Supported Indicators

New Highs New Lows Volume

Introduction

The New Highs - New Lows Volume Ratio is a Breadth indicator calculated as ratio of summary volume of stocks reaching new high to summary volume of stocks reaching new low compared to high and low values in defined time period.

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

Using NHNLV Indicator

To create an automatic indicator for NewHighsNewLowsVolume, call the NHNLVnhnlv helper method from the QCAlgorithm class. The NHNLVnhnlv method creates a NewHighsNewLowsVolume 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 NewHighsNewLowsVolumeAlgorithm : QCAlgorithm
{
    private Symbol _symbol,_reference;
    private NewHighsNewLowsVolume _nhnlv;

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

    public override void OnData(Slice data)
    {

        if (_nhnlv.IsReady)
        {
            // The current value of _nhnlv is represented by itself (_nhnlv)
            // or _nhnlv.Current.Value
            Plot("NewHighsNewLowsVolume", "nhnlv", _nhnlv);
            // Plot all properties of abands
            Plot("NewHighsNewLowsVolume", "volumeratio", _nhnlv.VolumeRatio);
            Plot("NewHighsNewLowsVolume", "difference", _nhnlv.Difference);
            Plot("NewHighsNewLowsVolume", "ratio", _nhnlv.Ratio);
        }
    }
}
class NewHighsNewLowsVolumeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
        self._nhnlv = self.nhnlv([self._symbol, self._reference])

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

        if self._nhnlv.is_ready:
            # The current value of self._nhnlv is represented by self._nhnlv.current.value
            self.plot("NewHighsNewLowsVolume", "nhnlv", self._nhnlv.current.value)
            # Plot all attributes of self._nhnlv
            self.plot("NewHighsNewLowsVolume", "volume_ratio", self._nhnlv.volume_ratio.current.value)
            self.plot("NewHighsNewLowsVolume", "difference", self._nhnlv.difference.current.value)
            self.plot("NewHighsNewLowsVolume", "ratio", self._nhnlv.ratio.current.value)

To create an automatic indicator for NewHighsNewLowsVolume using universe constituents, call the NHNLVnhnlv helper method from the QCAlgorithm class. The NHNLVnhnlv method creates a NewHighsNewLowsVolume 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 NewHighsNewLowsVolumeAlgorithm : QCAlgorithm
{
    private Universe _universe;
    private NewHighsNewLowsVolume _nhnlv;

    public override void Initialize()
    {
        SetStartDate(2024,1,1);
        SetEndDate(2024,12,31);
        UniverseSettings.Resolution = Resolution.Daily;
        UniverseSettings.Schedule.On(DateRules.MonthStart());
        _universe = AddUniverse(Universe.ETF("SPY"));
    }

    public override void OnSecuritiesChanged(SecurityChanges changes)
    {
        _nhnlv = NHNLV(_universe.Selected);
    }

    public override void OnData(Slice data)
    {

        if (_nhnlv.IsReady)
        {
            // The current value of _nhnlv is represented by itself (_nhnlv)
            // or _nhnlv.Current.Value
            Plot("NewHighsNewLowsVolume", "nhnlv", _nhnlv);
            // Plot all properties of abands
            Plot("NewHighsNewLowsVolume", "volumeratio", _nhnlv.VolumeRatio);
            Plot("NewHighsNewLowsVolume", "difference", _nhnlv.Difference);
            Plot("NewHighsNewLowsVolume", "ratio", _nhnlv.Ratio);
        }
    }
}
class NewHighsNewLowsVolumeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2024,1,1)
        self.set_end_date(2024,12,31)
        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._nhnlv = self.nhnlv(list(self._universe.selected))

