Supported Indicators

Double Exponential Moving Average

Introduction

This indicator computes the Double Exponential Moving Average (DEMA). The Double Exponential Moving Average is calculated with the following formula: EMA2 = EMA(EMA(t,period),period) DEMA = 2 * EMA(t,period) - EMA2 The Generalized DEMA (GD) is calculated with the following formula: GD = (volumeFactor+1) * EMA(t,period) - volumeFactor * EMA2

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

Using DEMA Indicator

To create an automatic indicator for DoubleExponentialMovingAverage, call the DEMAdema helper method from the QCAlgorithm class. The DEMAdema method creates a DoubleExponentialMovingAverage 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 DoubleExponentialMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DoubleExponentialMovingAverage _dema;

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

    public override void OnData(Slice data)
    {

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

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

        if self._dema.is_ready:
            # The current value of self._dema is represented by self._dema.current.value
            self.plot("DoubleExponentialMovingAverage", "dema", self._dema.current.value)

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

You can manually create a DoubleExponentialMovingAverage 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 DoubleExponentialMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DoubleExponentialMovingAverage _doubleexponentialmovingaverage;

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

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

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

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

        if self._doubleexponentialmovingaverage.is_ready:
            # The current value of self._doubleexponentialmovingaverage is represented by self._doubleexponentialmovingaverage.current.value
            self.plot("DoubleExponentialMovingAverage", "doubleexponentialmovingaverage", self._doubleexponentialmovingaverage.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

DoubleExponentialMovingAverage line plot.

Indicator History

To get the historical data of the DoubleExponentialMovingAverage 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 DoubleExponentialMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private DoubleExponentialMovingAverage _dema;

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

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

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

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