Supported Indicators
Keltner Channels
Introduction
This indicator creates a moving average (middle band) with an upper band and lower band fixed at k average True range multiples away from the middle band.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using KCH Indicator
To create an automatic indicators for KeltnerChannels
, call the KCH
helper method from the QCAlgorithm
class. The KCH
method creates a KeltnerChannels
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 KeltnerChannelsAlgorithm : QCAlgorithm { private Symbol _symbol; private KeltnerChannels _kch; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _kch = KCH(_symbol, 20, 2, MovingAverageType.Simple); } public override void OnData(Slice data) { if (_kch.IsReady) { // The current value of _kch is represented by itself (_kch) // or _kch.Current.Value Plot("KeltnerChannels", "kch", _kch); // Plot all properties of kch Plot("KeltnerChannels", "middleband", _kch.MiddleBand); Plot("KeltnerChannels", "upperband", _kch.UpperBand); Plot("KeltnerChannels", "lowerband", _kch.LowerBand); Plot("KeltnerChannels", "averagetruerange", _kch.AverageTrueRange); } } }
class KeltnerChannelsAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.kch = self.KCH(self.symbol, 20, 2, MovingAverageType.Simple) def OnData(self, slice: Slice) -> None: if self.kch.IsReady: # The current value of self.kch is represented by self.kch.Current.Value self.Plot("KeltnerChannels", "kch", self.kch.Current.Value) # Plot all attributes of self.kch self.Plot("KeltnerChannels", "middleband", self.kch.MiddleBand.Current.Value) self.Plot("KeltnerChannels", "upperband", self.kch.UpperBand.Current.Value) self.Plot("KeltnerChannels", "lowerband", self.kch.LowerBand.Current.Value) self.Plot("KeltnerChannels", "averagetruerange", self.kch.AverageTrueRange.Current.Value)
The following reference table describes the KCH
method:
KCH()1/1
KeltnerChannels QuantConnect.Algorithm.QCAlgorithm.KCH (Symbol
symbol,Int32
period,Decimal
k,*MovingAverageType
movingAverageType,*Nullable<Resolution>
resolution,*Func<IBaseData, IBaseDataBar>
selector )
Creates a new Keltner Channels indicator. 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.
The following table describes the MovingAverageType
enumeration members:
You can manually create a KeltnerChannels
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 KeltnerChannelsAlgorithm : QCAlgorithm { private Symbol _symbol; private KeltnerChannels _kch; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _kch = new KeltnerChannels(20, 2, MovingAverageType.Simple); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _kch.Update(bar); } if (_kch.IsReady) { // The current value of _kch is represented by itself (_kch) // or _kch.Current.Value Plot("KeltnerChannels", "kch", _kch); // Plot all properties of kch Plot("KeltnerChannels", "middleband", _kch.MiddleBand); Plot("KeltnerChannels", "upperband", _kch.UpperBand); Plot("KeltnerChannels", "lowerband", _kch.LowerBand); Plot("KeltnerChannels", "averagetruerange", _kch.AverageTrueRange); } } }
class KeltnerChannelsAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.kch = KeltnerChannels(20, 2, MovingAverageType.Simple) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.kch.Update(bar) if self.kch.IsReady: # The current value of self.kch is represented by self.kch.Current.Value self.Plot("KeltnerChannels", "kch", self.kch.Current.Value) # Plot all attributes of self.kch self.Plot("KeltnerChannels", "middleband", self.kch.MiddleBand.Current.Value) self.Plot("KeltnerChannels", "upperband", self.kch.UpperBand.Current.Value) self.Plot("KeltnerChannels", "lowerband", self.kch.LowerBand.Current.Value) self.Plot("KeltnerChannels", "averagetruerange", self.kch.AverageTrueRange.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class KeltnerChannelsAlgorithm : QCAlgorithm { private Symbol _symbol; private KeltnerChannels _kch; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _kch = new KeltnerChannels(20, 2, MovingAverageType.Simple); RegisterIndicator(_symbol, _kch, Resolution.Daily); } public override void OnData(Slice data) { if (_kch.IsReady) { // The current value of _kch is represented by itself (_kch) // or _kch.Current.Value Plot("KeltnerChannels", "kch", _kch); // Plot all properties of kch Plot("KeltnerChannels", "middleband", _kch.MiddleBand); Plot("KeltnerChannels", "upperband", _kch.UpperBand); Plot("KeltnerChannels", "lowerband", _kch.LowerBand); Plot("KeltnerChannels", "averagetruerange", _kch.AverageTrueRange); } } }
class KeltnerChannelsAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.kch = KeltnerChannels(20, 2, MovingAverageType.Simple) self.RegisterIndicator(self.symbol, self.kch, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.kch.IsReady: # The current value of self.kch is represented by self.kch.Current.Value self.Plot("KeltnerChannels", "kch", self.kch.Current.Value) # Plot all attributes of self.kch self.Plot("KeltnerChannels", "middleband", self.kch.MiddleBand.Current.Value) self.Plot("KeltnerChannels", "upperband", self.kch.UpperBand.Current.Value) self.Plot("KeltnerChannels", "lowerband", self.kch.LowerBand.Current.Value) self.Plot("KeltnerChannels", "averagetruerange", self.kch.AverageTrueRange.Current.Value)
The following reference table describes the KeltnerChannels
constructor:
KeltnerChannels()1/2
KeltnerChannels QuantConnect.Indicators.KeltnerChannels (int
period,decimal
k,*MovingAverageType
movingAverageType )
Initializes a new instance of the KeltnerChannels class.
KeltnerChannels()2/2
KeltnerChannels QuantConnect.Indicators.KeltnerChannels (string
name,int
period,decimal
k,*MovingAverageType
movingAverageType )
Initializes a new instance of the KeltnerChannels class.
Visualization
The following image shows plot values of selected properties of KeltnerChannels
using the plotly library.
