Contents
Indicator Reference
Regression Channel
Introduction
The Regression Channel indicator extends the
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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