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 indicator for AdvanceDeclineVolumeRatio, call the ADVRadvr helper method from the QCAlgorithm class. The ADVRadvr 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 Initializeinitialize method.
public class AdvanceDeclineVolumeRatioAlgorithm : QCAlgorithm
{
private Symbol _symbol,_reference;
private AdvanceDeclineVolumeRatio _advr;
public override void Initialize()
{
_symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
_reference = AddEquity("SPY", 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.add_equity("QQQ", Resolution.DAILY).symbol
self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
self._advr = self.advr([self._symbol, self._reference])
def on_data(self, slice: Slice) -> None:
if self._advr.is_ready:
# The current value of self._advr is represented by self._advr.current.value
self.plot("AdvanceDeclineVolumeRatio", "advr", self._advr.current.value)To create an automatic indicator for AdvanceDeclineVolumeRatio using universe constituents, call the ADVRadvr helper method from the QCAlgorithm class. The ADVRadvr method creates a AdvanceDeclineVolumeRatio object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In this case, you should call the helper method in the OnSecuritiesChangedon_securities_changed method.
public class AdvanceDeclineVolumeRatioAlgorithm : QCAlgorithm
{
private Universe _universe;
private AdvanceDeclineVolumeRatio _advr;
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Daily;
UniverseSettings.Schedule.On(DateRules.MonthStart());
_universe = AddUniverse(Universe.ETF("SPY"));
}
public override void OnSecuritiesChanged(SecurityChanges changes)
{
_advr = ADVR(_universe.Selected);
}
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.universe_settings.resolution = Resolution.DAILY
self.universe_settings.schedule.on(self.date_rules.month_start())
self._universe = self.add_universe(self.universe.etf('SPY'))
def on_securities_changed(self, changes: SecurityChanges) -> None:
self._advr = self.advr(list(self._universe.selected))
def on_data(self, slice: Slice) -> None:
if self._advr.is_ready:
# The current value of self._advr is represented by self._advr.current.value
self.plot("AdvanceDeclineVolumeRatio", "advr", self._advr.current.value)For more information about this method, see the QCAlgorithm classQCAlgorithm class.
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 Updateupdate method. The indicator will only be ready after you prime it with enough data.
public class AdvanceDeclineVolumeRatioAlgorithm : QCAlgorithm
{
private Symbol _symbol,_reference;
private AdvanceDeclineVolumeRatio _advancedeclinevolumeratio;
public override void Initialize()
{
_symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
_reference = AddEquity("SPY", Resolution.Daily).Symbol;
_advancedeclinevolumeratio = new AdvanceDeclineVolumeRatio();
_advancedeclinevolumeratio.Add(_symbol);
_advancedeclinevolumeratio.Add(_reference);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
_advancedeclinevolumeratio.Update(bar);
if (data.Bars.TryGetValue(_reference, out bar))
_advancedeclinevolumeratio.Update(bar);
if (_advancedeclinevolumeratio.IsReady)
{
// The current value of _advancedeclinevolumeratio is represented by itself (_advancedeclinevolumeratio)
// or _advancedeclinevolumeratio.Current.Value
Plot("AdvanceDeclineVolumeRatio", "advancedeclinevolumeratio", _advancedeclinevolumeratio);
}
}
} class AdvanceDeclineVolumeRatioAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
self._advancedeclinevolumeratio = AdvanceDeclineVolumeRatio()
self._advancedeclinevolumeratio.add(self._symbol);
self._advancedeclinevolumeratio.add(self._reference);
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._advancedeclinevolumeratio.update(bar)
bar = slice.bars.get(self._reference)
if bar:
self._advancedeclinevolumeratio.update(bar)
if self._advancedeclinevolumeratio.is_ready:
# The current value of self._advancedeclinevolumeratio is represented by self._advancedeclinevolumeratio.current.value
self.plot("AdvanceDeclineVolumeRatio", "advancedeclinevolumeratio", self._advancedeclinevolumeratio.current.value)For more information about this indicator, see its referencereference.
Indicator History
To get the historical data of the AdvanceDeclineVolumeRatio indicator, call the IndicatorHistoryself.indicator_history method. This method resets your indicator, makes a history request, and updates the indicator with the historical data. Just like with regular history requests, the IndicatorHistoryindicator_history method supports time periods based on a trailing number of bars, a trailing period of time, or a defined period of time. If you don't provide a resolution argument, it defaults to match the resolution of the security subscription.
public class AdvanceDeclineVolumeRatioAlgorithm : QCAlgorithm
{
private Symbol _symbol,_reference;
private AdvanceDeclineVolumeRatio _advr;
public override void Initialize()
{
_symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
_reference = AddEquity("SPY", Resolution.Daily).Symbol;
_advr = ADVR([_symbol, _reference]);
var indicatorHistory = IndicatorHistory(_advr, new[] { _symbol, _reference }, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(_advr, new[] { _symbol, _reference }, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(_advr, new[] { _symbol, _reference }, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class AdvanceDeclineVolumeRatioAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
self._advr = self.advr([self._symbol, self._reference])
indicator_history = self.indicator_history(self._advr, [ self._symbol, self._reference ], 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(self._advr, [ self._symbol, self._reference ], timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(self._advr, [ self._symbol, self._reference ], datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
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