Supported Indicators
Fractal Adaptive Moving Average
Introduction
The Fractal Adaptive Moving Average (FRAMA) by John Ehlers
To view the implementation of this indicator, see the LEAN GitHub repository.
Using FRAMA Indicator
To create an automatic indicators for FractalAdaptiveMovingAverage, call the FRAMA helper method from the QCAlgorithm class. The FRAMA method creates a FractalAdaptiveMovingAverage 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 FractalAdaptiveMovingAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private FractalAdaptiveMovingAverage _frama;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_frama = FRAMA("SPY", 20, 198);
}
public override void OnData(Slice data)
{
if (_frama.IsReady)
{
// The current value of _frama is represented by itself (_frama)
// or _frama.Current.Value
Plot("FractalAdaptiveMovingAverage", "frama", _frama);
}
}
} class FractalAdaptiveMovingAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.frama = self.FRAMA("SPY", 20, 198)
def OnData(self, slice: Slice) -> None:
if self.frama.IsReady:
# The current value of self.frama is represented by self.frama.Current.Value
self.Plot("FractalAdaptiveMovingAverage", "frama", self.frama.Current.Value)
The following reference table describes the FRAMA method:
FRAMA()1/1
FractalAdaptiveMovingAverage QuantConnect.Algorithm.QCAlgorithm.FRAMA (
Symbol symbol,
Int32 period,
*Int32 longPeriod,
*Nullable<Resolution> resolution,
*Func<IBaseData, IBaseDataBar> selector
)
Creates an FractalAdaptiveMovingAverage (FRAMA) 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 FractalAdaptiveMovingAverage 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 FractalAdaptiveMovingAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private FractalAdaptiveMovingAverage _frama;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_frama = new FractalAdaptiveMovingAverage(20, 198);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGeValue(_symbol, out var bar))
{
_frama.Update(bar);
}
if (_frama.IsReady)
{
// The current value of _frama is represented by itself (_frama)
// or _frama.Current.Value
Plot("FractalAdaptiveMovingAverage", "frama", _frama);
}
}
} class FractalAdaptiveMovingAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.frama = FractalAdaptiveMovingAverage(20, 198)
def OnData(self, slice: Slice) -> None:
bar = slice.Bars.get(self.symbol)
if bar:
self.frama.Update(bar)
if self.frama.IsReady:
# The current value of self.frama is represented by self.frama.Current.Value
self.Plot("FractalAdaptiveMovingAverage", "frama", self.frama.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.
public class FractalAdaptiveMovingAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private FractalAdaptiveMovingAverage _frama;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_frama = new FractalAdaptiveMovingAverage(20, 198);
RegisterIndicator(_symbol, _frama, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_frama.IsReady)
{
// The current value of _frama is represented by itself (_frama)
// or _frama.Current.Value
Plot("FractalAdaptiveMovingAverage", "frama", _frama);
}
}
} class FractalAdaptiveMovingAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.frama = FractalAdaptiveMovingAverage(20, 198)
self.RegisterIndicator(self.symbol, self.frama, Resolution.Daily)
def OnData(self, slice: Slice) -> None:
if self.frama.IsReady:
# The current value of self.frama is represented by self.frama.Current.Value
self.Plot("FractalAdaptiveMovingAverage", "frama", self.frama.Current.Value)
The following reference table describes the FractalAdaptiveMovingAverage constructor:
FractalAdaptiveMovingAverage()1/3
FractalAdaptiveMovingAverage QuantConnect.Indicators.FractalAdaptiveMovingAverage (
string name,
int n,
int longPeriod
)
Initializes a new instance of the average class.
FractalAdaptiveMovingAverage()2/3
FractalAdaptiveMovingAverage QuantConnect.Indicators.FractalAdaptiveMovingAverage (
int n,
int longPeriod
)
Initializes a new instance of the average class.
FractalAdaptiveMovingAverage()3/3
FractalAdaptiveMovingAverage QuantConnect.Indicators.FractalAdaptiveMovingAverage (
int n
)
Initializes a new instance of the average class.
Visualization
The following image shows plot values of selected properties of FractalAdaptiveMovingAverage using the plotly library.
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