Support & Resistance "Touch Detection"

QuantConnect provides a wide range of indicators, but it doesn't have a built-in method for identifying support and resistance levels. However, you can implement this yourself by analyzing price data.

To identify support and resistance levels, you could track the highs and lows of the price over a certain period and store these values. If the price touches these levels again, it could be considered a touch of the support or resistance level.

Here's a simple example of how you might implement this in Python:

class MyAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.high = self.MAX(self.symbol, 14)
        self.low = self.MIN(self.symbol, 14)

    def OnData(self, data):
        if not self.high.IsReady or not self.low.IsReady: return

        if self.Securities[self.symbol].Close >= self.high.Current.Value:
            self.Debug(f"Resistance level touched at {self.high.Current.Value}")
            # Place limit order logic here

        if self.Securities[self.symbol].Close <= self.low.Current.Value:
            self.Debug(f"Support level touched at {self.low.Current.Value}")
            # Place limit order logic here

In this example, we're using the MAX and MIN indicators to track the highest and lowest prices over the last 14 days. When the current price touches these levels, we log a message and you can add your limit order logic there.

Remember, this is a very basic example and real-world market conditions can be much more complex. You might want to consider factors like volume, volatility, and the overall trend when identifying support and resistance levels.

For more information on how to use indicators and handle data in QuantConnect, you can refer to the documentation and example algorithms provided in the extracts.

Thanks Mia, but i would like the price to touch these levels at least twice before adding a limit order logic. How do i go about doing that?

To implement a strategy that requires the price to touch the support or resistance levels at least twice before placing a limit order, you can keep track of the number of touches for each level.

Here's a simple way to do this in Python:

class MyAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.high = self.MAX(self.symbol, 14)
        self.low = self.MIN(self.symbol, 14)
        self.resistance_touches = 0
        self.support_touches = 0

    def OnData(self, data):
        if not self.high.IsReady or not self.low.IsReady: return

        if self.Securities[self.symbol].Close >= self.high.Current.Value:
            self.resistance_touches += 1
            self.Debug(f"Resistance level touched {self.resistance_touches} times")
            if self.resistance_touches >= 2:
                # Place limit order logic here
                pass

        if self.Securities[self.symbol].Close <= self.low.Current.Value:
            self.support_touches += 1
            self.Debug(f"Support level touched {self.support_touches} times")
            if self.support_touches >= 2:
                # Place limit order logic here
                pass

In this example, we're incrementing self.resistance_touches and self.support_touches each time the price touches the resistance or support level, respectively. When the count reaches 2, you can add your limit order logic.

Remember to reset these counters when your conditions are met, or they will continue to increment each time the price touches these levels.

This is a simple example and may not cover all scenarios. You might want to add more conditions to better define what constitutes a "touch" of a level, or to handle cases where the price breaks through a level rather than bouncing off it.

Thanks! How do i reset it then :)

You can reset the counters by simply setting them back to zero when your conditions are met. For example, if you place a limit order when the price touches a level twice, you can reset the counter at that point. Here's how you might do it:

class MyAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.high = self.MAX(self.symbol, 14)
        self.low = self.MIN(self.symbol, 14)
        self.resistance_touches = 0
        self.support_touches = 0

    def OnData(self, data):
        if not self.high.IsReady or not self.low.IsReady: return

        if self.Securities[self.symbol].Close >= self.high.Current.Value:
            self.resistance_touches += 1
            self.Debug(f"Resistance level touched {self.resistance_touches} times")
            if self.resistance_touches >= 2:
                # Place limit order logic here
                self.resistance_touches = 0  # Reset the counter

        if self.Securities[self.symbol].Close <= self.low.Current.Value:
            self.support_touches += 1
            self.Debug(f"Support level touched {self.support_touches} times")
            if self.support_touches >= 2:
                # Place limit order logic here
                self.support_touches = 0  # Reset the counter

In this example, self.resistance_touches = 0 and self.support_touches = 0 are used to reset the counters after a limit order is placed.