Supported Indicators
Squeeze Momentum
Introduction
The SqueezeMomentum indicator calculates whether the market is in a "squeeze" condition, determined by comparing Bollinger Bands to Keltner Channels. When the Bollinger Bands are inside the Keltner Channels, the indicator returns 1 (squeeze on). Otherwise, it returns -1 (squeeze off).
To view the implementation of this indicator, see the LEAN GitHub repository.
Using SM Indicator
To create an automatic indicators for SqueezeMomentum, call the SM helper method from the QCAlgorithm class. The SM method creates a SqueezeMomentum 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 SqueezeMomentumAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private SqueezeMomentum _sm;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_sm = SM(_symbol, 20, 2, 20, 1.5);
}
public override void OnData(Slice data)
{
if (_sm.IsReady)
{
// The current value of _sm is represented by itself (_sm)
// or _sm.Current.Value
Plot("SqueezeMomentum", "sm", _sm);
// Plot all properties of sm
Plot("SqueezeMomentum", "bollingerbands", _sm.BollingerBands);
Plot("SqueezeMomentum", "keltnerchannels", _sm.KeltnerChannels);
}
}
} class SqueezeMomentumAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._sm = self.sm(self._symbol, 20, 2, 20, 1.5)
def on_data(self, slice: Slice) -> None:
if self._sm.is_ready:
# The current value of self._sm is represented by self._sm.current.value
self.plot("SqueezeMomentum", "sm", self._sm.current.value)
# Plot all attributes of self._sm
self.plot("SqueezeMomentum", "bollinger_bands", self._sm.bollinger_bands.current.value)
self.plot("SqueezeMomentum", "keltner_channels", self._sm.keltner_channels.current.value)
The following reference table describes the SM method:
sm(symbol, bollinger_period=20, bollinger_multiplier=2.0, keltner_period=20, keltner_multiplier=1.5, resolution=None, selector=None)[source]Creates a Squeeze Momentum indicator to identify market squeezes and potential breakouts. Compares Bollinger Bands and Keltner Channels to signal low or high volatility periods.
- symbol (Symbol) — The symbol for which the indicator is calculated.
- bollinger_period (int, optional) — The period for Bollinger Bands.
- bollinger_multiplier (float, optional) — The multiplier for the Bollinger Bands' standard deviation.
- keltner_period (int, optional) — The period for Keltner Channels.
- keltner_multiplier (float, optional) — The multiplier for the Average True Range in Keltner Channels.
- resolution (Resolution, optional) — The resolution of the data.
- selector (Callable[IBaseData, IBaseDataBar], optional) — x.Value).
The configured Squeeze Momentum indicator.
SM(symbol, bollingerPeriod=20, bollingerMultiplier=2.0, keltnerPeriod=20, keltnerMultiplier=1.5, resolution=None, selector=None)[source]Creates a Squeeze Momentum indicator to identify market squeezes and potential breakouts. Compares Bollinger Bands and Keltner Channels to signal low or high volatility periods.
- symbol (Symbol) — The symbol for which the indicator is calculated.
- bollingerPeriod (Int32, optional) — The period for Bollinger Bands.
- bollingerMultiplier (decimal, optional) — The multiplier for the Bollinger Bands' standard deviation.
- keltnerPeriod (Int32, optional) — The period for Keltner Channels.
- keltnerMultiplier (decimal, optional) — The multiplier for the Average True Range in Keltner Channels.
- resolution (Resolution, optional) — The resolution of the data.
- selector (Func<IBaseData, IBaseDataBar>, optional) — x.Value).
The configured Squeeze Momentum indicator.
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 SqueezeMomentum 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 or QuoteBar. The indicator will only be ready after you prime it with enough data.
