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 Initialize
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 OnData(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 Update
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.TryGeValue(_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 OnData(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 OnData(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.
