Supported Indicators

Advance Decline Volume Ratio

Introduction

The Advance Decline Volume Ratio is a Breadth indicator calculated as ratio of summary volume of advancing stocks to summary volume of declining stocks. AD Volume Ratio is used in technical analysis to see where the main trading activity is focused.

To view the implementation of this indicator, see the LEAN GitHub repository.

Using ADVR Indicator

To create an automatic indicators for AdvanceDeclineVolumeRatio, call the ADVR helper method from the QCAlgorithm class. The ADVR method creates a AdvanceDeclineVolumeRatio object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In most cases, you should call the helper method in the Initialize method.

public class AdvanceDeclineVolumeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Symbol _reference;
    private AdvanceDeclineVolumeRatio _advr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _reference = AddEquity("QQQ", Resolution.Daily).Symbol;
        _advr = ADVR([_symbol, reference]);
    }

    public override void OnData(Slice data)
    {
        if (_advr.IsReady)
        {
            // The current value of _advr is represented by itself (_advr)
            // or _advr.Current.Value
            Plot("AdvanceDeclineVolumeRatio", "advr", _advr);
            
        }
    }
}
class AdvanceDeclineVolumeRatioAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.reference = self.AddEquity("QQQ", Resolution.Daily).Symbol
        self.advr = self.ADVR([self.symbol, reference])

    def OnData(self, slice: Slice) -> None:
        if self.advr.IsReady:
            # The current value of self.advr is represented by self.advr.Current.Value
            self.Plot("AdvanceDeclineVolumeRatio", "advr", self.advr.Current.Value)
            

The following reference table describes the ADVR method:

ADVR()1/1

            AdvanceDeclineVolumeRatio QuantConnect.Algorithm.QCAlgorithm.ADVR (
    IEnumerable<Symbol>         symbols,
    *Nullable<Resolution>       resolution,
    *Func<IBaseData, TradeBar>  selector
   )
        

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

For more information about plotting indicators, see Plotting Indicators.

You can manually create a AdvanceDeclineVolumeRatio indicator, so it doesn't automatically update. Manual indicators let you update their values with any data you choose.

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 a TradeBar. The indicator will only be ready after you prime it with enough data.

public class AdvanceDeclineVolumeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Symbol _reference;
    private AdvanceDeclineVolumeRatio _advr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _reference = AddEquity("QQQ", Resolution.Daily).Symbol;
        _advr = new AdvanceDeclineVolumeRatio("");
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _advr.Update(bar);
        }
        if (data.Bars.TryGetValue(_reference, out bar))
        {      
            _advr.Update(bar);
        }
   
        if (_advr.IsReady)
        {
            // The current value of _advr is represented by itself (_advr)
            // or _advr.Current.Value
            Plot("AdvanceDeclineVolumeRatio", "advr", _advr);
            
        }
    }
}
class AdvanceDeclineVolumeRatioAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.reference = self.AddEquity("QQQ", Resolution.Daily).Symbol
        self.advr = AdvanceDeclineVolumeRatio("")

    def OnData(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.advr.Update(bar)
        bar = slice.Bars.get(self.referece)
        if bar:
            self.advr.Update(bar)
        if self.advr.IsReady:
            # The current value of self.advr is represented by self.advr.Current.Value
            self.Plot("AdvanceDeclineVolumeRatio", "advr", self.advr.Current.Value)
            

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

public class AdvanceDeclineVolumeRatioAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Symbol _reference;
    private AdvanceDeclineVolumeRatio _advr;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _reference = AddEquity("QQQ", Resolution.Daily).Symbol;
        _advr = new AdvanceDeclineVolumeRatio("");
        RegisterIndicator(_symbol, _advr, Resolution.Daily);
        RegisterIndicator(reference, _advr, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_advr.IsReady)
        {
            // The current value of _advr is represented by itself (_advr)
            // or _advr.Current.Value
            Plot("AdvanceDeclineVolumeRatio", "advr", _advr);
            
        }
    }
}
class AdvanceDeclineVolumeRatioAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.reference = self.AddEquity("QQQ", Resolution.Daily).Symbol
        self.advr = AdvanceDeclineVolumeRatio("")
        self.RegisterIndicator(self.symbol, self.advr, Resolution.Daily)
        self.RegisterIndicator(reference, self.advr, Resolution.Daily)

    def OnData(self, slice: Slice) -> None:
        if self.advr.IsReady:
            # The current value of self.advr is represented by self.advr.Current.Value
            self.Plot("AdvanceDeclineVolumeRatio", "advr", self.advr.Current.Value)
            

The following reference table describes the AdvanceDeclineVolumeRatio constructor:

AdvanceDeclineVolumeRatio()1/1

            AdvanceDeclineVolumeRatio QuantConnect.Indicators.AdvanceDeclineVolumeRatio (
    
   )
        

Initializes a new instance of the AdvanceDeclineVolumeRatio class.

Visualization

The following image shows plot values of selected properties of AdvanceDeclineVolumeRatio using the plotly library.

AdvanceDeclineVolumeRatio line plot.

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