connors_relative_strength_index.current.value)

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

public class ConnorsRelativeStrengthIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ConnorsRelativeStrengthIndex _connorsrelativestrengthindex;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _connorsrelativestrengthindex = new ConnorsRelativeStrengthIndex();
        RegisterIndicator(_symbol, _connorsrelativestrengthindex, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_connorsrelativestrengthindex.IsReady)
        {
            // The current value of _connorsrelativestrengthindex is represented by itself (_connorsrelativestrengthindex)
            // or _connorsrelativestrengthindex.Current.Value
            Plot("ConnorsRelativeStrengthIndex", "connorsrelativestrengthindex", _connorsrelativestrengthindex);
            
        }
    }
}
class ConnorsRelativeStrengthIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._connors_relative_strength_index = ConnorsRelativeStrengthIndex()
        self.register_indicator(self._symbol, self._connors_relative_strength_index, Resolution.DAILY)

    def on_data(self, slice: Slice) -> None:
        if self._connors_relative_strength_index.is_ready:
            # The current value of self._connors_relative_strength_index is represented by self._connors_relative_strength_index.current.value
            self.plot("ConnorsRelativeStrengthIndex", "connors_relative_strength_index", self._connors_relative_strength_index.current.value)

The following reference table describes the ConnorsRelativeStrengthIndex constructor:

ConnorsRelativeStrengthIndex

class QuantConnect.Indicators.ConnorsRelativeStrengthIndex[source]

Represents the Connors Relative Strength Index (CRSI), a combination of the traditional Relative Strength Index (RSI), a Streak RSI (SRSI), and Percent Rank. This index is designed to provide a more robust measure of market strength by combining momentum, streak behavior, and price change.

get_enumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

reset()

Resets the indicator to its initial state. This clears all internal data and resets the RSI, Streak RSI, and PriceChangeRatios, as well as the trend streak counter.

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 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 value indicating whether the indicator is ready for use. The indicator is ready when all its components (RSI, SRSI, and PriceChangeRatios) are ready.

Returns:

Gets a value indicating whether the indicator is ready for use. The indicator is ready when all its components (RSI, SRSI, and PriceChangeRatios) are ready.

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

Gets the warm-up period required for the indicator to be ready. This is the maximum period of all components (RSI, SRSI, and PriceChangeRatios).

Returns:

Gets the warm-up period required for the indicator to be ready. This is the maximum period of all components (RSI, SRSI, and PriceChangeRatios).

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]

ConnorsRelativeStrengthIndex

class QuantConnect.Indicators.ConnorsRelativeStrengthIndex[source]

Represents the Connors Relative Strength Index (CRSI), a combination of the traditional Relative Strength Index (RSI), a Streak RSI (SRSI), and Percent Rank. This index is designed to provide a more robust measure of market strength by combining momentum, streak behavior, and price change.

GetEnumerator()

Returns an enumerator that iterates through the history window.

Return type:

IEnumerator[IndicatorDataPoint]

Reset()

Resets the indicator to its initial state. This clears all internal data and resets the RSI, Streak RSI, and PriceChangeRatios, as well as the trend streak counter.

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 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 value indicating whether the indicator is ready for use. The indicator is ready when all its components (RSI, SRSI, and PriceChangeRatios) are ready.

Returns:

Gets a value indicating whether the indicator is ready for use. The indicator is ready when all its components (RSI, SRSI, and PriceChangeRatios) are ready.

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

Gets the warm-up period required for the indicator to be ready. This is the maximum period of all components (RSI, SRSI, and PriceChangeRatios).

Returns:

Gets the warm-up period required for the indicator to be ready. This is the maximum period of all components (RSI, SRSI, and PriceChangeRatios).

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 ConnorsRelativeStrengthIndex using the plotly library.

ConnorsRelativeStrengthIndex line plot.

Indicator History

To get the historical data of the ConnorsRelativeStrengthIndex 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 ConnorsRelativeStrengthIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        var connorsrelativestrengthindex = ConnorsRelativeStrengthIndex(_symbol);
        var countIndicatorHistory = IndicatorHistory(connorsrelativestrengthindex, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(connorsrelativestrengthindex, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(connorsrelativestrengthindex, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class ConnorsRelativeStrengthIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        connors_relative_strength_index = self.connors_relative_strength_index(self._symbol)
        count_indicator_history = self.indicator_history(connors_relative_strength_index, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(connors_relative_strength_index, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(connors_relative_strength_index, self._symbol, 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(connorsrelativestrengthindex, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(connors_relative_strength_index, 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(_symbol, 100, Resolution.Minute);
var historyIndicatorHistory = IndicatorHistory(connorsrelativestrengthindex, history);

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