Supported Indicators

McClellan Summation Index

Introduction

The McClellan Summation Index (MSI) is a market breadth indicator that is based on the rolling average of difference between the number of advancing and declining issues on a stock exchange. It is generally considered as is a long-term version of the

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

Using MSI Indicator

To create an automatic indicator for McClellanSummationIndex, call the MSImsi helper method from the QCAlgorithm class. The MSImsi method creates a McClellanSummationIndex 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 McClellanSummationIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol,_reference;
    private McClellanSummationIndex _msi;

    public override void Initialize()
    {
        _symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
        _reference = AddEquity("SPY", Resolution.Daily).Symbol;
        _msi = MSI([_symbol, _reference]);
    }

    public override void OnData(Slice data)
    {

        if (_msi.IsReady)
        {
            // The current value of _msi is represented by itself (_msi)
            // or _msi.Current.Value
            Plot("McClellanSummationIndex", "msi", _msi);
            // Plot all properties of abands
            Plot("McClellanSummationIndex", "mcclellanoscillator", _msi.McClellanOscillator);
        }
    }
}
class McClellanSummationIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
        self._msi = self.msi([self._symbol, self._reference])

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

        if self._msi.is_ready:
            # The current value of self._msi is represented by self._msi.current.value
            self.plot("McClellanSummationIndex", "msi", self._msi.current.value)
            # Plot all attributes of self._msi
            self.plot("McClellanSummationIndex", "mc_clellan_oscillator", self._msi.mc_clellan_oscillator.current.value)

To create an automatic indicator for McClellanSummationIndex using universe constituents, call the MSImsi helper method from the QCAlgorithm class. The MSImsi method creates a McClellanSummationIndex object, hooks it up for automatic updates, and returns it so you can used it in your algorithm. In this case, you should call the helper method in the OnSecuritiesChangedon_securities_changed method.

public class McClellanSummationIndexAlgorithm : QCAlgorithm
{
    private Universe _universe;
    private McClellanSummationIndex _msi;

    public override void Initialize()
    {
        UniverseSettings.Resolution = Resolution.Daily;
        UniverseSettings.Schedule.On(DateRules.MonthStart());
        _universe = AddUniverse(Universe.ETF("SPY"));
    }

    public override void OnSecuritiesChanged(SecurityChanges changes)
    {
        _msi = MSI(_universe.Selected);
    }

    public override void OnData(Slice data)
    {

        if (_msi.IsReady)
        {
            // The current value of _msi is represented by itself (_msi)
            // or _msi.Current.Value
            Plot("McClellanSummationIndex", "msi", _msi);
            // Plot all properties of abands
            Plot("McClellanSummationIndex", "mcclellanoscillator", _msi.McClellanOscillator);
        }
    }
}
class McClellanSummationIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.universe_settings.resolution = Resolution.DAILY
        self.universe_settings.schedule.on(self.date_rules.month_start())
        self._universe = self.add_universe(self.universe.etf('SPY'))

    def on_securities_changed(self, changes: SecurityChanges) -> None:
        self._msi = self.msi(list(self._universe.selected))

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

        if self._msi.is_ready:
            # The current value of self._msi is represented by self._msi.current.value
            self.plot("McClellanSummationIndex", "msi", self._msi.current.value)
            # Plot all attributes of self._msi
            self.plot("McClellanSummationIndex", "mc_clellan_oscillator", self._msi.mc_clellan_oscillator.current.value)

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

You can manually create a McClellanSummationIndex 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 McClellanSummationIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol,_reference;
    private McClellanSummationIndex _mcclellansummationindex;

    public override void Initialize()
    {
        _symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
        _reference = AddEquity("SPY", Resolution.Daily).Symbol;
        _mcclellansummationindex = new McClellanSummationIndex(19, 39);
        _mcclellansummationindex.Add(_symbol);
        _mcclellansummationindex.Add(_reference);
    }

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

        if (_mcclellansummationindex.IsReady)
        {
            // The current value of _mcclellansummationindex is represented by itself (_mcclellansummationindex)
            // or _mcclellansummationindex.Current.Value
            Plot("McClellanSummationIndex", "mcclellansummationindex", _mcclellansummationindex);
            // Plot all properties of abands
            Plot("McClellanSummationIndex", "mcclellanoscillator", _mcclellansummationindex.McClellanOscillator);
        }
    }
}
class McClellanSummationIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
        self._mcclellansummationindex = McClellanSummationIndex(19, 39)
        self._mcclellansummationindex.add(self._symbol);
        self._mcclellansummationindex.add(self._reference);

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

        if self._mcclellansummationindex.is_ready:
            # The current value of self._mcclellansummationindex is represented by self._mcclellansummationindex.current.value
            self.plot("McClellanSummationIndex", "mcclellansummationindex", self._mcclellansummationindex.current.value)
            # Plot all attributes of self._mcclellansummationindex
            self.plot("McClellanSummationIndex", "mc_clellan_oscillator", self._mcclellansummationindex.mc_clellan_oscillator.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

McClellanSummationIndex line plot.

Indicator History

To get the historical data of the McClellanSummationIndex 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 McClellanSummationIndexAlgorithm : QCAlgorithm
{
    private Symbol _symbol,_reference;
    private McClellanSummationIndex _msi;

    public override void Initialize()
    {
        _symbol = AddEquity("QQQ", Resolution.Daily).Symbol;
        _reference = AddEquity("SPY", Resolution.Daily).Symbol;
        _msi = MSI([_symbol, _reference]);

        var indicatorHistory = IndicatorHistory(_msi, new[] { _symbol, _reference }, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_msi, new[] { _symbol, _reference }, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_msi, new[] { _symbol, _reference }, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);

        // Access all attributes of indicatorHistory
        var mcClellanOscillator = indicatorHistory.Select(x => ((dynamic)x).McClellanOscillator).ToList();
    }
}
class McClellanSummationIndexAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
        self._msi = self.msi([self._symbol, self._reference])

        indicator_history = self.indicator_history(self._msi, [ self._symbol, self._reference ], 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._msi, [ self._symbol, self._reference ], timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._msi, [ self._symbol, self._reference ], datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
    
        # Access all attributes of indicator_history
        indicator_history_df = indicator_history.data_frame
        mc_clellan_oscillator = indicator_history_df["mcclellanoscillator"]

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