Supported Indicators
Exponential Moving Average
Introduction
This indicator represents the traditional exponential moving average indicator (EMA). When the indicator is ready, the first value of the EMA is equivalent to the simple moving average. After the first EMA value, the EMA value is a function of the previous EMA value. Therefore, depending on the number of samples you feed into the indicator, it can provide different EMA values for a single security and lookback period. To make the indicator values consistent across time, warm up the indicator with all the trailing security price history.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using EMA Indicator
To create an automatic indicators for ExponentialMovingAverage
, call the EMA
helper method from the QCAlgorithm
class. The EMA
method creates a ExponentialMovingAverage
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 ExponentialMovingAverageAlgorithm : QCAlgorithm { private Symbol _symbol; private ExponentialMovingAverage _ema; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _ema = EMA(_symbol, 20, 0.5); } public override void OnData(Slice data) { if (_ema.IsReady) { // The current value of _ema is represented by itself (_ema) // or _ema.Current.Value Plot("ExponentialMovingAverage", "ema", _ema); } } }
class ExponentialMovingAverageAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.ema = self.EMA(self.symbol, 20, 0.5) def OnData(self, slice: Slice) -> None: if self.ema.IsReady: # The current value of self.ema is represented by self.ema.Current.Value self.Plot("ExponentialMovingAverage", "ema", self.ema.Current.Value)
The following reference table describes the EMA
method:
EMA()1/2
ExponentialMovingAverage QuantConnect.Algorithm.QCAlgorithm.EMA (Symbol
symbol,Int32
period,*Nullable<Resolution>
resolution,*Func<IBaseData, Decimal>
selector )
Creates an ExponentialMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution.
EMA()2/2
ExponentialMovingAverage QuantConnect.Algorithm.QCAlgorithm.EMA (Symbol
symbol,Int32
period,Decimal
smoothingFactor,*Nullable<Resolution>
resolution,*Func<IBaseData, Decimal>
selector )
Creates an ExponentialMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution.
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 ExponentialMovingAverage
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 ExponentialMovingAverageAlgorithm : QCAlgorithm { private Symbol _symbol; private ExponentialMovingAverage _ema; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _ema = new ExponentialMovingAverage(20, 0.5); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _ema.Update(bar.EndTime, bar.Close); } if (_ema.IsReady) { // The current value of _ema is represented by itself (_ema) // or _ema.Current.Value Plot("ExponentialMovingAverage", "ema", _ema); } } }
class ExponentialMovingAverageAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.ema = ExponentialMovingAverage(20, 0.5) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.ema.Update(bar.EndTime, bar.Close) if self.ema.IsReady: # The current value of self.ema is represented by self.ema.Current.Value self.Plot("ExponentialMovingAverage", "ema", self.ema.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class ExponentialMovingAverageAlgorithm : QCAlgorithm { private Symbol _symbol; private ExponentialMovingAverage _ema; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _ema = new ExponentialMovingAverage(20, 0.5); RegisterIndicator(_symbol, _ema, Resolution.Daily); } public override void OnData(Slice data) { if (_ema.IsReady) { // The current value of _ema is represented by itself (_ema) // or _ema.Current.Value Plot("ExponentialMovingAverage", "ema", _ema); } } }
class ExponentialMovingAverageAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.ema = ExponentialMovingAverage(20, 0.5) self.RegisterIndicator(self.symbol, self.ema, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.ema.IsReady: # The current value of self.ema is represented by self.ema.Current.Value self.Plot("ExponentialMovingAverage", "ema", self.ema.Current.Value)
The following reference table describes the ExponentialMovingAverage
constructor:
ExponentialMovingAverage()1/4
ExponentialMovingAverage QuantConnect.Indicators.ExponentialMovingAverage (string
name,int
period )
Initializes a new instance of the ExponentialMovingAverage class with the specified name and period.
ExponentialMovingAverage()2/4
ExponentialMovingAverage QuantConnect.Indicators.ExponentialMovingAverage (string
name,int
period,decimal
smoothingFactor )
Initializes a new instance of the ExponentialMovingAverage class with the specified name and period.
ExponentialMovingAverage()3/4
ExponentialMovingAverage QuantConnect.Indicators.ExponentialMovingAverage (
int
period
)
Initializes a new instance of the ExponentialMovingAverage class with the default name and period.
ExponentialMovingAverage()4/4
ExponentialMovingAverage QuantConnect.Indicators.ExponentialMovingAverage (int
period,decimal
smoothingFactor )
Initializes a new instance of the ExponentialMovingAverage class with the default name and period.
Visualization
The following image shows plot values of selected properties of ExponentialMovingAverage
using the plotly library.
