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Indicator Examples (BB, MACD, SMA, EMA, RSI, ATR)

By popular request I've developed an example project with the common indicators, including: Bollinger Bands, Simple Moving Average, Exponential Moving Average, Relative Strength Index, Average True Range and MACD. Down the bottom of the algorithm we plot them together with price. I've also set it up to use Daily consolidators - this way the plots look like characteristic ones you'll see on other stock charting websites.

The engine updates the indicators automatically and feeds the value through to the algorithms output for charting! Its a pretty cool system under the hood. I'd recommend looking at the Github project.

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Jared Broad

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Tadas Talaikis

85.1k Pro ,

Standard deviation?

Jared Broad

STAFF Pro ,

Thanks @Tadas -- I've updated the QCU algorithm to include standard deviation, aroon and momentum as well. You can see all the indicators here: https://github.com/QuantConnect/Lean/blob/master/Algorithm/QCAlgorithm.Indicators.cs

Tadas Talaikis

85.1k Pro ,

Thanks, @Jared, though I saw somewhere what values go to different indicators :D Also, searched, but didn't found how to use, let's say OnData(ImportedData id) along with usual OnData(TradeBars data)?

Jared Broad

STAFF Pro ,

I'll try push new documentation this weekend @TT - for now you can look at the classes themselves to know the properties of each indicator. E.g. Aroon Up - https://github.com/QuantConnect/Lean/blob/master/Indicators/AroonOscillator.cs#L31 I've updated the algorithm again to include an example of a RSI indicator on custom data. It takes 3 lines instead of one because you need to tell us how to consolidate it together, and then manually register/subscribe the indicator class for data updates.

Tadas Talaikis

85.1k Pro ,

Ah, ok, thank you, now starting to pick it up. QC platform is too much flexible :) Missing piece for me was: var bitcoinIdentityConsolidator = new IdentityDataConsolidator();

Johnny Lee

146 Pro ,

I have some questions regarding this example. How do I modify the code the indicators are being calculated on 30 minute bars instead of daily or minute bar. I'm not sure how to setup and access the indicators to work on multiple securities. ex. public void OnData(TradeBars data) { foreach(var symbol in Securities.Keys) { if (data["symbol"].High > _bb.UpperBand["symbol"] ) { //do something }; } }

Michael Handschuh

50.5k Pro ,

Hey @Johnny! I like to use a pattern I refer to as SymbolData. Here's a link to a thread showing an example of it.

Johnny Lee

146 Pro ,

Hi Michael, Thank you for your wonderful suggestion. I modified the basic template to handle multiple securities. However, I'm still not sure what to do regarding the resolution. Is it possible for QuantConnect to use multiple resolutions with each indicators? Ex. use 5 minute bars for RSI, 10 minutes bars for EMA, and 30 minute bars for SMA?

Michael Handschuh

50.5k Pro ,

Sounds like you need to use the consolidator system! Consolidators can take high resolution data (tick,second,minute, ect...) and aggregate it into lower resolution data (5min, 45 min, anything...). Have a peak at this thread which shows how to make a consolidator and indicators that depend on the consolidator. For multiple time frames, you'll need multiple consolidators. An important note, one consolidator can only be used with one symbol! So if you're doing multiple symbols you'll need one consolidator per symbol per time frame (5min, 10min, ect...).

Johnny Lee

146 Pro ,

Would something like this work if I wanted to create Bollinger Bands from 15 minutes bars? Also, is there a way for me to pass in the bar's open, high, low, and close into the SymbolData class? Thanks again for your help.

            public SymbolData(string symbol, QCAlgorithm algorithm)
            {

                Symbol = symbol;
                _bb = new BollingerBands(50, 3, MovingAverageType.Simple);
                algorithm.RegisterIndicator(Symbol, _bb, TimeSpan.FromMinutes(15));
            }

Michael Handschuh

50.5k Pro ,

The bollingerbands look to be created correctly. Try plotting it to verify. As for passing in the OHLC data, there are various ways to do this. Do you want a method to be called with the data? You could define a SymbolData.OnData(TradeBar bar) which could be called from your algorithm's OnData method.

Timothy Comisky

2.5k Pro ,

Jared, did you mean you plotted the indicators as well as price or on top of price, because when i run it i get separate charts. Have you guys figured out a solution to plotting ex. 2 different EMAs on top of price?

Michael Handschuh

50.5k Pro ,

The following code will plot two EMAs on top of the SPY closing price on the registered resolution:

var price = Identity("SPY");
var fast = EMA("SPY", 7);
var slow = EMA("SPY", 14);
PlotIndicator("SPY", price, fast, slow);

Take a peek at the attached code below which creates a new plot called 'SPY' for the price and EMAs.

Stephen

1.4k Pro ,

Is there a way to put this on the "Stockplot" that shows when the algorithm makes moves in the market?

Timothy Comisky

2.5k Pro ,

oh nice, great thank you Michael! Good question Stephen that would also be very helpful

Michael Handschuh

50.5k Pro ,

I think it would be easier (and more general) to place the execution plots on the custom indicator chart. For example, if you're working with a MACD and RSI on separate charts, it may be helpful to plot a scatter plot on each of those charts with buy/sell points. Have a look at the QCU How Do I Create Custom Charts? available in the university tab. This details how to define some custom charts, including buy/sell points. If you want price data overlayed on your custom chart, you can use:PlotIndicator("MyCustomChartName", Identity("SPY", Resolution.Daily)); This will add the closing daily spy price as a series to the 'MyCustomChartName' chart.

Stephen

1.4k Pro ,

You're completely right. I got that up and running. Thank you! One more question now that I have that: I'm using this plot to help debug my algorithm. Is there any way to adjust the vertical scale? I know you can adjust the horizontal easily, but sometimes it's still tough to see. Thank you again!

Michael Handschuh

50.5k Pro ,

Sadly we can't currently adjust the vertical scale

Stephen

1.4k Pro ,

Ah, that's ok. Thank you again for the help!!!

Stephen

1.4k Pro ,

Is there a way to have these calculate on the close of the set resolution? fast = EMA(Symbol, 25, Resolution.Minute); something like this (obviously doesn't work but sort of shows what I mean): fast = EMA(Symbol, 25, Resolution.Minute.Close);

Jared Broad INVESTOR

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