Supported Indicators

Arnaud Legoux Moving Average

Introduction

Smooth and high sensitive moving Average. This moving average reduce lag of the information but still being smooth to reduce noises. Is a weighted moving average, which weights have a Normal shape; the parameters Sigma and Offset affect the kurtosis and skewness of the weights respectively. source

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

Using ALMA Indicator

To create an automatic indicators for ArnaudLegouxMovingAverage, call the ALMA helper method from the QCAlgorithm class. The ALMA method creates a ArnaudLegouxMovingAverage 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 ArnaudLegouxMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ArnaudLegouxMovingAverage _alma;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _alma = ALMA(_symbol, 10, 6, 0.85);
    }

    public override void OnData(Slice data)
    {
        if (_alma.IsReady)
        {
            // The current value of _alma is represented by itself (_alma)
            // or _alma.Current.Value
            Plot("ArnaudLegouxMovingAverage", "alma", _alma);
            
        }
    }
}
class ArnaudLegouxMovingAverageAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.alma = self.ALMA(self.symbol, 10, 6, 0.85)

    def on_data(self, slice: Slice) -> None:
        if self.alma.IsReady:
            # The current value of self.alma is represented by self.alma.Current.Value
            self.plot("ArnaudLegouxMovingAverage", "alma", self.alma.Current.Value)

The following reference table describes the ALMA method:

ALMA()1/1

            ArnaudLegouxMovingAverage QuantConnect.Algorithm.QCAlgorithm.ALMA (
    Symbol                           symbol,
    Int32                            period,
    *Int32                           sigma,
    *Decimal                         offset,
    *Nullable<Resolution>      resolution,
    *Func<IBaseData, Decimal>  selector
   )

Creates a new ArnaudLegouxMovingAverage indicator.

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 ArnaudLegouxMovingAverage 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 with time/number pair or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.

public class ArnaudLegouxMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ArnaudLegouxMovingAverage _alma;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _alma = new ArnaudLegouxMovingAverage(10, 6, 0.85);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _alma.Update(bar.EndTime, bar.Close);
        }
   
        if (_alma.IsReady)
        {
            // The current value of _alma is represented by itself (_alma)
            // or _alma.Current.Value
            Plot("ArnaudLegouxMovingAverage", "alma", _alma);
            
        }
    }
}
class ArnaudLegouxMovingAverageAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.alma = ArnaudLegouxMovingAverage(10, 6, 0.85)

    def on_data(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.alma.Update(bar.EndTime, bar.Close)
        if self.alma.IsReady:
            # The current value of self.alma is represented by self.alma.Current.Value
            self.plot("ArnaudLegouxMovingAverage", "alma", self.alma.Current.Value)

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

public class ArnaudLegouxMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private ArnaudLegouxMovingAverage _alma;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _alma = new ArnaudLegouxMovingAverage(10, 6, 0.85);
        RegisterIndicator(_symbol, _alma, Resolution.Daily);
    }

    public override void OnData(Slice data)
    {
        if (_alma.IsReady)
        {
            // The current value of _alma is represented by itself (_alma)
            // or _alma.Current.Value
            Plot("ArnaudLegouxMovingAverage", "alma", _alma);
            
        }
    }
}
class ArnaudLegouxMovingAverageAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.alma = ArnaudLegouxMovingAverage(10, 6, 0.85)
        self.RegisterIndicator(self.symbol, self.alma, Resolution.Daily)

    def on_data(self, slice: Slice) -> None:
        if self.alma.IsReady:
            # The current value of self.alma is represented by self.alma.Current.Value
            self.plot("ArnaudLegouxMovingAverage", "alma", self.alma.Current.Value)

The following reference table describes the ArnaudLegouxMovingAverage constructor:

ArnaudLegouxMovingAverage()1/4

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

Initializes a new instance of the ArnaudLegouxMovingAverage class.

ArnaudLegouxMovingAverage()2/4

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

Initializes a new instance of the ArnaudLegouxMovingAverage class.

ArnaudLegouxMovingAverage()3/4

            ArnaudLegouxMovingAverage QuantConnect.Indicators.ArnaudLegouxMovingAverage (
    int  period
   )

Initializes a new instance of the ArnaudLegouxMovingAverage class.

ArnaudLegouxMovingAverage()4/4

            ArnaudLegouxMovingAverage QuantConnect.Indicators.ArnaudLegouxMovingAverage (
    int  period
   )

Initializes a new instance of the ArnaudLegouxMovingAverage class.

Visualization

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

ArnaudLegouxMovingAverage line plot.

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