Supported Indicators
Relative Strength Index
Introduction
This indicator represents the Relative Strength Index (RSI) developed by K. Welles Wilder. You can optionally specified a different moving average type to be used in the computation
To view the implementation of this indicator, see the LEAN GitHub repository.
Using RSI Indicator
To create an automatic indicators for RelativeStrengthIndex, call the RSI helper method from the QCAlgorithm class. The RSI method creates a RelativeStrengthIndex 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 RelativeStrengthIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private RelativeStrengthIndex _rsi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_rsi = RSI(_symbol, 14);
}
public override void OnData(Slice data)
{
if (_rsi.IsReady)
{
// The current value of _rsi is represented by itself (_rsi)
// or _rsi.Current.Value
Plot("RelativeStrengthIndex", "rsi", _rsi);
// Plot all properties of rsi
Plot("RelativeStrengthIndex", "averageloss", _rsi.AverageLoss);
Plot("RelativeStrengthIndex", "averagegain", _rsi.AverageGain);
}
}
} class RelativeStrengthIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._rsi = self.rsi(self._symbol, 14)
def on_data(self, slice: Slice) -> None:
if self._rsi.is_ready:
# The current value of self._rsi is represented by self._rsi.current.value
self.plot("RelativeStrengthIndex", "rsi", self._rsi.current.value)
# Plot all attributes of self._rsi
self.plot("RelativeStrengthIndex", "average_loss", self._rsi.average_loss.current.value)
self.plot("RelativeStrengthIndex", "average_gain", self._rsi.average_gain.current.value)
The following reference table describes the RSI method:
rsi(symbol, period, moving_average_type=2, resolution=None, selector=None)[source]Creates a new RelativeStrengthIndex indicator. This will produce an oscillator that ranges from 0 to 100 based on the ratio of average gains to average losses over the specified period.
- symbol (Symbol) — The symbol whose RSI we want
- period (int) — The period over which to compute the RSI
- moving_average_type (MovingAverageType, optional) — The type of moving average to use in computing the average gainloss values
- resolution (Resolution, optional) — The resolution
- selector (Callable[IBaseData, float], optional) — x.Value)
The RelativeStrengthIndex indicator for the requested symbol over the specified period
RSI(symbol, period, movingAverageType=2, resolution=None, selector=None)[source]Creates a new RelativeStrengthIndex indicator. This will produce an oscillator that ranges from 0 to 100 based on the ratio of average gains to average losses over the specified period.
- symbol (Symbol) — The symbol whose RSI we want
- period (Int32) — The period over which to compute the RSI
- movingAverageType (MovingAverageType, optional) — The type of moving average to use in computing the average gainloss values
- resolution (Resolution, optional) — The resolution
- selector (Func<IBaseData, Decimal>, optional) — x.Value)
The RelativeStrengthIndex indicator for the requested symbol over the specified period
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:
To avoid parameter ambiguity, use the resolution argument to set the Resolution.
public class RelativeStrengthIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private RelativeStrengthIndex _rsi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Hour).Symbol;
_rsi = RSI(_symbol, 14, resolution: Resolution.Daily);
}
} class RelativeStrengthIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.HOUR).Symbol
self._rsi = self.rsi(self._symbol, 14, resolution=Resolution.DAILY)
You can manually create a RelativeStrengthIndex 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 with time/number pair or an IndicatorDataPoint. The indicator will only be ready after you prime it with enough data.