public class SqueezeMomentumAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private SqueezeMomentum _sm;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_sm = new SqueezeMomentum(20, 2, 20, 1.5);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_sm.Update(bar);
}
if (_sm.IsReady)
{
// The current value of _sm is represented by itself (_sm)
// or _sm.Current.Value
Plot("SqueezeMomentum", "sm", _sm);
// Plot all properties of sm
Plot("SqueezeMomentum", "bollingerbands", _sm.BollingerBands);
Plot("SqueezeMomentum", "keltnerchannels", _sm.KeltnerChannels);
}
}
} class SqueezeMomentumAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._sm = SqueezeMomentum(20, 2, 20, 1.5)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._sm.update(bar)
if self._sm.is_ready:
# The current value of self._sm is represented by self._sm.current.value
self.plot("SqueezeMomentum", "sm", self._sm.current.value)
# Plot all attributes of self._sm
self.plot("SqueezeMomentum", "bollinger_bands", self._sm.bollinger_bands.current.value)
self.plot("SqueezeMomentum", "keltner_channels", self._sm.keltner_channels.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class SqueezeMomentumAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private SqueezeMomentum _sm;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_sm = new SqueezeMomentum(20, 2, 20, 1.5);
RegisterIndicator(_symbol, _sm, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_sm.IsReady)
{
// The current value of _sm is represented by itself (_sm)
// or _sm.Current.Value
Plot("SqueezeMomentum", "sm", _sm);
// Plot all properties of sm
Plot("SqueezeMomentum", "bollingerbands", _sm.BollingerBands);
Plot("SqueezeMomentum", "keltnerchannels", _sm.KeltnerChannels);
}
}
} class SqueezeMomentumAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._sm = SqueezeMomentum(20, 2, 20, 1.5)
self.register_indicator(self._symbol, self._sm, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._sm.is_ready:
# The current value of self._sm is represented by self._sm.current.value
self.plot("SqueezeMomentum", "sm", self._sm.current.value)
# Plot all attributes of self._sm
self.plot("SqueezeMomentum", "bollinger_bands", self._sm.bollinger_bands.current.value)
self.plot("SqueezeMomentum", "keltner_channels", self._sm.keltner_channels.current.value)
The following reference table describes the SqueezeMomentum constructor:
SqueezeMomentum
The SqueezeMomentum indicator calculates whether the market is in a "squeeze" condition, determined by comparing Bollinger Bands to Keltner Channels. When the Bollinger Bands are inside the Keltner Channels, the indicator returns 1 (squeeze on). Otherwise, it returns -1 (squeeze off).
get_enumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
reset()Resets the state of the indicator, including all sub-indicators.
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
bollinger_bandsThe Bollinger Bands indicator used to calculate the upper, lower, and middle bands.
The Bollinger Bands indicator used to calculate the upper, lower, and middle bands.
BollingerBands
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
is_readyIndicates whether the indicator is ready and has enough data for computation. The indicator is ready when both the Bollinger Bands and the Average True Range are ready.
Indicates whether the indicator is ready and has enough data for computation. The indicator is ready when both the Bollinger Bands and the Average True Range are ready.
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
keltner_channelsThe Keltner Channels indicator used to calculate the upper, lower, and middle channels.
The Keltner Channels indicator used to calculate the upper, lower, and middle channels.
KeltnerChannels
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
warm_up_periodGets the warm-up period required for the indicator to be ready. This is determined by the warm-up period of the Bollinger Bands indicator.
Gets the warm-up period required for the indicator to be ready. This is determined by the warm-up period of the Bollinger Bands indicator.
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]
SqueezeMomentum
The SqueezeMomentum indicator calculates whether the market is in a "squeeze" condition, determined by comparing Bollinger Bands to Keltner Channels. When the Bollinger Bands are inside the Keltner Channels, the indicator returns 1 (squeeze on). Otherwise, it returns -1 (squeeze off).
GetEnumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
Reset()Resets the state of the indicator, including all sub-indicators.
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
BollingerBandsThe Bollinger Bands indicator used to calculate the upper, lower, and middle bands.
The Bollinger Bands indicator used to calculate the upper, lower, and middle bands.
BollingerBands
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
IsReadyIndicates whether the indicator is ready and has enough data for computation. The indicator is ready when both the Bollinger Bands and the Average True Range are ready.
Indicates whether the indicator is ready and has enough data for computation. The indicator is ready when both the Bollinger Bands and the Average True Range are ready.
bool
KeltnerChannelsThe Keltner Channels indicator used to calculate the upper, lower, and middle channels.
The Keltner Channels indicator used to calculate the upper, lower, and middle channels.
KeltnerChannels
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
WarmUpPeriodGets the warm-up period required for the indicator to be ready. This is determined by the warm-up period of the Bollinger Bands indicator.
Gets the warm-up period required for the indicator to be ready. This is determined by the warm-up period of the Bollinger Bands indicator.
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 SqueezeMomentum using the plotly library.
Indicator History
To get the historical data of the SqueezeMomentum 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 SqueezeMomentumAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var sm = SM(_symbol, 20, 2, 20, 1.5);
var countIndicatorHistory = IndicatorHistory(sm, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(sm, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(sm, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class SqueezeMomentumAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
sm = self.sm(self._symbol, 20, 2, 20, 1.5)
count_indicator_history = self.indicator_history(sm, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(sm, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(sm, 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(sm, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(sm, 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(sm, history);
To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.
var bollingerbands = indicatorHistory.Select(x => ((dynamic)x).BollingerBands).ToList(); var keltnerchannels = indicatorHistory.Select(x => ((dynamic)x).KeltnerChannels).ToList(); // Alternative way // var bollingerbands = indicatorHistory.Select(x => x["bollingerbands"]).ToList(); // var keltnerchannels = indicatorHistory.Select(x => x["keltnerchannels"]).ToList();
bollinger_bands = indicator_history_df["bollinger_bands"] keltner_channels = indicator_history_df["keltner_channels"] # Alternative way # bollinger_bands = indicator_history_df.bollinger_bands # keltner_channels = indicator_history_df.keltner_channels
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