Supported Indicators
Moving Average Convergence Divergence
Introduction
This indicator creates two moving averages defined on a base indicator and produces the difference between the fast and slow averages.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using MACD Indicator
To create an automatic indicators for MovingAverageConvergenceDivergence
, call the MACD
helper method from the QCAlgorithm
class. The MACD
method creates a MovingAverageConvergenceDivergence
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 MovingAverageConvergenceDivergenceAlgorithm : QCAlgorithm { private Symbol _symbol; private MovingAverageConvergenceDivergence _macd; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _macd = MACD(_symbol, 12, 26, 9, MovingAverageType.Exponential); } public override void OnData(Slice data) { if (_macd.IsReady) { // The current value of _macd is represented by itself (_macd) // or _macd.Current.Value Plot("MovingAverageConvergenceDivergence", "macd", _macd); // Plot all properties of macd Plot("MovingAverageConvergenceDivergence", "fast", _macd.Fast); Plot("MovingAverageConvergenceDivergence", "slow", _macd.Slow); Plot("MovingAverageConvergenceDivergence", "signal", _macd.Signal); Plot("MovingAverageConvergenceDivergence", "histogram", _macd.Histogram); } } }
class MovingAverageConvergenceDivergenceAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.macd = self.MACD(self.symbol, 12, 26, 9, MovingAverageType.Exponential) def OnData(self, slice: Slice) -> None: if self.macd.IsReady: # The current value of self.macd is represented by self.macd.Current.Value self.Plot("MovingAverageConvergenceDivergence", "macd", self.macd.Current.Value) # Plot all attributes of self.macd self.Plot("MovingAverageConvergenceDivergence", "fast", self.macd.Fast.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "slow", self.macd.Slow.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "signal", self.macd.Signal.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "histogram", self.macd.Histogram.Current.Value)
The following reference table describes the MACD
method:
MACD()1/1
MovingAverageConvergenceDivergence QuantConnect.Algorithm.QCAlgorithm.MACD (Symbol
symbol,Int32
fastPeriod,Int32
slowPeriod,Int32
signalPeriod,*MovingAverageType
type,*Nullable<Resolution>
resolution,*Func<IBaseData, Decimal>
selector )
Creates a MACD indicator for the symbol. 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 MovingAverageConvergenceDivergence
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 MovingAverageConvergenceDivergenceAlgorithm : QCAlgorithm { private Symbol _symbol; private MovingAverageConvergenceDivergence _macd; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _macd = new MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _macd.Update(bar.EndTime, bar.Close); } if (_macd.IsReady) { // The current value of _macd is represented by itself (_macd) // or _macd.Current.Value Plot("MovingAverageConvergenceDivergence", "macd", _macd); // Plot all properties of macd Plot("MovingAverageConvergenceDivergence", "fast", _macd.Fast); Plot("MovingAverageConvergenceDivergence", "slow", _macd.Slow); Plot("MovingAverageConvergenceDivergence", "signal", _macd.Signal); Plot("MovingAverageConvergenceDivergence", "histogram", _macd.Histogram); } } }
class MovingAverageConvergenceDivergenceAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.macd = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.macd.Update(bar.EndTime, bar.Close) if self.macd.IsReady: # The current value of self.macd is represented by self.macd.Current.Value self.Plot("MovingAverageConvergenceDivergence", "macd", self.macd.Current.Value) # Plot all attributes of self.macd self.Plot("MovingAverageConvergenceDivergence", "fast", self.macd.Fast.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "slow", self.macd.Slow.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "signal", self.macd.Signal.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "histogram", self.macd.Histogram.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class MovingAverageConvergenceDivergenceAlgorithm : QCAlgorithm { private Symbol _symbol; private MovingAverageConvergenceDivergence _macd; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _macd = new MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential); RegisterIndicator(_symbol, _macd, Resolution.Daily); } public override void OnData(Slice data) { if (_macd.IsReady) { // The current value of _macd is represented by itself (_macd) // or _macd.Current.Value Plot("MovingAverageConvergenceDivergence", "macd", _macd); // Plot all properties of macd Plot("MovingAverageConvergenceDivergence", "fast", _macd.Fast); Plot("MovingAverageConvergenceDivergence", "slow", _macd.Slow); Plot("MovingAverageConvergenceDivergence", "signal", _macd.Signal); Plot("MovingAverageConvergenceDivergence", "histogram", _macd.Histogram); } } }
class MovingAverageConvergenceDivergenceAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.macd = MovingAverageConvergenceDivergence(12, 26, 9, MovingAverageType.Exponential) self.RegisterIndicator(self.symbol, self.macd, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.macd.IsReady: # The current value of self.macd is represented by self.macd.Current.Value self.Plot("MovingAverageConvergenceDivergence", "macd", self.macd.Current.Value) # Plot all attributes of self.macd self.Plot("MovingAverageConvergenceDivergence", "fast", self.macd.Fast.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "slow", self.macd.Slow.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "signal", self.macd.Signal.Current.Value) self.Plot("MovingAverageConvergenceDivergence", "histogram", self.macd.Histogram.Current.Value)
The following reference table describes the MovingAverageConvergenceDivergence
constructor:
MovingAverageConvergenceDivergence()1/2
MovingAverageConvergenceDivergence QuantConnect.Indicators.MovingAverageConvergenceDivergence (int
fastPeriod,int
slowPeriod,int
signalPeriod,*MovingAverageType
type )
Creates a new MACD with the specified parameters.
MovingAverageConvergenceDivergence()2/2
MovingAverageConvergenceDivergence QuantConnect.Indicators.MovingAverageConvergenceDivergence (string
name,int
fastPeriod,int
slowPeriod,int
signalPeriod,*MovingAverageType
type )
Creates a new MACD with the specified parameters.
Visualization
The following image shows plot values of selected properties of MovingAverageConvergenceDivergence
using the plotly library.
