Supported Indicators
Chaikin Money Flow
Introduction
The Chaikin Money Flow Index (CMF) is a volume-weighted average of accumulation and distribution over a specified period. CMF = n-day Sum of [(((C - L) - (H - C)) / (H - L)) x Vol] / n-day Sum of Vol Where: n = number of periods, typically 21 H = high L = low C = close Vol = volume https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/cmf
To view the implementation of this indicator, see the LEAN GitHub repository.
Using CMF Indicator
To create an automatic indicators for ChaikinMoneyFlow
, call the CMF
helper method from the QCAlgorithm
class. The CMF
method creates a ChaikinMoneyFlow
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 Initialize
method.
public class ChaikinMoneyFlowAlgorithm : QCAlgorithm { private Symbol _symbol; private ChaikinMoneyFlow _cmf; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _cmf = CMF(_symbol, 20); } public override void OnData(Slice data) { if (_cmf.IsReady) { // The current value of _cmf is represented by itself (_cmf) // or _cmf.Current.Value Plot("ChaikinMoneyFlow", "cmf", _cmf); } } }
class ChaikinMoneyFlowAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.cmf = self.CMF(self.symbol, 20) def OnData(self, slice: Slice) -> None: if self.cmf.IsReady: # The current value of self.cmf is represented by self.cmf.Current.Value self.Plot("ChaikinMoneyFlow", "cmf", self.cmf.Current.Value)
The following reference table describes the CMF
method:
CMF()1/1
ChaikinMoneyFlow QuantConnect.Algorithm.QCAlgorithm.CMF (Symbol
symbol,Int32
period,*Nullable<Resolution>
resolution,*Func<IBaseData, TradeBar>
selector )
Creates a new ChaikinMoneyFlow 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 ChaikinMoneyFlow
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 Update
method with a TradeBar
. The indicator will only be ready after you prime it with enough data.
public class ChaikinMoneyFlowAlgorithm : QCAlgorithm { private Symbol _symbol; private ChaikinMoneyFlow _cmf; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _cmf = new ChaikinMoneyFlow("SPY", 20); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _cmf.Update(bar); } if (_cmf.IsReady) { // The current value of _cmf is represented by itself (_cmf) // or _cmf.Current.Value Plot("ChaikinMoneyFlow", "cmf", _cmf); } } }
class ChaikinMoneyFlowAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.cmf = ChaikinMoneyFlow("SPY", 20) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.cmf.Update(bar) if self.cmf.IsReady: # The current value of self.cmf is represented by self.cmf.Current.Value self.Plot("ChaikinMoneyFlow", "cmf", self.cmf.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class ChaikinMoneyFlowAlgorithm : QCAlgorithm { private Symbol _symbol; private ChaikinMoneyFlow _cmf; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _cmf = new ChaikinMoneyFlow("SPY", 20); RegisterIndicator(_symbol, _cmf, Resolution.Daily); } public override void OnData(Slice data) { if (_cmf.IsReady) { // The current value of _cmf is represented by itself (_cmf) // or _cmf.Current.Value Plot("ChaikinMoneyFlow", "cmf", _cmf); } } }
class ChaikinMoneyFlowAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.cmf = ChaikinMoneyFlow("SPY", 20) self.RegisterIndicator(self.symbol, self.cmf, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.cmf.IsReady: # The current value of self.cmf is represented by self.cmf.Current.Value self.Plot("ChaikinMoneyFlow", "cmf", self.cmf.Current.Value)
The following reference table describes the ChaikinMoneyFlow
constructor:
ChaikinMoneyFlow()1/1
ChaikinMoneyFlow QuantConnect.Indicators.ChaikinMoneyFlow (string
name,int
period )
Initializes a new instance of the ChaikinMoneyFlow class.
Visualization
The following image shows plot values of selected properties of ChaikinMoneyFlow
using the plotly library.
