Supported Indicators

Detrended Price Oscillator

Introduction

The Detrended Price Oscillator is an indicator designed to remove trend from price and make it easier to identify cycles. DPO does not extend to the last date because it is based on a displaced moving average. Is estimated as Price {X/2 + 1} periods ago less the X-period simple moving average. E.g.DPO(20) equals price 11 days ago less the 20-day SMA.

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

Using DPO Indicator

To create an automatic indicator for DetrendedPriceOscillator, call the DPOdpo helper method from the QCAlgorithm class. The DPOdpo method creates a DetrendedPriceOscillator 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 DetrendedPriceOscillatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DetrendedPriceOscillator _dpo;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _dpo = DPO(_symbol, 20);
    }

    public override void OnData(Slice data)
    {

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

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

        if self._dpo.is_ready:
            # The current value of self._dpo is represented by self._dpo.current.value
            self.plot("DetrendedPriceOscillator", "dpo", self._dpo.current.value)

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

You can manually create a DetrendedPriceOscillator 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 DetrendedPriceOscillatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DetrendedPriceOscillator _detrendedpriceoscillator;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _detrendedpriceoscillator = new DetrendedPriceOscillator(20);
    }

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

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

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

        if self._detrendedpriceoscillator.is_ready:
            # The current value of self._detrendedpriceoscillator is represented by self._detrendedpriceoscillator.current.value
            self.plot("DetrendedPriceOscillator", "detrendedpriceoscillator", self._detrendedpriceoscillator.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

DetrendedPriceOscillator line plot.

Indicator History

To get the historical data of the DetrendedPriceOscillator 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 DetrendedPriceOscillatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DetrendedPriceOscillator _dpo;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _dpo = DPO(_symbol, 20);

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

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

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