Indicator Reference

Regression Channel

Introduction

The Regression Channel indicator extends the with the inclusion of two (upper and lower) channel lines that are distanced from the linear regression line by a user defined number of standard deviations. Reference: http://www.onlinetradingconcepts.com/TechnicalAnalysis/LinRegChannel.html

Create Manual Indicators

You can manually create a RegressionChannel indicator, so it doesn’t automatically update. Manual indicators let you update their values with any data you choose. The following reference table describes the RegressionChannel constructor.

RegressionChannel()1/2

            RegressionChannel QuantConnect.Indicators.RegressionChannel (
     string   name,
     int      period,
     decimal  k
   )
        

Initializes a new instance of the RegressionChannel class.

RegressionChannel()2/2

            RegressionChannel QuantConnect.Indicators.RegressionChannel (
     int      period,
     decimal  k
   )
        

Initializes a new instance of the LeastSquaresMovingAverage class.

Update Manual Indicators

You can update the indicator automatically or manually.

Automatic Update

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.


private RegressionChannel _rc;

// In Initialize()
_rc = new RegressionChannel(name, period, k);
_rc.Updated += IndicatorUpdateMethod;

RegisterIndicator(symbol, _rc, Resolution.Daily);

// In IndicatorUpdateMethod()
if (_rc.IsReady)
{
    var indicatorValue = _rc.Current.Value;
}
    
# In Initialize()
self.rc = RegressionChannel(name, period, k)
self.rc.Updated += self.IndicatorUpdateMethod

self.RegisterIndicator(symbol, self.rc, Resolution.Daily)

# In IndicatorUpdateMethod()
if self.rc.IsReady:
    indicator_value = self.rc.Current.Value

To customize the data that automatically updates the indicator, see Custom Indicator Periods and Custom Indicator Values.

Manual Update

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 Update method with time/decimal pair. The indicator will only be ready after you prime it with enough data.

    
private RegressionChannel _rc;
private Symbol symbol;

// In Initialize()
_rc = new RegressionChannel(period, k);
symbol = AddEquity("SPY").Symbol;

// In OnData()
if (data.ContainsKey(_symbol))
{
    _rc.Update(data[symbol].EndTime, data[symbol].High);
}
if (_rc.IsReady)
{
    var indicatorValue = _rc.Current.Value;
}
    
# In Initialize()
self.rc = RegressionChannel(period, k)
self.symbol = self.AddEquity("SPY").Symbol

# In OnData()
if data.ContainsKey(self.symbol):
    self.rc.Update(data[self.symbol].EndTime, data[self.symbol].High)
if self.rc.IsReady:
    indicator_value = self.rc.Current.Value

Create Automatic Indicators

The RC method creates an RegressionChannel indicator, sets up a consolidator to update the indicator, and then returns the indicator so you can use it in your algorithm.

The following reference table describes the RC method:

RC()1/1

            RegressionChannel QuantConnect.Algorithm.QCAlgorithm.RC (
    Symbol                           symbol,
    Int32                            period,
    Decimal                          k,
    *Nullable<Resolution>      resolution,
    *Func<IBaseData, Decimal>  selector
   )
        

Creates a new RegressionChannel indicator which will compute the LinearRegression, UpperChannel and LowerChannel lines, the intercept and slope


If you don't provide a resolution, it defauls 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.

Get Indicator Values

To get the value of the indicator, use its Current.Value attribute.

private RegressionChannel _rc;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_rc = RC(symbol, period, k);

// In OnData()
if (_rc.IsReady)
{
    var linearRegression = _rc.LinearRegression.Current.Value;
    var upperChannel = _rc.UpperChannel.Current.Value;
    var lowerChannel = _rc.LowerChannel.Current.Value;
    var intercept = _rc.Intercept.Current.Value;
    var slope = _rc.Slope.Current.Value;
    var current = _rc.Current.Value;
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.rc = self.RC(symbol, period, k)

# In OnData()
if self.rc.IsReady:
    linear_regression = self.rc.LinearRegression.Current.Value
    upper_channel = self.rc.UpperChannel.Current.Value
    lower_channel = self.rc.LowerChannel.Current.Value
    intercept = self.rc.Intercept.Current.Value
    slope = self.rc.Slope.Current.Value
    current = self.rc.Current.Value

Visualization

To plot indicator values, in the OnData event handler, call the Plot method.

private RegressionChannel _rc;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_rc = RC(symbol, period, k);

// In OnData()
if (_rc.IsReady)
{
    Plot("My Indicators", "linearregression", _rc.LinearRegression);
    Plot("My Indicators", "upperchannel", _rc.UpperChannel);
    Plot("My Indicators", "lowerchannel", _rc.LowerChannel);
    Plot("My Indicators", "intercept", _rc.Intercept);
    Plot("My Indicators", "slope", _rc.Slope);
    Plot("My Indicators", "regressionchannel", _rc.Current);
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.rc = self.RC(symbol, period, k)

# In OnData()
if self.rc.IsReady:
    self.Plot("My Indicators", "linearregression", self.rc.LinearRegression)
    self.Plot("My Indicators", "upperchannel", self.rc.UpperChannel)
    self.Plot("My Indicators", "lowerchannel", self.rc.LowerChannel)
    self.Plot("My Indicators", "intercept", self.rc.Intercept)
    self.Plot("My Indicators", "slope", self.rc.Slope)
    self.Plot("My Indicators", "regressionchannel", self.rc.Current)

For more information about plotting indicators, see Plotting Indicators.

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