Supported Indicators
Alpha
Introduction
In financial analysis, the Alpha indicator is used to measure the performance of an investment (such as a stock or ETF) relative to a benchmark index, often representing the broader market. Alpha indicates the excess return of the investment compared to the return of the benchmark index. The S P 500 index is frequently used as a benchmark in Alpha calculations to represent the overall market performance. Alpha is an essential tool for investors to understand the idiosyncratic returns of their investment that aren't caused by movement in the underlying benchmark.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using A Indicator
To create an automatic indicator for Alpha, call the Aa helper method from the QCAlgorithm class. The Aa method creates a Alpha 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 AlphaAlgorithm : QCAlgorithm
{
private Symbol _symbol,_reference;
private Alpha _a;
public override void Initialize()
{
_symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
_reference = AddEquity("SPY", Resolution.Daily).Symbol;
_a = A(_symbol, _reference, 20);
}
public override void OnData(Slice data)
{
if (_a.IsReady)
{
// The current value of _a is represented by itself (_a)
// or _a.Current.Value
Plot("Alpha", "a", _a);
}
}
} class AlphaAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
self._a = self.a(self._symbol, self._reference, 20)
def on_data(self, slice: Slice) -> None:
if self._a.is_ready:
# The current value of self._a is represented by self._a.current.value
self.plot("Alpha", "a", self._a.current.value)For more information about this method, see the QCAlgorithm classQCAlgorithm class.
You can manually create a Alpha 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 AlphaAlgorithm : QCAlgorithm
{
private Symbol _symbol,_reference;
private Alpha _alpha;
public override void Initialize()
{
_symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
_reference = AddEquity("SPY", Resolution.Daily).Symbol;
_alpha = new Alpha(_symbol, _reference, 20);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
_alpha.Update(bar);
if (data.Bars.TryGetValue(_reference, out bar))
_alpha.Update(bar);
if (_alpha.IsReady)
{
// The current value of _alpha is represented by itself (_alpha)
// or _alpha.Current.Value
Plot("Alpha", "alpha", _alpha);
}
}
} class AlphaAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
self._alpha = Alpha(self._symbol, self._reference, 20)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._alpha.update(bar)
bar = slice.bars.get(self._reference)
if bar:
self._alpha.update(bar)
if self._alpha.is_ready:
# The current value of self._alpha is represented by self._alpha.current.value
self.plot("Alpha", "alpha", self._alpha.current.value)For more information about this indicator, see its referencereference.
Indicator History
To get the historical data of the Alpha 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 AlphaAlgorithm : QCAlgorithm
{
private Symbol _symbol,_reference;
private Alpha _a;
public override void Initialize()
{
_symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
_reference = AddEquity("SPY", Resolution.Daily).Symbol;
_a = A(_symbol, _reference, 20);
var indicatorHistory = IndicatorHistory(_a, new[] { _symbol, _reference }, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(_a, new[] { _symbol, _reference }, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(_a, new[] { _symbol, _reference }, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class AlphaAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
self._a = self.a(self._symbol, self._reference, 20)
indicator_history = self.indicator_history(self._a, [ self._symbol, self._reference ], 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(self._a, [ self._symbol, self._reference ], timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(self._a, [ self._symbol, self._reference ], datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
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