Supported Indicators

DeMarker Indicator

Introduction

In the DeMarker strategy, for some period of size N, set: DeMax = High - Previous High, and DeMin = Previous Low - Low where, in the prior, if either term is less than zero (DeMax or DeMin), set it to zero. We can now define the indicator itself, DEM, as: DEM = MA(DeMax)/(MA(DeMax)+MA(DeMin)) where MA denotes a Moving Average of period N. https://www.investopedia.com/terms/d/demarkerindicator.asp

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

Using DEM Indicator

To create an automatic indicator for DeMarkerIndicator, call the DEMdem helper method from the QCAlgorithm class. The DEMdem method creates a DeMarkerIndicator 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 DeMarkerIndicatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DeMarkerIndicator _dem;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _dem = DEM(_symbol, 20, MovingAverageType.Simple);
    }

    public override void OnData(Slice data)
    {

        if (_dem.IsReady)
        {
            // The current value of _dem is represented by itself (_dem)
            // or _dem.Current.Value
            Plot("DeMarkerIndicator", "dem", _dem);
        }
    }
}
class DeMarkerIndicatorAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._dem = self.dem(self._symbol, 20, MovingAverageType.SIMPLE)

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

        if self._dem.is_ready:
            # The current value of self._dem is represented by self._dem.current.value
            self.plot("DeMarkerIndicator", "dem", self._dem.current.value)

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

You can manually create a DeMarkerIndicator 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 DeMarkerIndicatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DeMarkerIndicator _demarkerindicator;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _demarkerindicator = new DeMarkerIndicator(20, MovingAverageType.Simple);
    }

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

        if (_demarkerindicator.IsReady)
        {
            // The current value of _demarkerindicator is represented by itself (_demarkerindicator)
            // or _demarkerindicator.Current.Value
            Plot("DeMarkerIndicator", "demarkerindicator", _demarkerindicator);
        }
    }
}
class DeMarkerIndicatorAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._demarkerindicator = DeMarkerIndicator(20, MovingAverageType.SIMPLE)

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

        if self._demarkerindicator.is_ready:
            # The current value of self._demarkerindicator is represented by self._demarkerindicator.current.value
            self.plot("DeMarkerIndicator", "demarkerindicator", self._demarkerindicator.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

DeMarkerIndicator line plot.

Indicator History

To get the historical data of the DeMarkerIndicator 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 DeMarkerIndicatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DeMarkerIndicator _dem;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _dem = DEM(_symbol, 20, MovingAverageType.Simple);

        var indicatorHistory = IndicatorHistory(_dem, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_dem, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_dem, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class DeMarkerIndicatorAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._dem = self.dem(self._symbol, 20, MovingAverageType.SIMPLE)

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

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