[Feature Request] Integrate rolling window into indicators

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[Feature Request] Integrate rolling window into indicators

Last comment by - June 2022

[Feature Request] Integrate rolling window into indicators

Request to add historical value retrieval to indicators in QuantConnect.

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[Feature Request] Integrate rolling window into indicators

Yuri Lopukhov | June 2022

Hello, retrieving historical value for an indicator is a pretty common task, I think it would be much easier if indicators could contain history values themselves, so we could use it like this:

ema = ExponentialMovingAverage(100, history=10)
…
ema_current = ema.Current.Value
ema_old = ema.History[10]        # 1-based, because 0 means current value

Author

Yuri Lopukhov

June 2022

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1 person upvoted this

Vladimir INVESTOR

June 2022

Yuri Lopukhov,

This option already exist

IndicatorExtensions.Of(Delay(), ...)

If you are satisfied with my answer, please accept it and don't forget to like it.

Танцуй Россия!

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2 people upvoted this

Vladimir INVESTOR

June 2022

Here is the code snippet from the backtest attached above.

# QC DEMA Delayed
from AlgorithmImports import *
STOCK = 'SPY'; PERIOD = 50; DELAY = 10;
class DemaDelayed(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 1, 31)
        self.SetEndDate(2021, 10, 20) 
        self.SetWarmUp(5*PERIOD + DELAY, Resolution.Daily)
        self.stock = self.AddEquity(STOCK, Resolution.Daily).Symbol
        self.dema = self.DEMA(self.stock, PERIOD, Resolution.Daily)
        self.dema_delayed = IndicatorExtensions.Of(Delay(DELAY), self.dema)
    def OnData(self, data):
        if self.IsWarmingUp or not (self.dema.IsReady and self.dema_delayed.IsReady): return  
        self.Plot("Indicator","DEMA", self.dema.Current.Value)
        self.Plot("Indicator", "DEMA_delayed", self.dema_delayed.Current.Value)
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1 person upvoted this

Yuri Lopukhov INVESTOR

June 2022

Good to know, but this is not the same, what if I need access to any or all of the last 10 values?

Also, my proposal feels more natural to use.

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1 person upvoted this

Vladimir INVESTOR

June 2022

Yuri Lopukhov,

To access any or all of the last N values you may use talib indicators.

If you are satisfied with my answer, please accept it and don't forget to like it.

Upvote

Vladimir INVESTOR

June 2022

Here is the code snippet from the backtest attached above

# TaLib DEMA Delayed
from AlgorithmImports import *
import numpy as np
import talib 
STOCK = 'SPY'; PERIOD = 50; DELAY = 10;
class TaLibDEMA(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2020, 1, 31)
        self.SetEndDate(2021, 10, 20) 
        self.SetWarmUp(5*PERIOD, Resolution.Daily)
        self.stock = self.AddEquity(STOCK, Resolution.Daily).Symbol
        self.rollingWindow = RollingWindow[TradeBar](5*PERIOD)
        self.Consolidate(self.stock, Resolution.Daily, self.CustomBarHandler)
        
        
    def CustomBarHandler(self, bar):
        self.rollingWindow.Add(bar)         
        if self.IsWarmingUp: return
        if not self.rollingWindow.IsReady: return
        closes = np.flipud(np.array([self.rollingWindow[i].Close for i in range(5*PERIOD)]))
        talib_dema = talib.DEMA(closes, PERIOD)
        self.Plot("Indicator","talib_dema", talib_dema[-1])
        self.Plot("Indicator", "talib_dema_delayed", talib_dema[-DELAY])
        self.Plot("Indicator", "talib_dema_mean", talib_dema[-DELAY:].mean())
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Louis Szeto INVESTOR

QuantConnect | June 2022

Hi Yuri and Vladimir

RollingWindow has been supporting the use with Indicator all along. Please refer to this doc,

Best
Louis

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June 2022

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