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 indicator for DonchianChannel, call the DCHdch helper method from the QCAlgorithm class. The DCHdch 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 abands
            Plot("DonchianChannel", "upperband", _dch.UpperBand);
            Plot("DonchianChannel", "lowerband", _dch.LowerBand);
        }
    }
}
class DonchianChannelAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._dch = self.dch(self._symbol, 20, 20)

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

        if self._dch.is_ready:
            # 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", "upper_band", self._dch.upper_band.current.value)
            self.plot("DonchianChannel", "lower_band", self._dch.lower_band.current.value)

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

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. The indicator will only be ready after you prime it with enough data.

public class DonchianChannelAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DonchianChannel _donchianchannel;

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

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

        if (_donchianchannel.IsReady)
        {
            // The current value of _donchianchannel is represented by itself (_donchianchannel)
            // or _donchianchannel.Current.Value
            Plot("DonchianChannel", "donchianchannel", _donchianchannel);
            // Plot all properties of abands
            Plot("DonchianChannel", "upperband", _donchianchannel.UpperBand);
            Plot("DonchianChannel", "lowerband", _donchianchannel.LowerBand);
        }
    }
}
class DonchianChannelAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._donchianchannel = DonchianChannel(20, 20)

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

        if self._donchianchannel.is_ready:
            # The current value of self._donchianchannel is represented by self._donchianchannel.current.value
            self.plot("DonchianChannel", "donchianchannel", self._donchianchannel.current.value)
            # Plot all attributes of self._donchianchannel
            self.plot("DonchianChannel", "upper_band", self._donchianchannel.upper_band.current.value)
            self.plot("DonchianChannel", "lower_band", self._donchianchannel.lower_band.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

DonchianChannel line plot.

Indicator History

To get the historical data of the DonchianChannel 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 DonchianChannelAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DonchianChannel _dch;

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

        var indicatorHistory = IndicatorHistory(_dch, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_dch, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_dch, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);

        // Access all attributes of indicatorHistory
        var upperBand = indicatorHistory.Select(x => ((dynamic)x).UpperBand).ToList();
        var lowerBand = indicatorHistory.Select(x => ((dynamic)x).LowerBand).ToList();
    }
}
class DonchianChannelAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._dch = self.dch(self._symbol, 20, 20)

        indicator_history = self.indicator_history(self._dch, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._dch, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._dch, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
    
        # Access all attributes of indicator_history
        indicator_history_df = indicator_history.data_frame
        upper_band = indicator_history_df["upperband"]
        lower_band = indicator_history_df["lowerband"]

You can also see our Videos. You can also get in touch with us via Discord.

Did you find this page helpful?

Contribute to the documentation: