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 indicators for DetrendedPriceOscillator, call the DPO helper method from the QCAlgorithm class. The DPO 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 Initialize 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.AddEquity("SPY", Resolution.Daily).Symbol
        self.dpo = self.DPO(self.symbol, 20)

    def OnData(self, slice: Slice) -> None:
        if self.dpo.IsReady:
            # The current value of self.dpo is represented by self.dpo.Current.Value
            self.Plot("DetrendedPriceOscillator", "dpo", self.dpo.Current.Value)
            

The following reference table describes the DPO method:

DPO()1/1

            DetrendedPriceOscillator QuantConnect.Algorithm.QCAlgorithm.DPO (
    Symbol                           symbol,
    Int32                            period,
    *Nullable<Resolution>      resolution,
    *Func<IBaseData, Decimal>  selector
   )
        

Creates a new DetrendedPriceOscillator" 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 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 Update method with time/number pair or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.

public class DetrendedPriceOscillatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DetrendedPriceOscillator _dpo;

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

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _dpo.Update(bar.EndTime, bar.Close);
        }
    
        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.AddEquity("SPY", Resolution.Daily).Symbol
        self.dpo = DetrendedPriceOscillator(20)

    def OnData(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.dpo.Update(bar.EndTime, bar.Close)
                
        if self.dpo.IsReady:
            # The current value of self.dpo is represented by self.dpo.Current.Value
            self.Plot("DetrendedPriceOscillator", "dpo", self.dpo.Current.Value)
            

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.

public class DetrendedPriceOscillatorAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DetrendedPriceOscillator _dpo;

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

    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.AddEquity("SPY", Resolution.Daily).Symbol
        self.dpo = DetrendedPriceOscillator(20)
        self.RegisterIndicator(self.symbol, self.dpo, Resolution.Daily)

    def OnData(self, slice: Slice) -> None:
        if self.dpo.IsReady:
            # The current value of self.dpo is represented by self.dpo.Current.Value
            self.Plot("DetrendedPriceOscillator", "dpo", self.dpo.Current.Value)
            

The following reference table describes the DetrendedPriceOscillator constructor:

DetrendedPriceOscillator()1/2

            DetrendedPriceOscillator QuantConnect.Indicators.DetrendedPriceOscillator (
    string  name,
    int     period
   )
        

Initializes a new instance of the DetrendedPriceOscillator class.

DetrendedPriceOscillator()2/2

            DetrendedPriceOscillator QuantConnect.Indicators.DetrendedPriceOscillator (
    int  period
   )
        

Initializes a new instance of the DetrendedPriceOscillator class.

Visualization

The following image shows plot values of selected properties of DetrendedPriceOscillator using the plotly library.

DetrendedPriceOscillator line plot.

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