Indicators
Combining Indicators
Introduction
Indicator extensions let you chain indications together like Lego blocks to create unique combinations. When you chain indicators together, the .Current.Value
output of one indicator is the input of the following indicator. To chain indicators together with values other than the .Current.Value
, create a custom indicator.
Addition
The Plus
extension sums the .Current.Value
of two indicators or sums the .Current.Value
of an indicator and a fixed value.
// Sum the output of two indicators var rsiShort = RSI("SPY", 14); var rsiLong = RSI("SPY", 21); var rsiPlusRsi = rsiShort.Plus(rsiLong); // Sum the output of an indicator and a fixed value var rsiPlusValue = rsiShort.Plus(10);
# Sum the output of two indicators rsi_short = self.RSI("SPY", 14) rsi_long = self.RSI("SPY", 21) rsi_plus_rsi = IndicatorExtensions.Plus(rsi_short, rsi_long) # Sum the output of an indicator and a fixed value rsi_plus_value = IndicatorExtensions.Plus(rsi_short, 10)
If you pass an indicator to the Plus
extension, you can name the composite indicator.
var namedIndicator = rsiShort.Plus(rsiLong, "RSI Sum");
named_indicator = IndicatorExtensions.Plus(rsi_short, rsi_long, "RSI Sum")
Subtraction
The Minus
extension subtracts the .Current.Value
of two indicators or subtracts a fixed value from the .Current.Value
of an indicator.
// Subtract the output of two indicators var smaShort = SMA("SPY", 14); var smaLong = SMA("SPY", 21); var smaDifference = smaShort.Minus(smaLong); // Subtract a fixed value from the output of an indicator var smaMinusValue = smaShort.Minus(10);
# Subtract the output of two indicators sma_short = self.SMA("SPY", 14) sma_long = self.SMA("SPY", 21) sma_difference = IndicatorExtensions.Minus(sma_short, sma_long) # Subtract a fixed value from the output of an indicator sma_minus_value = IndicatorExtensions.Minus(sma_short, 10)
If you pass an indicator to the Minus
extension, you can name the composite indicator.
var namedIndicator = smaShort.Minus(smaLong, "SMA Difference");
named_indicator = IndicatorExtensions.Minus(sma_short, sma_long, "SMA Difference")
Multiplication
The Times
extension multiplies the .Current.Value
of two indicators or multiplies a fixed value and the .Current.Value
of an indicator.
// Multiply the output of two indicators var emaShort = EMA("SPY", 14); var emaLong = EMA("SPY", 21); var emaProduct = emaShort.Times(emaLong); // Multiply the output of an indicator and a fixed value var emaTimesValue = emaShort.Times(10);
# Multiply the output of two indicators ema_short = self.EMA("SPY", 14) ema_long = self.EMA("SPY", 21) ema_product = IndicatorExtensions.Times(ema_short, ema_long) # Multiply the output of an indicator and a fixed value ema_times_value = IndicatorExtensions.Times(ema_short, 1.5)
If you pass an indicator to the
extension, you can name the composite indicator.Times
var namedIndicator = emaShort.Times(emaLong, "EMA Product");
named_indicator = IndicatorExtensions.Times(ema_short, ema_long, "EMA Product")
Division
The Over
extension divides the .Current.Value
of an indicator by the .Current.Value
of another indicator or a fixed value.
// Divide the output of two indicators var rsiShort = RSI("SPY", 14); var rsiLong = RSI("SPY", 21); var rsiDivision = rsiShort.Over(rsiLong); // Divide the output of an indicator by a fixed value var rsiAverage = rsiShort.Plus(rsiLong).Over(2);
# Divide the output of two indicators rsi_short = self.RSI("SPY", 14) rsi_long = self.RSI("SPY", 21) rsi_division = rsi_short.Over(rsi_long) # Divide the output of an indicator by a fixed value rsi_half = IndicatorExtensions.Over(rsi_short, 2)
If you pass an indicator to the Over
extension, you can name the composite indicator.
