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 indicators for Momentum
, call the MOM
helper method from the QCAlgorithm
class. The MOM
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 Initialize
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.AddEquity("SPY", Resolution.Daily).Symbol self.mom = self.MOM(self.symbol, 20) def OnData(self, slice: Slice) -> None: if self.mom.IsReady: # The current value of self.mom is represented by self.mom.Current.Value self.Plot("Momentum", "mom", self.mom.Current.Value)
The following reference table describes the MOM
method:
MOM()1/1
Momentum QuantConnect.Algorithm.QCAlgorithm.MOM (Symbol
symbol,Int32
period,*Nullable<Resolution>
resolution,*Func<IBaseData, Decimal>
selector )
Creates a new Momentum indicator. This will compute the absolute n-period change in the security. 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 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 Update
method with time/number pair, or an IndicatorDataPoint
. The indicator will only be ready after you prime it with enough data.
public class MomentumAlgorithm : QCAlgorithm { private Symbol _symbol; private Momentum _mom; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _mom = new Momentum(20); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _mom.Update(bar.EndTime, bar.Close); } 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.AddEquity("SPY", Resolution.Daily).Symbol self.mom = Momentum(20) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.mom.Update(bar.EndTime, bar.Close) if self.mom.IsReady: # The current value of self.mom is represented by self.mom.Current.Value self.Plot("Momentum", "mom", self.mom.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class MomentumAlgorithm : QCAlgorithm { private Symbol _symbol; private Momentum _mom; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _mom = new Momentum(20); RegisterIndicator(_symbol, _mom, Resolution.Daily); } 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.AddEquity("SPY", Resolution.Daily).Symbol self.mom = Momentum(20) self.RegisterIndicator(self.symbol, self.mom, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.mom.IsReady: # The current value of self.mom is represented by self.mom.Current.Value self.Plot("Momentum", "mom", self.mom.Current.Value)
The following reference table describes the Momentum
constructor:
Momentum()1/2
Momentum QuantConnect.Indicators.Momentum (
int
period
)
Creates a new Momentum indicator with the specified period.
Momentum()2/2
Momentum QuantConnect.Indicators.Momentum (string
name,int
period )
Creates a new Momentum indicator with the specified period.
Visualization
The following image shows plot values of selected properties of Momentum
using the plotly library.
