Supported Indicators

Momentum

Introduction

This indicator computes the n-period change in a value using the following: value_0 - value_n

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

Using MOM Indicator

To create an automatic indicator for Momentum, call the MOMmom helper method from the QCAlgorithm class. The MOMmom method creates a Momentum 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 MomentumAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Momentum _mom;

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

    public override void OnData(Slice data)
    {

        if (_mom.IsReady)
        {
            // The current value of _mom is represented by itself (_mom)
            // or _mom.Current.Value
            Plot("Momentum", "mom", _mom);
        }
    }
}
class MomentumAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._mom = self.mom(self._symbol, 20)

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

        if self._mom.is_ready:
            # The current value of self._mom is represented by self._mom.current.value
            self.plot("Momentum", "mom", self._mom.current.value)

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

You can manually create a Momentum 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 MomentumAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Momentum _momentum;

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

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

        if (_momentum.IsReady)
        {
            // The current value of _momentum is represented by itself (_momentum)
            // or _momentum.Current.Value
            Plot("Momentum", "momentum", _momentum);
        }
    }
}
class MomentumAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._momentum = Momentum(20)

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

        if self._momentum.is_ready:
            # The current value of self._momentum is represented by self._momentum.current.value
            self.plot("Momentum", "momentum", self._momentum.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

Momentum line plot.

Indicator History

To get the historical data of the Momentum 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 MomentumAlgorithm : QCAlgorithm
{
    private Symbol _symbol;
    private Momentum _mom;

    public override void Initialize()
    {
        _symbol = AddEquity("SPY", Resolution.Daily).Symbol;
        _mom = MOM(_symbol, 20);

        var indicatorHistory = IndicatorHistory(_mom, _symbol, 100, Resolution.Minute);
        var timeSpanIndicatorHistory = IndicatorHistory(_mom, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
        var timePeriodIndicatorHistory = IndicatorHistory(_mom, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
    }
}
class MomentumAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
        self._mom = self.mom(self._symbol, 20)

        indicator_history = self.indicator_history(self._mom, self._symbol, 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._mom, self._symbol, timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._mom, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)

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