Supported Indicators
Bollinger Bands
Introduction
This indicator creates a moving average (middle band) with an upper band and lower band fixed at k standard deviations above and below the moving average.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using BB Indicator
To create an automatic indicators for BollingerBands, call the BB helper method from the QCAlgorithm class. The BB method creates a BollingerBands 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 BollingerBandsAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private BollingerBands _bb;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_bb = BB(_symbol, 30, 2);
}
public override void OnData(Slice data)
{
if (_bb.IsReady)
{
// The current value of _bb is represented by itself (_bb)
// or _bb.Current.Value
Plot("BollingerBands", "bb", _bb);
// Plot all properties of bb
Plot("BollingerBands", "standarddeviation", _bb.StandardDeviation);
Plot("BollingerBands", "middleband", _bb.MiddleBand);
Plot("BollingerBands", "upperband", _bb.UpperBand);
Plot("BollingerBands", "lowerband", _bb.LowerBand);
Plot("BollingerBands", "bandwidth", _bb.BandWidth);
Plot("BollingerBands", "percentb", _bb.PercentB);
Plot("BollingerBands", "price", _bb.Price);
}
}
} class BollingerBandsAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._bb = self.bb(self._symbol, 30, 2)
def on_data(self, slice: Slice) -> None:
if self._bb.is_ready:
# The current value of self._bb is represented by self._bb.current.value
self.plot("BollingerBands", "bb", self._bb.current.value)
# Plot all attributes of self._bb
self.plot("BollingerBands", "standard_deviation", self._bb.standard_deviation.current.value)
self.plot("BollingerBands", "middle_band", self._bb.middle_band.current.value)
self.plot("BollingerBands", "upper_band", self._bb.upper_band.current.value)
self.plot("BollingerBands", "lower_band", self._bb.lower_band.current.value)
self.plot("BollingerBands", "band_width", self._bb.band_width.current.value)
self.plot("BollingerBands", "percent_b", self._bb.percent_b.current.value)
self.plot("BollingerBands", "price", self._bb.price.current.value)
The following reference table describes the BB method:
bb(symbol, period, k, moving_average_type=0, resolution=None, selector=None)[source]Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation
- symbol (Symbol) — The symbol whose BollingerBands we seek
- period (int) — The period of the standard deviation and moving average (middle band)
- k (float) — The number of standard deviations specifying the distance between the middle band and upper or lower bands
- moving_average_type (MovingAverageType, optional) — The type of moving average to be used
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
A BollingerBands configured with the specified period
BB(symbol, period, k, movingAverageType=0, resolution=None, selector=None)[source]Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation
- symbol (Symbol) — The symbol whose BollingerBands we seek
- period (Int32) — The period of the standard deviation and moving average (middle band)
- k (decimal) — The number of standard deviations specifying the distance between the middle band and upper or lower bands
- movingAverageType (MovingAverageType, optional) — The type of moving average to be used
- resolution (Resolution, optional) — The resolution
- selector (Func<IBaseData, Decimal>, optional) — x.Value)
A BollingerBands configured with the specified 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.
The following table describes the MovingAverageType enumeration members:
To avoid parameter ambiguity, use the resolution argument to set the Resolution.
