Supported Indicators

Augen Price Spike

Introduction

The Augen Price Spike indicator is an indicator that measures price changes in terms of standard deviations. In the book, The Volatility Edge in Options Trading, Jeff Augen describes a method for tracking absolute price changes in terms of recent volatility, using the standard deviation. length = x closes = closeArray closes1 = closeArray shifted right by 1 closes2 = closeArray shifted right by 2 closeLog = np.log(np.divide(closes1, closes2)) SDev = np.std(closeLog) m = SDev * closes1[-1] spike = (closes[-1]-closes1[-1])/m return spike Augen Price Spike from TradingView https://www.tradingview.com/script/fC7Pn2X2-Price-Spike-Jeff-Augen/

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

Using APS Indicator

To create an automatic indicator for AugenPriceSpike, call the APSaps helper method from the QCAlgorithm class. The APSaps method creates a AugenPriceSpike 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 AugenPriceSpikeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private AugenPriceSpike _aps;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _aps = APS(_symbol, 3);
    }

    public override void OnData(Slice data)
    {

        if (_aps.IsReady)
        {
            // The current value of _aps is represented by itself (_aps)
            // or _aps.Current.Value
            Plot("AugenPriceSpike", "aps", _aps);
        }
    }
}
class AugenPriceSpikeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._aps = self.aps(self._symbol, 3)

    def on_data(self, slice: Slice) -> None:

        if self._aps.is_ready:
            # The current value of self._aps is represented by self._aps.current.value
            self.plot("AugenPriceSpike", "aps", self._aps.current.value)

For more information about this method, see the QCAlgorithm classQCAlgorithm class.

You can manually create a AugenPriceSpike 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 AugenPriceSpikeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private AugenPriceSpike _augenpricespike;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _augenpricespike = new AugenPriceSpike(3);
    }

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
            _augenpricespike.Update(bar.EndTime, bar.Close);

        if (_augenpricespike.IsReady)
        {
            // The current value of _augenpricespike is represented by itself (_augenpricespike)
            // or _augenpricespike.Current.Value
            Plot("AugenPriceSpike", "augenpricespike", _augenpricespike);
        }
    }
}
class AugenPriceSpikeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._augenpricespike = AugenPriceSpike(3)

    def on_data(self, slice: Slice) -> None:
        bar = slice.bars.get(self._symbol)
        if bar:
            self._augenpricespike.update(bar.end_time, bar.close)

        if self._augenpricespike.is_ready:
            # The current value of self._augenpricespike is represented by self._augenpricespike.current.value
            self.plot("AugenPriceSpike", "augenpricespike", self._augenpricespike.current.value)

For more information about this indicator, see its referencereference.

Visualization

The following plot shows values for some of the AugenPriceSpike indicator properties:

AugenPriceSpike line plot.

Indicator History

To get the historical data of the AugenPriceSpike 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 AugenPriceSpikeAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private AugenPriceSpike _aps;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _aps = APS(_symbol, 3);

        var indicatorHistory = IndicatorHistory(_aps, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_aps, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_aps, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class AugenPriceSpikeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._aps = self.aps(self._symbol, 3)

        indicator_history = self.indicator_history(self._aps, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._aps, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._aps, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

You can also see our Videos. You can also get in touch with us via Discord.

Did you find this page helpful?

Contribute to the documentation: