Supported Indicators
Donchian Channel
Introduction
This indicator computes the upper and lower band of the Donchian Channel. The upper band is computed by finding the highest high over the given period. The lower band is computed by finding the lowest low over the given period. The primary output value of the indicator is the mean of the upper and lower band for the given timeframe.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using DCH Indicator
To create an automatic indicators for DonchianChannel, call the DCH helper method from the QCAlgorithm class. The DCH method creates a DonchianChannel 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 DonchianChannelAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private DonchianChannel _dch;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_dch = DCH(_symbol, 20, 20);
}
public override void OnData(Slice data)
{
if (_dch.IsReady)
{
// The current value of _dch is represented by itself (_dch)
// or _dch.Current.Value
Plot("DonchianChannel", "dch", _dch);
// Plot all properties of dch
Plot("DonchianChannel", "upperband", _dch.UpperBand);
Plot("DonchianChannel", "lowerband", _dch.LowerBand);
}
}
} class DonchianChannelAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.dch = self.DCH(self.symbol, 20, 20)
def on_data(self, slice: Slice) -> None:
if self.dch.IsReady:
# The current value of self.dch is represented by self.dch.Current.Value
self.plot("DonchianChannel", "dch", self.dch.Current.Value)
# Plot all attributes of self.dch
self.plot("DonchianChannel", "upperband", self.dch.UpperBand.Current.Value)
self.plot("DonchianChannel", "lowerband", self.dch.LowerBand.Current.Value)
The following reference table describes the DCH method:
DCH()1/2
DonchianChannel QuantConnect.Algorithm.QCAlgorithm.DCH (
Symbol symbol,
Int32 upperPeriod,
Int32 lowerPeriod,
*Nullable<Resolution> resolution,
*Func<IBaseData, IBaseDataBar> selector
)
Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band. The indicator will be automatically updated on the given resolution.
DCH()2/2
DonchianChannel QuantConnect.Algorithm.QCAlgorithm.DCH (
Symbol symbol,
Int32 period,
*Nullable<Resolution> resolution,
*Func<IBaseData, IBaseDataBar> selector
)
Overload shorthand to create a new symmetric Donchian Channel indicator which has the upper and lower channels set to the same period length.
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 DonchianChannel 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 a TradeBar or QuoteBar. The indicator will only be ready after you prime it with enough data.
public class DonchianChannelAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private DonchianChannel _dch;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_dch = new DonchianChannel(20, 20);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_dch.Update(bar);
}
if (_dch.IsReady)
{
// The current value of _dch is represented by itself (_dch)
// or _dch.Current.Value
Plot("DonchianChannel", "dch", _dch);
// Plot all properties of dch
Plot("DonchianChannel", "upperband", _dch.UpperBand);
Plot("DonchianChannel", "lowerband", _dch.LowerBand);
}
}
} class DonchianChannelAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.dch = DonchianChannel(20, 20)
def on_data(self, slice: Slice) -> None:
bar = slice.Bars.get(self.symbol)
if bar:
self.dch.Update(bar)
if self.dch.IsReady:
# The current value of self.dch is represented by self.dch.Current.Value
self.plot("DonchianChannel", "dch", self.dch.Current.Value)
# Plot all attributes of self.dch
self.plot("DonchianChannel", "upperband", self.dch.UpperBand.Current.Value)
self.plot("DonchianChannel", "lowerband", self.dch.LowerBand.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.
public class DonchianChannelAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private DonchianChannel _dch;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_dch = new DonchianChannel(20, 20);
RegisterIndicator(_symbol, _dch, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_dch.IsReady)
{
// The current value of _dch is represented by itself (_dch)
// or _dch.Current.Value
Plot("DonchianChannel", "dch", _dch);
// Plot all properties of dch
Plot("DonchianChannel", "upperband", _dch.UpperBand);
Plot("DonchianChannel", "lowerband", _dch.LowerBand);
}
}
} class DonchianChannelAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.dch = DonchianChannel(20, 20)
self.RegisterIndicator(self.symbol, self.dch, Resolution.Daily)
def on_data(self, slice: Slice) -> None:
if self.dch.IsReady:
# The current value of self.dch is represented by self.dch.Current.Value
self.plot("DonchianChannel", "dch", self.dch.Current.Value)
# Plot all attributes of self.dch
self.plot("DonchianChannel", "upperband", self.dch.UpperBand.Current.Value)
self.plot("DonchianChannel", "lowerband", self.dch.LowerBand.Current.Value)
The following reference table describes the DonchianChannel constructor:
DonchianChannel()1/4
DonchianChannel QuantConnect.Indicators.DonchianChannel (
int period
)
Initializes a new instance of the DonchianChannel class.
DonchianChannel()2/4
DonchianChannel QuantConnect.Indicators.DonchianChannel (
int upperPeriod,
int lowerPeriod
)
Initializes a new instance of the DonchianChannel class.
DonchianChannel()3/4
DonchianChannel QuantConnect.Indicators.DonchianChannel (
string name,
int period
)
Initializes a new instance of the DonchianChannel class.
DonchianChannel()4/4
DonchianChannel QuantConnect.Indicators.DonchianChannel (
string name,
int upperPeriod,
int lowerPeriod
)
Initializes a new instance of the DonchianChannel class.
Visualization
The following image shows plot values of selected properties of DonchianChannel using the plotly library.
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