public class BollingerBandsAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private BollingerBands _bb;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Hour).Symbol;
_bb = BB(_symbol, 30, 2, resolution: Resolution.Daily);
}
} class BollingerBandsAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.HOUR).Symbol
self._bb = self.bb(self._symbol, 30, 2, resolution=Resolution.DAILY)
You can manually create a BollingerBands 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 BollingerBandsAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private BollingerBands _bb;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_bb = new BollingerBands(30, 2);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_bb.Update(bar.EndTime, bar.Close);
}
if (_bb.IsReady)
{
// The current value of _bb is represented by itself (_bb)
// or _bb.Current.Value
Plot("BollingerBands", "bb", _bb);
// Plot all properties of bb
Plot("BollingerBands", "standarddeviation", _bb.StandardDeviation);
Plot("BollingerBands", "middleband", _bb.MiddleBand);
Plot("BollingerBands", "upperband", _bb.UpperBand);
Plot("BollingerBands", "lowerband", _bb.LowerBand);
Plot("BollingerBands", "bandwidth", _bb.BandWidth);
Plot("BollingerBands", "percentb", _bb.PercentB);
Plot("BollingerBands", "price", _bb.Price);
}
}
} class BollingerBandsAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._bb = BollingerBands(30, 2)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._bb.update(bar.EndTime, bar.Close)
if self._bb.is_ready:
# The current value of self._bb is represented by self._bb.current.value
self.plot("BollingerBands", "bb", self._bb.current.value)
# Plot all attributes of self._bb
self.plot("BollingerBands", "standard_deviation", self._bb.standard_deviation.current.value)
self.plot("BollingerBands", "middle_band", self._bb.middle_band.current.value)
self.plot("BollingerBands", "upper_band", self._bb.upper_band.current.value)
self.plot("BollingerBands", "lower_band", self._bb.lower_band.current.value)
self.plot("BollingerBands", "band_width", self._bb.band_width.current.value)
self.plot("BollingerBands", "percent_b", self._bb.percent_b.current.value)
self.plot("BollingerBands", "price", self._bb.price.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class BollingerBandsAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private BollingerBands _bb;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_bb = new BollingerBands(30, 2);
RegisterIndicator(_symbol, _bb, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_bb.IsReady)
{
// The current value of _bb is represented by itself (_bb)
// or _bb.Current.Value
Plot("BollingerBands", "bb", _bb);
// Plot all properties of bb
Plot("BollingerBands", "standarddeviation", _bb.StandardDeviation);
Plot("BollingerBands", "middleband", _bb.MiddleBand);
Plot("BollingerBands", "upperband", _bb.UpperBand);
Plot("BollingerBands", "lowerband", _bb.LowerBand);
Plot("BollingerBands", "bandwidth", _bb.BandWidth);
Plot("BollingerBands", "percentb", _bb.PercentB);
Plot("BollingerBands", "price", _bb.Price);
}
}
} class BollingerBandsAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._bb = BollingerBands(30, 2)
self.register_indicator(self._symbol, self._bb, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._bb.is_ready:
# The current value of self._bb is represented by self._bb.current.value
self.plot("BollingerBands", "bb", self._bb.current.value)
# Plot all attributes of self._bb
self.plot("BollingerBands", "standard_deviation", self._bb.standard_deviation.current.value)
self.plot("BollingerBands", "middle_band", self._bb.middle_band.current.value)
self.plot("BollingerBands", "upper_band", self._bb.upper_band.current.value)
self.plot("BollingerBands", "lower_band", self._bb.lower_band.current.value)
self.plot("BollingerBands", "band_width", self._bb.band_width.current.value)
self.plot("BollingerBands", "percent_b", self._bb.percent_b.current.value)
self.plot("BollingerBands", "price", self._bb.price.current.value)
The following reference table describes the BollingerBands constructor:
BollingerBands
This indicator creates a moving average (middle band) with an upper band and lower band fixed at k standard deviations above and below the moving average.
get_enumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
reset()Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand, BandWidth, %B)
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
band_widthGets the Bollinger BandWidth indicator BandWidth = ((Upper Band - Lower Band) / Middle Band) * 100
Gets the Bollinger BandWidth indicator BandWidth = ((Upper Band - Lower Band) / Middle Band) * 100
IndicatorBase[IndicatorDataPoint]
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
lower_bandGets the lower Bollinger band (middleBand - k * stdDev)
Gets the lower Bollinger band (middleBand - k * stdDev)
IndicatorBase[IndicatorDataPoint]
middle_bandGets the middle Bollinger band (moving average)
Gets the middle Bollinger band (moving average)
IndicatorBase[IndicatorDataPoint]
moving_average_typeGets the type of moving average
Gets the type of moving average
MovingAverageType
nameGets a name for this indicator
Gets a name for this indicator
str
percent_bGets the Bollinger %B %B = (Price - Lower Band)/(Upper Band - Lower Band)
Gets the Bollinger %B %B = (Price - Lower Band)/(Upper Band - Lower Band)
IndicatorBase[IndicatorDataPoint]
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
priceGets the Price level
Gets the Price level
IndicatorBase[IndicatorDataPoint]
samplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
standard_deviationGets the standard deviation
Gets the standard deviation
IndicatorBase[IndicatorDataPoint]
upper_bandGets the upper Bollinger band (middleBand + k * stdDev)
Gets the upper Bollinger band (middleBand + k * stdDev)
IndicatorBase[IndicatorDataPoint]
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]
BollingerBands
This indicator creates a moving average (middle band) with an upper band and lower band fixed at k standard deviations above and below the moving average.
GetEnumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
Reset()Resets this indicator and all sub-indicators (StandardDeviation, LowerBand, MiddleBand, UpperBand, BandWidth, %B)
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
BandWidthGets the Bollinger BandWidth indicator BandWidth = ((Upper Band - Lower Band) / Middle Band) * 100
Gets the Bollinger BandWidth indicator BandWidth = ((Upper Band - Lower Band) / Middle Band) * 100
IndicatorBase<IndicatorDataPoint>
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
LowerBandGets the lower Bollinger band (middleBand - k * stdDev)
Gets the lower Bollinger band (middleBand - k * stdDev)
IndicatorBase<IndicatorDataPoint>
MiddleBandGets the middle Bollinger band (moving average)
Gets the middle Bollinger band (moving average)
IndicatorBase<IndicatorDataPoint>
MovingAverageTypeGets the type of moving average
Gets the type of moving average
MovingAverageType
NameGets a name for this indicator
Gets a name for this indicator
string
PercentBGets the Bollinger %B %B = (Price - Lower Band)/(Upper Band - Lower Band)
Gets the Bollinger %B %B = (Price - Lower Band)/(Upper Band - Lower Band)
IndicatorBase<IndicatorDataPoint>
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
PriceGets the Price level
Gets the Price level
IndicatorBase<IndicatorDataPoint>
SamplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
StandardDeviationGets the standard deviation
Gets the standard deviation
IndicatorBase<IndicatorDataPoint>
UpperBandGets the upper Bollinger band (middleBand + k * stdDev)
Gets the upper Bollinger band (middleBand + k * stdDev)
IndicatorBase<IndicatorDataPoint>
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 BollingerBands using the plotly library.
Indicator History
To get the historical data of the BollingerBands 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 BollingerBandsAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var bb = BB(_symbol, 30, 2);
var countIndicatorHistory = IndicatorHistory(bb, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(bb, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(bb, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class BollingerBandsAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
bb = self.bb(self._symbol, 30, 2)
count_indicator_history = self.indicator_history(bb, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(bb, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(bb, 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(bb, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(bb, 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(bb, history);
To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.
var standarddeviation = indicatorHistory.Select(x => ((dynamic)x).StandardDeviation).ToList(); var middleband = indicatorHistory.Select(x => ((dynamic)x).MiddleBand).ToList(); var upperband = indicatorHistory.Select(x => ((dynamic)x).UpperBand).ToList(); var lowerband = indicatorHistory.Select(x => ((dynamic)x).LowerBand).ToList(); var bandwidth = indicatorHistory.Select(x => ((dynamic)x).BandWidth).ToList(); var percentb = indicatorHistory.Select(x => ((dynamic)x).PercentB).ToList(); var price = indicatorHistory.Select(x => ((dynamic)x).Price).ToList(); // Alternative way // var standarddeviation = indicatorHistory.Select(x => x["standarddeviation"]).ToList(); // var middleband = indicatorHistory.Select(x => x["middleband"]).ToList(); // var upperband = indicatorHistory.Select(x => x["upperband"]).ToList(); // var lowerband = indicatorHistory.Select(x => x["lowerband"]).ToList(); // var bandwidth = indicatorHistory.Select(x => x["bandwidth"]).ToList(); // var percentb = indicatorHistory.Select(x => x["percentb"]).ToList(); // var price = indicatorHistory.Select(x => x["price"]).ToList();
standard_deviation = indicator_history_df["standard_deviation"] middle_band = indicator_history_df["middle_band"] upper_band = indicator_history_df["upper_band"] lower_band = indicator_history_df["lower_band"] band_width = indicator_history_df["band_width"] percent_b = indicator_history_df["percent_b"] price = indicator_history_df["price"] # Alternative way # standard_deviation = indicator_history_df.standard_deviation # middle_band = indicator_history_df.middle_band # upper_band = indicator_history_df.upper_band # lower_band = indicator_history_df.lower_band # band_width = indicator_history_df.band_width # percent_b = indicator_history_df.percent_b # price = indicator_history_df.price
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