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.

Momentum line plot.

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