Supported Indicators
Wilder Swing Index
Introduction
This indicator calculates the Swing Index (SI) as defined by Welles Wilder in his book 'New Concepts in Technical Trading Systems'.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using SI Indicator
To create an automatic indicators for WilderSwingIndex, call the SI helper method from the QCAlgorithm class. The SI method creates a WilderSwingIndex 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 WilderSwingIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private WilderSwingIndex _si;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_si = SI(_symbol, 20);
}
public override void OnData(Slice data)
{
if (_si.IsReady)
{
// The current value of _si is represented by itself (_si)
// or _si.Current.Value
Plot("WilderSwingIndex", "si", _si);
}
}
} class WilderSwingIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self.si = self.SI(self.symbol, 20)
def on_data(self, slice: Slice) -> None:
if self.si.is_ready:
# The current value of self.si is represented by self.si.current.value
self.plot("WilderSwingIndex", "si", self.si.current.value)
The following reference table describes the SI method:
si(symbol, limit_move, resolution=4, selector=None)[source]Creates a Wilder Swing Index (SI) indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose SI we want
- limit_move (float) — The maximum daily change in price for the SI
- 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
The WilderSwingIndex for the given parameters
SI(symbol, limitMove, resolution=4, selector=None)[source]Creates a Wilder Swing Index (SI) indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose SI we want
- limitMove (decimal) — The maximum daily change in price for the SI
- 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
The WilderSwingIndex for the given parameters
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 WilderSwingIndex 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 WilderSwingIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private WilderSwingIndex _si;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_si = new WilderSwingIndex(20);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_si.Update(bar);
}
if (_si.IsReady)
{
// The current value of _si is represented by itself (_si)
// or _si.Current.Value
Plot("WilderSwingIndex", "si", _si);
}
}
} class WilderSwingIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self.si = WilderSwingIndex(20)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self.si.update(bar)
if self.si.is_ready:
# The current value of self.si is represented by self.si.current.value
self.plot("WilderSwingIndex", "si", self.si.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class WilderSwingIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private WilderSwingIndex _si;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_si = new WilderSwingIndex(20);
RegisterIndicator(_symbol, _si, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_si.IsReady)
{
// The current value of _si is represented by itself (_si)
// or _si.Current.Value
Plot("WilderSwingIndex", "si", _si);
}
}
} class WilderSwingIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self.si = WilderSwingIndex(20)
self.register_indicator(self._symbol, self.si, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self.si.is_ready:
# The current value of self.si is represented by self.si.current.value
self.plot("WilderSwingIndex", "si", self.si.current.value)
The following reference table describes the WilderSwingIndex constructor:
WilderSwingIndex
This indicator calculates the Swing Index (SI) as defined by Welles Wilder in his book 'New Concepts in Technical Trading Systems'.
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
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
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]
WilderSwingIndex
This indicator calculates the Swing Index (SI) as defined by Welles Wilder in his book 'New Concepts in Technical Trading Systems'.
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
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
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 WilderSwingIndex using the plotly library.
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