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

        if self._nhnlv.is_ready:
            # The current value of self._nhnlv is represented by self._nhnlv.current.value
            self.plot("NewHighsNewLowsVolume", "nhnlv", self._nhnlv.current.value)
            # Plot all attributes of self._nhnlv
            self.plot("NewHighsNewLowsVolume", "volume_ratio", self._nhnlv.volume_ratio.current.value)
            self.plot("NewHighsNewLowsVolume", "difference", self._nhnlv.difference.current.value)
            self.plot("NewHighsNewLowsVolume", "ratio", self._nhnlv.ratio.current.value)

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

You can manually create a NewHighsNewLowsVolume 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 NewHighsNewLowsVolumeAlgorithm : QCAlgorithm
{
    private Symbol _symbol,_reference;
    private NewHighsNewLowsVolume _newhighsnewlowsvolume;

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

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

        if (_newhighsnewlowsvolume.IsReady)
        {
            // The current value of _newhighsnewlowsvolume is represented by itself (_newhighsnewlowsvolume)
            // or _newhighsnewlowsvolume.Current.Value
            Plot("NewHighsNewLowsVolume", "newhighsnewlowsvolume", _newhighsnewlowsvolume);
            // Plot all properties of abands
            Plot("NewHighsNewLowsVolume", "volumeratio", _newhighsnewlowsvolume.VolumeRatio);
            Plot("NewHighsNewLowsVolume", "difference", _newhighsnewlowsvolume.Difference);
            Plot("NewHighsNewLowsVolume", "ratio", _newhighsnewlowsvolume.Ratio);
        }
    }
}
class NewHighsNewLowsVolumeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
        self._newhighsnewlowsvolume = NewHighsNewLowsVolume("NHNLV", 2)
        self._newhighsnewlowsvolume.add(self._symbol);
        self._newhighsnewlowsvolume.add(self._reference);

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

        if self._newhighsnewlowsvolume.is_ready:
            # The current value of self._newhighsnewlowsvolume is represented by self._newhighsnewlowsvolume.current.value
            self.plot("NewHighsNewLowsVolume", "newhighsnewlowsvolume", self._newhighsnewlowsvolume.current.value)
            # Plot all attributes of self._newhighsnewlowsvolume
            self.plot("NewHighsNewLowsVolume", "volume_ratio", self._newhighsnewlowsvolume.volume_ratio.current.value)
            self.plot("NewHighsNewLowsVolume", "difference", self._newhighsnewlowsvolume.difference.current.value)
            self.plot("NewHighsNewLowsVolume", "ratio", self._newhighsnewlowsvolume.ratio.current.value)

For more information about this indicator, see its referencereference.

Visualization

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

NewHighsNewLowsVolume line plot.

Indicator History

To get the historical data of the NewHighsNewLowsVolume 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 NewHighsNewLowsVolumeAlgorithm : QCAlgorithm
{
    private Symbol _symbol,_reference;
    private NewHighsNewLowsVolume _nhnlv;

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

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

        // Access all attributes of indicatorHistory
        var volumeRatio = indicatorHistory.Select(x => ((dynamic)x).VolumeRatio).ToList();
        var difference = indicatorHistory.Select(x => ((dynamic)x).Difference).ToList();
        var ratio = indicatorHistory.Select(x => ((dynamic)x).Ratio).ToList();
    }
}
class NewHighsNewLowsVolumeAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self._symbol = self.add_equity("QQQ", Resolution.DAILY).symbol
        self._reference = self.add_equity("SPY", Resolution.DAILY).symbol
        self._nhnlv = self.nhnlv([self._symbol, self._reference])

        indicator_history = self.indicator_history(self._nhnlv, [ self._symbol, self._reference ], 100, Resolution.MINUTE)
        timedelta_indicator_history = self.indicator_history(self._nhnlv, [ self._symbol, self._reference ], timedelta(days=10), Resolution.MINUTE)
        time_period_indicator_history = self.indicator_history(self._nhnlv, [ 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
        volume_ratio = indicator_history_df["volumeratio"]
        difference = indicator_history_df["difference"]
        ratio = indicator_history_df["ratio"]

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