Supported Indicators
Average True Range
Introduction
The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then smoothes the TrueRange over a given period. TrueRange is defined as the maximum of the following: High - Low ABS(High - PreviousClose) ABS(Low - PreviousClose)
To view the implementation of this indicator, see the LEAN GitHub repository.
Using ATR Indicator
To create an automatic indicators for AverageTrueRange, call the ATR helper method from the QCAlgorithm class. The ATR method creates a AverageTrueRange 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 AverageTrueRangeAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private AverageTrueRange _atr;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_atr = ATR(_symbol, 20, MovingAverageType.Simple);
}
public override void OnData(Slice data)
{
if (_atr.IsReady)
{
// The current value of _atr is represented by itself (_atr)
// or _atr.Current.Value
Plot("AverageTrueRange", "atr", _atr);
// Plot all properties of atr
Plot("AverageTrueRange", "truerange", _atr.TrueRange);
}
}
} class AverageTrueRangeAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._atr = self.atr(self._symbol, 20, MovingAverageType.Simple)
def on_data(self, slice: Slice) -> None:
if self._atr.is_ready:
# The current value of self._atr is represented by self._atr.current.value
self.plot("AverageTrueRange", "atr", self._atr.current.value)
# Plot all attributes of self._atr
self.plot("AverageTrueRange", "true_range", self._atr.True_range.current.value)
The following reference table describes the ATR method:
atr(symbol, period, type=0, resolution=None, selector=None)[source]Creates a new AverageTrueRange indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose ATR we want
- period (int) — The smoothing period used to smooth the computed TrueRange values
- type (MovingAverageType, optional) — The type of smoothing to use
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
A new AverageTrueRange indicator with the specified smoothing type and period
ATR(symbol, period, type=0, resolution=None, selector=None)[source]Creates a new AverageTrueRange indicator for the symbol. The indicator will be automatically updated on the given resolution.
- symbol (Symbol) — The symbol whose ATR we want
- period (Int32) — The smoothing period used to smooth the computed TrueRange values
- type (MovingAverageType, optional) — The type of smoothing to use
- resolution (Resolution, optional) — The resolution
- selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
A new AverageTrueRange indicator with the specified smoothing type and period
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 AverageTrueRange 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 a TradeBar or QuoteBar. The indicator will only be ready after you prime it with enough data.
public class AverageTrueRangeAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private AverageTrueRange _atr;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_atr = new AverageTrueRange(20, MovingAverageType.Simple);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_atr.Update(bar);
}
if (_atr.IsReady)
{
// The current value of _atr is represented by itself (_atr)
// or _atr.Current.Value
Plot("AverageTrueRange", "atr", _atr);
// Plot all properties of atr
Plot("AverageTrueRange", "truerange", _atr.TrueRange);
}
}
} class AverageTrueRangeAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._atr = AverageTrueRange(20, MovingAverageType.Simple)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._atr.update(bar)
if self._atr.is_ready:
# The current value of self._atr is represented by self._atr.current.value
self.plot("AverageTrueRange", "atr", self._atr.current.value)
# Plot all attributes of self._atr
self.plot("AverageTrueRange", "true_range", self._atr.True_range.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class AverageTrueRangeAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private AverageTrueRange _atr;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_atr = new AverageTrueRange(20, MovingAverageType.Simple);
RegisterIndicator(_symbol, _atr, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_atr.IsReady)
{
// The current value of _atr is represented by itself (_atr)
// or _atr.Current.Value
Plot("AverageTrueRange", "atr", _atr);
// Plot all properties of atr
Plot("AverageTrueRange", "truerange", _atr.TrueRange);
}
}
} class AverageTrueRangeAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._atr = AverageTrueRange(20, MovingAverageType.Simple)
self.register_indicator(self._symbol, self._atr, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._atr.is_ready:
# The current value of self._atr is represented by self._atr.current.value
self.plot("AverageTrueRange", "atr", self._atr.current.value)
# Plot all attributes of self._atr
self.plot("AverageTrueRange", "true_range", self._atr.True_range.current.value)
The following reference table describes the AverageTrueRange constructor:
AverageTrueRange
The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then smoothes the TrueRange over a given period. TrueRange is defined as the maximum of the following: High - Low ABS(High - PreviousClose) ABS(Low - PreviousClose)
get_enumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
reset()Resets this indicator to its initial state
to_detailed_string()Provides a more detailed string of this indicator in the form of {Name} - {Value}
str
update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (datetime)
- value (float)
bool
update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
bool
consolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet[IDataConsolidator]
currentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
is_readyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
itemIndexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
nameGets a name for this indicator
Gets a name for this indicator
str
previousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
samplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
true_rangeGets the true range which is the more volatile calculation to be smoothed by this indicator
Gets the true range which is the more volatile calculation to be smoothed by this indicator
IndicatorBase[IBaseDataBar]
warm_up_periodRequired period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
int
windowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow[IndicatorDataPoint]
AverageTrueRange
The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then smoothes the TrueRange over a given period. TrueRange is defined as the maximum of the following: High - Low ABS(High - PreviousClose) ABS(Low - PreviousClose)
GetEnumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
Reset()Resets this indicator to its initial state
ToDetailedString()Provides a more detailed string of this indicator in the form of {Name} - {Value}
String
Update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (DateTime)
- value (decimal)
Boolean
Update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
Boolean
ConsolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet<IDataConsolidator>
CurrentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
IsReadyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
NameGets a name for this indicator
Gets a name for this indicator
string
PreviousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
SamplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
TrueRangeGets the true range which is the more volatile calculation to be smoothed by this indicator
Gets the true range which is the more volatile calculation to be smoothed by this indicator
IndicatorBase<IBaseDataBar>
WarmUpPeriodRequired period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
Int32
WindowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow<IndicatorDataPoint>
[System.Int32]Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
Visualization
The following image shows plot values of selected properties of AverageTrueRange using the plotly library.
Indicator History
To get the historical data of the AverageTrueRange 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 AverageTrueRangeAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var atr = ATR(_symbol, 20, MovingAverageType.Simple);
var countIndicatorHistory = IndicatorHistory(atr, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(atr, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(atr, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class AverageTrueRangeAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
atr = self.atr(self._symbol, 20, MovingAverageType.Simple)
count_indicator_history = self.indicator_history(atr, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(atr, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(atr, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
To make the IndicatorHistoryindicator_history method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector argument.
var indicatorHistory = IndicatorHistory(atr, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(atr, 100, Resolution.MINUTE, lambda bar: bar.high) indicator_history_df = indicator_history.data_frame
If you already have a list of Slice objects, you can pass them to the IndicatorHistoryindicator_history method to avoid the internal history request.
var history = History(_symbol, 100, Resolution.Minute); var historyIndicatorHistory = IndicatorHistory(atr, history);
To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.
var truerange = indicatorHistory.Select(x => ((dynamic)x).TrueRange).ToList(); // Alternative way // var truerange = indicatorHistory.Select(x => x["truerange"]).ToList();
true_range = indicator_history_df["True_range"] # Alternative way # true_range = indicator_history_df.True_range
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