Supported Indicators
Moving Average Convergence Divergence
Introduction
This indicator creates two moving averages defined on a base indicator and produces the difference between the fast and slow averages.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using MACD Indicator
To create an automatic indicators for MovingAverageConvergenceDivergence, call the MACD helper method from the QCAlgorithm class. The MACD method creates a MovingAverageConvergenceDivergence 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 MovingAverageConvergenceDivergenceAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MovingAverageConvergenceDivergence _macd;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_macd = MACD(_symbol, 12, 26, 9, MovingAverageType.Exponential);
}
public override void OnData(Slice data)
{
if (_macd.IsReady)
{
// The current value of _macd is represented by itself (_macd)
// or _macd.Current.Value
Plot("MovingAverageConvergenceDivergence", "macd", _macd);
// Plot all properties of macd
Plot("MovingAverageConvergenceDivergence", "fast", _macd.Fast);
Plot("MovingAverageConvergenceDivergence", "slow", _macd.Slow);
Plot("MovingAverageConvergenceDivergence", "signal", _macd.Signal);
Plot("MovingAverageConvergenceDivergence", "histogram", _macd.Histogram);
}
}
} class MovingAverageConvergenceDivergenceAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._macd = self.macd(self._symbol, 12, 26, 9, MovingAverageType.Exponential)
def on_data(self, slice: Slice) -> None:
if self._macd.is_ready:
# The current value of self._macd is represented by self._macd.current.value
self.plot("MovingAverageConvergenceDivergence", "macd", self._macd.current.value)
# Plot all attributes of self._macd
self.plot("MovingAverageConvergenceDivergence", "fast", self._macd.fast.current.value)
self.plot("MovingAverageConvergenceDivergence", "slow", self._macd.slow.current.value)
self.plot("MovingAverageConvergenceDivergence", "signal", self._macd.signal.current.value)
self.plot("MovingAverageConvergenceDivergence", "histogram", self._macd.histogram.current.value)
The following reference table describes the MACD method:
macd(symbol, fast_period, slow_period, signal_period, type=1, resolution=None, selector=None)[source]Creates a MACD indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose MACD we want
- fast_period (int) — The period for the fast moving average
- slow_period (int) — The period for the slow moving average
- signal_period (int) — The period for the signal moving average
- type (MovingAverageType, optional) — The type of moving average to use for the MACD
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The moving average convergence divergence between the fast and slow averages
MACD(symbol, fastPeriod, slowPeriod, signalPeriod, type=1, resolution=None, selector=None)[source]Creates a MACD indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose MACD we want
- fastPeriod (Int32) — The period for the fast moving average
- slowPeriod (Int32) — The period for the slow moving average
- signalPeriod (Int32) — The period for the signal moving average
- type (MovingAverageType, optional) — The type of moving average to use for the MACD
- resolution (Resolution, optional) — The resolution
- selector (Func<IBaseData, Decimal>, optional) — x.Value)
The moving average convergence divergence between the fast and slow averages
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 MovingAverageConvergenceDivergence 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 MovingAverageConvergenceDivergenceAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MovingAverageConvergenceDivergence _macd;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_macd = new MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_macd.Update(bar.EndTime, bar.Close);
}
if (_macd.IsReady)
{
// The current value of _macd is represented by itself (_macd)
// or _macd.Current.Value
Plot("MovingAverageConvergenceDivergence", "macd", _macd);
// Plot all properties of macd
Plot("MovingAverageConvergenceDivergence", "fast", _macd.Fast);
Plot("MovingAverageConvergenceDivergence", "slow", _macd.Slow);
Plot("MovingAverageConvergenceDivergence", "signal", _macd.Signal);
Plot("MovingAverageConvergenceDivergence", "histogram", _macd.Histogram);
}
}
} class MovingAverageConvergenceDivergenceAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._macd = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._macd.update(bar.EndTime, bar.Close)
if self._macd.is_ready:
# The current value of self._macd is represented by self._macd.current.value
self.plot("MovingAverageConvergenceDivergence", "macd", self._macd.current.value)
# Plot all attributes of self._macd
self.plot("MovingAverageConvergenceDivergence", "fast", self._macd.fast.current.value)
self.plot("MovingAverageConvergenceDivergence", "slow", self._macd.slow.current.value)
self.plot("MovingAverageConvergenceDivergence", "signal", self._macd.signal.current.value)
self.plot("MovingAverageConvergenceDivergence", "histogram", self._macd.histogram.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class MovingAverageConvergenceDivergenceAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private MovingAverageConvergenceDivergence _macd;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_macd = new MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential);
RegisterIndicator(_symbol, _macd, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_macd.IsReady)
{
// The current value of _macd is represented by itself (_macd)
// or _macd.Current.Value
Plot("MovingAverageConvergenceDivergence", "macd", _macd);
// Plot all properties of macd
Plot("MovingAverageConvergenceDivergence", "fast", _macd.Fast);
Plot("MovingAverageConvergenceDivergence", "slow", _macd.Slow);
Plot("MovingAverageConvergenceDivergence", "signal", _macd.Signal);
Plot("MovingAverageConvergenceDivergence", "histogram", _macd.Histogram);
}
}
} class MovingAverageConvergenceDivergenceAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._macd = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential)
self.register_indicator(self._symbol, self._macd, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._macd.is_ready:
# The current value of self._macd is represented by self._macd.current.value
self.plot("MovingAverageConvergenceDivergence", "macd", self._macd.current.value)
# Plot all attributes of self._macd
self.plot("MovingAverageConvergenceDivergence", "fast", self._macd.fast.current.value)
self.plot("MovingAverageConvergenceDivergence", "slow", self._macd.slow.current.value)
self.plot("MovingAverageConvergenceDivergence", "signal", self._macd.signal.current.value)
self.plot("MovingAverageConvergenceDivergence", "histogram", self._macd.histogram.current.value)
The following reference table describes the MovingAverageConvergenceDivergence constructor:
MovingAverageConvergenceDivergence
This indicator creates two moving averages defined on a base indicator and produces the difference between the fast and slow averages.
get_enumerator()Returns an enumerator that iterates through the history window.
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}
str
update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (datetime)
- value (float)
bool
update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
bool
consolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet[IDataConsolidator]
currentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
fastGets the fast average indicator
Gets the fast average indicator
IndicatorBase[IndicatorDataPoint]
histogramDeveloped by Thomas Aspray in 1986, the MACD-Histogram measures the distance between MACD and its signal line, is an oscillator that fluctuates above and below the zero line. Bullish or bearish divergences in the MACD-Histogram can alert chartists to an imminent signal line crossover in MACD.
Developed by Thomas Aspray in 1986, the MACD-Histogram measures the distance between MACD and its signal line, is an oscillator that fluctuates above and below the zero line. Bullish or bearish divergences in the MACD-Histogram can alert chartists to an imminent signal line crossover in MACD.
IndicatorBase[IndicatorDataPoint]
is_readyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
itemIndexes 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.
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.
IndicatorDataPoint
nameGets a name for this indicator
Gets a name for this indicator
str
previousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
samplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
signalGets the signal of the MACD
Gets the signal of the MACD
IndicatorBase[IndicatorDataPoint]
slowGets the slow average indicator
Gets the slow average indicator
IndicatorBase[IndicatorDataPoint]
warm_up_periodRequired period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
int
windowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow[IndicatorDataPoint]
MovingAverageConvergenceDivergence
This indicator creates two moving averages defined on a base indicator and produces the difference between the fast and slow averages.
GetEnumerator()Returns an enumerator that iterates through the history window.
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}
String
Update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (DateTime)
- value (decimal)
Boolean
Update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
Boolean
ConsolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet<IDataConsolidator>
CurrentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
FastGets the fast average indicator
Gets the fast average indicator
IndicatorBase<IndicatorDataPoint>
HistogramDeveloped by Thomas Aspray in 1986, the MACD-Histogram measures the distance between MACD and its signal line, is an oscillator that fluctuates above and below the zero line. Bullish or bearish divergences in the MACD-Histogram can alert chartists to an imminent signal line crossover in MACD.
Developed by Thomas Aspray in 1986, the MACD-Histogram measures the distance between MACD and its signal line, is an oscillator that fluctuates above and below the zero line. Bullish or bearish divergences in the MACD-Histogram can alert chartists to an imminent signal line crossover in MACD.
IndicatorBase<IndicatorDataPoint>
IsReadyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
NameGets a name for this indicator
Gets a name for this indicator
string
PreviousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
SamplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
SignalGets the signal of the MACD
Gets the signal of the MACD
IndicatorBase<IndicatorDataPoint>
SlowGets the slow average indicator
Gets the slow average indicator
IndicatorBase<IndicatorDataPoint>
WarmUpPeriodRequired period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
Int32
WindowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow<IndicatorDataPoint>
[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.
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.
IndicatorDataPoint
Visualization
The following image shows plot values of selected properties of MovingAverageConvergenceDivergence using the plotly library.
Indicator History
To get the historical data of the MovingAverageConvergenceDivergence 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 MovingAverageConvergenceDivergenceAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var macd = MACD(_symbol, 12, 26, 9, MovingAverageType.Exponential);
var countIndicatorHistory = IndicatorHistory(macd, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(macd, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(macd, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class MovingAverageConvergenceDivergenceAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
macd = self.macd(self._symbol, 12, 26, 9, MovingAverageType.Exponential)
count_indicator_history = self.indicator_history(macd, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(macd, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(macd, 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(macd, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(macd, 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(macd, history);
To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.
var fast = indicatorHistory.Select(x => ((dynamic)x).Fast).ToList(); var slow = indicatorHistory.Select(x => ((dynamic)x).Slow).ToList(); var signal = indicatorHistory.Select(x => ((dynamic)x).Signal).ToList(); var histogram = indicatorHistory.Select(x => ((dynamic)x).Histogram).ToList(); // Alternative way // var fast = indicatorHistory.Select(x => x["fast"]).ToList(); // var slow = indicatorHistory.Select(x => x["slow"]).ToList(); // var signal = indicatorHistory.Select(x => x["signal"]).ToList(); // var histogram = indicatorHistory.Select(x => x["histogram"]).ToList();
fast = indicator_history_df["fast"] slow = indicator_history_df["slow"] signal = indicator_history_df["signal"] histogram = indicator_history_df["histogram"] # Alternative way # fast = indicator_history_df.fast # slow = indicator_history_df.slow # signal = indicator_history_df.signal # histogram = indicator_history_df.histogram
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