Contents

Introduction
Create Manual Indicators
Update Manual Indicators
Create Automatic Indicators
Get Indicator Values
Visualization

Indicator Reference

Variance

Introduction

This indicator computes the n-period population variance.

Create Manual Indicators

You can manually create a Variance 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 Variance constructor.

Variance()1/2

            Variance QuantConnect.Indicators.Variance (
     int  period
   )

Initializes a new instance of the Variance class using the specified period.

Variance()2/2

            Variance QuantConnect.Indicators.Variance (
     string  name,
     int     period
   )

Initializes a new instance of the Variance class using the specified name and period.

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 Variance _var;

// In Initialize()
_var = new Variance(name, period);
_var.Updated += IndicatorUpdateMethod;

RegisterIndicator(symbol, _var, Resolution.Daily);

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

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

# In IndicatorUpdateMethod()
if self.var.IsReady:
    indicator_value = self.var.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 Variance _var;
private Symbol symbol;

// In Initialize()
_var = new Variance(period);
symbol = AddEquity("SPY").Symbol;

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

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

Create Automatic Indicators

The VAR method creates an Variance 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 VAR method:

VAR()1/1

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

Creates a new Variance indicator. This will return the population variance of samples over the specified period.


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 Variance _var;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_var = VAR(symbol, period);

// In OnData()
if (_var.IsReady)
{
    var current = _var.Current.Value;
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.var = self.VAR(symbol, period)

# In OnData()
if self.var.IsReady:
    current = self.var.Current.Value

Visualization

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

private Variance _var;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_var = VAR(symbol, period);

// In OnData()
if (_var.IsReady)
{
    Plot("My Indicators", "variance", _var.Current);
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.var = self.VAR(symbol, period)

# In OnData()
if self.var.IsReady:
    self.Plot("My Indicators", "variance", self.var.Current)

For more information about plotting indicators, see Plotting Indicators.

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