var namedIndicator = rsiShort.Over(rsiLong, "RSI Division");
named_indicator = IndicatorExtensions.Over(rsi_short, rsi_long, "RSI Division")
Weighted Average
The WeightedBy
extension calculates the average .Current.Value
of an indicator over a lookback period, weighted by another indicator over the same lookback period. The value of the calculation is
where $\textbf{x}$ is a vector that contains the historical values of the first indicator, $\textbf{y}$ is a vector that contains the historical values of the second indicator, and $n$ is the lookback period.
var smaShort = SMA("SPY", 14); var smaLong = SMA("SPY", 21); var weightedSMA = smaShort.WeightedBy(smaLong, 3);
sma_short = self.SMA("SPY", 14) sma_long = self.SMA("SPY", 21) weighted_sma = IndicatorExtensions.WeightedBy(sma_short, sma_long, 3)
Custom Chains
The Of
extension feeds an indicator's .Current.Value
into the input of another indicator. The first argument of the IndicatorExtensions.Of
method must be a manual indicator with no automatic updates. If you pass an indicator that has automatic updates as the argument, that first indicator is updated twice. The first update is from the security data and the second update is from the IndicatorExtensions
class.
var rsi = RSI("SPY", 14); var rsiSMA = (new SimpleMovingAverage(10)).Of(rsi); // 10-period SMA of the 14-period RSI
rsi = self.RSI("SPY", 14) rsi_sma = IndicatorExtensions.Of(SimpleMovingAverage(10), rsi) # 10-period SMA of the 14-period RSI
If you pass a manual indicator as the second argument, to update the indicator chain, update the second indicator. If you call the Update
method of the entire indicator chain, it won't update the chain properly.
Simple Moving Average
The SMA
extension calculates the simple moving average of an indicator's .Current.Value
.
var rsi = RSI("SPY", 14); // Create a RSI indicator var rsiSMA = rsi.SMA(3); // Create an indicator to calculate the 3-period SMA of the RSI indicator
rsi = self.RSI("SPY", 14) # Create a RSI indicator rsi_sma = IndicatorExtensions.SMA(rsi, 3) # Create an indicator to calculate the 3-period SMA of the RSI indicator
Exponential Moving Average
The EMA
extension calculates the exponential moving average of an indicator's .Current.Value
.
var rsi = RSI("SPY", 14); // Create a RSI indicator var rsiEMA = _rsi.EMA(3); // Create an indicator to calculate the 3-period EMA of the RSI indicator
rsi = self.RSI("SPY", 14) # Create a RSI indicator rsi_ema = IndicatorExtensions.EMA(rsi, 3) # Create an indicator to calculate the 3-period EMA of the RSI indicator
The EMA
extension can also accept a smoothing parameter that sets the percentage of data from the previous value that's carried into the next value.
var rsiEMA = rsi.EMA(3, 0.1m); // 10% smoothing factor
rsi_ema = IndicatorExtensions.EMA(rsi, 3, 0.1) # 10% smoothing factor
Maximum
The MAX
extension calculates an indicator's maximum .Current.Value
over a lookback window.
var ema = EMA("SPY", 14); // Create an EMA indicator var emaMax = ema.MAX(10); // Create an indicator to calculate the maximum EMA over the last 10 periods
ema = self.EMA("SPY", 14) # Create an EMA indicator ema_max = IndicatorExtensions.MAX(ema, 10) # Create an indicator to calculate the maximum EMA over the last 10 periods
Minimum
The MIN
extension calculates an indicator's minimum .Current.Value
over a lookback window.
var ema = EMA("SPY", 14); // Create an EMA indicator var emaMin = ema.MIN(10); // Create an indicator to calculate the minimum EMA over the last 10 periods
ema = self.EMA("SPY", 14) # Create an EMA indicator ema_min = IndicatorExtensions.MIN(ema, 10) # Create an indicator to calculate the minimum EMA over the last 10 periods