Supported Indicators

Hull Moving Average

Introduction

Produces a Hull Moving Average as explained at http://www.alanhull.com/hull-moving-average/ and derived from the instructions for the Excel VBA code at http://finance4traders.blogspot.com/2009/06/how-to-calculate-hull-moving-average.html

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

Using HMA Indicator

To create an automatic indicators for HullMovingAverage, call the HMA helper method from the QCAlgorithm class. The HMA method creates a HullMovingAverage 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 HullMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private HullMovingAverage _hma;

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

    public override void OnData(Slice data)
    {
        if (_hma.IsReady)
        {
            // The current value of _hma is represented by itself (_hma)
            // or _hma.Current.Value
            Plot("HullMovingAverage", "hma", _hma);
            
        }
    }
}
class HullMovingAverageAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.hma = self.HMA(self.symbol, 20)

    def OnData(self, slice: Slice) -> None:
        if self.hma.IsReady:
            # The current value of self.hma is represented by self.hma.Current.Value
            self.Plot("HullMovingAverage", "hma", self.hma.Current.Value)
            

The following reference table describes the HMA method:

HMA()1/1

            HullMovingAverage QuantConnect.Algorithm.QCAlgorithm.HMA (
    Symbol                           symbol,
    Int32                            period,
    *Nullable<Resolution>      resolution,
    *Func<IBaseData, Decimal>  selector
   )
        

Creates a new HullMovingAverage indicator. The Hull moving average is a series of nested weighted moving averages, is fast and smooth.

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 HullMovingAverage 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 HullMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private HullMovingAverage _hma;

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

    public override void OnData(Slice data)
    {
        if (data.Bars.TryGetValue(_symbol, out var bar))
        {      
            _hma.Update(bar.EndTime, bar.Close);
        }
    
        if (_hma.IsReady)
        {
            // The current value of _hma is represented by itself (_hma)
            // or _hma.Current.Value
            Plot("HullMovingAverage", "hma", _hma);
            
        }
    }
}
class HullMovingAverageAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.hma = HullMovingAverage(20)

    def OnData(self, slice: Slice) -> None:
        bar = slice.Bars.get(self.symbol)
        if bar:
            self.hma.Update(bar.EndTime, bar.Close)
                
        if self.hma.IsReady:
            # The current value of self.hma is represented by self.hma.Current.Value
            self.Plot("HullMovingAverage", "hma", self.hma.Current.Value)
            

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.

public class HullMovingAverageAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private HullMovingAverage _hma;

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

    public override void OnData(Slice data)
    {
        if (_hma.IsReady)
        {
            // The current value of _hma is represented by itself (_hma)
            // or _hma.Current.Value
            Plot("HullMovingAverage", "hma", _hma);
            
        }
    }
}
class HullMovingAverageAlgorithm(QCAlgorithm):
    def Initialize(self) -> None:
        self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
        self.hma = HullMovingAverage(20)
        self.RegisterIndicator(self.symbol, self.hma, Resolution.Daily)

    def OnData(self, slice: Slice) -> None:
        if self.hma.IsReady:
            # The current value of self.hma is represented by self.hma.Current.Value
            self.Plot("HullMovingAverage", "hma", self.hma.Current.Value)
            

The following reference table describes the HullMovingAverage constructor:

HullMovingAverage()1/2

            HullMovingAverage QuantConnect.Indicators.HullMovingAverage (
    string  name,
    int     period
   )
        

A Hull Moving Average.

HullMovingAverage()2/2

            HullMovingAverage QuantConnect.Indicators.HullMovingAverage (
    int  period
   )
        

A Hull Moving Average.

Visualization

The following image shows plot values of selected properties of HullMovingAverage using the plotly library.

HullMovingAverage line plot.

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