public class RelativeStrengthIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private RelativeStrengthIndex _rsi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_rsi = new RelativeStrengthIndex(14);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_rsi.Update(bar.EndTime, bar.Close);
}
if (_rsi.IsReady)
{
// The current value of _rsi is represented by itself (_rsi)
// or _rsi.Current.Value
Plot("RelativeStrengthIndex", "rsi", _rsi);
// Plot all properties of rsi
Plot("RelativeStrengthIndex", "averageloss", _rsi.AverageLoss);
Plot("RelativeStrengthIndex", "averagegain", _rsi.AverageGain);
}
}
} class RelativeStrengthIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._rsi = RelativeStrengthIndex(14)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._rsi.update(bar.EndTime, bar.Close)
if self._rsi.is_ready:
# The current value of self._rsi is represented by self._rsi.current.value
self.plot("RelativeStrengthIndex", "rsi", self._rsi.current.value)
# Plot all attributes of self._rsi
self.plot("RelativeStrengthIndex", "average_loss", self._rsi.average_loss.current.value)
self.plot("RelativeStrengthIndex", "average_gain", self._rsi.average_gain.current.value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class RelativeStrengthIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private RelativeStrengthIndex _rsi;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_rsi = new RelativeStrengthIndex(14);
RegisterIndicator(_symbol, _rsi, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_rsi.IsReady)
{
// The current value of _rsi is represented by itself (_rsi)
// or _rsi.Current.Value
Plot("RelativeStrengthIndex", "rsi", _rsi);
// Plot all properties of rsi
Plot("RelativeStrengthIndex", "averageloss", _rsi.AverageLoss);
Plot("RelativeStrengthIndex", "averagegain", _rsi.AverageGain);
}
}
} class RelativeStrengthIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._rsi = RelativeStrengthIndex(14)
self.register_indicator(self._symbol, self._rsi, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._rsi.is_ready:
# The current value of self._rsi is represented by self._rsi.current.value
self.plot("RelativeStrengthIndex", "rsi", self._rsi.current.value)
# Plot all attributes of self._rsi
self.plot("RelativeStrengthIndex", "average_loss", self._rsi.average_loss.current.value)
self.plot("RelativeStrengthIndex", "average_gain", self._rsi.average_gain.current.value)
The following reference table describes the RelativeStrengthIndex constructor:
RelativeStrengthIndex
Represents the Relative Strength Index (RSI) developed by K. Welles Wilder. You can optionally specified a different moving average type to be used in the computation
get_enumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
reset()Resets this indicator to its initial state
to_detailed_string()Provides a more detailed string of this indicator in the form of {Name} - {Value}
str
update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (datetime)
- value (float)
bool
update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
bool
average_gainGets the indicator for average gain
Gets the indicator for average gain
IndicatorBase[IndicatorDataPoint]
average_lossGets the EMA for the down days
Gets the EMA for the down days
IndicatorBase[IndicatorDataPoint]
consolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet[IDataConsolidator]
currentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
is_readyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
itemIndexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
moving_average_typeGets the type of indicator used to compute AverageGain and AverageLoss
Gets the type of indicator used to compute AverageGain and AverageLoss
MovingAverageType
nameGets a name for this indicator
Gets a name for this indicator
str
previousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
samplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
warm_up_periodRequired period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
int
windowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow[IndicatorDataPoint]
RelativeStrengthIndex
Represents the Relative Strength Index (RSI) developed by K. Welles Wilder. You can optionally specified a different moving average type to be used in the computation
GetEnumerator()Returns an enumerator that iterates through the history window.
IEnumerator[IndicatorDataPoint]
Reset()Resets this indicator to its initial state
ToDetailedString()Provides a more detailed string of this indicator in the form of {Name} - {Value}
String
Update(time, value)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- time (DateTime)
- value (decimal)
Boolean
Update(input)Updates the state of this indicator with the given value and returns true if this indicator is ready, false otherwise
- input (IBaseData)
Boolean
AverageGainGets the indicator for average gain
Gets the indicator for average gain
IndicatorBase<IndicatorDataPoint>
AverageLossGets the EMA for the down days
Gets the EMA for the down days
IndicatorBase<IndicatorDataPoint>
ConsolidatorsThe data consolidators associated with this indicator if any
The data consolidators associated with this indicator if any
ISet<IDataConsolidator>
CurrentGets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the current state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
IsReadyGets a flag indicating when this indicator is ready and fully initialized
Gets a flag indicating when this indicator is ready and fully initialized
bool
MovingAverageTypeGets the type of indicator used to compute AverageGain and AverageLoss
Gets the type of indicator used to compute AverageGain and AverageLoss
MovingAverageType
NameGets a name for this indicator
Gets a name for this indicator
string
PreviousGets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
Gets the previous state of this indicator. If the state has not been updated then the time on the value will equal DateTime.MinValue.
IndicatorDataPoint
SamplesGets the number of samples processed by this indicator
Gets the number of samples processed by this indicator
int
WarmUpPeriodRequired period, in data points, for the indicator to be ready and fully initialized.
Required period, in data points, for the indicator to be ready and fully initialized.
Int32
WindowA rolling window keeping a history of the indicator values of a given period
A rolling window keeping a history of the indicator values of a given period
RollingWindow<IndicatorDataPoint>
[System.Int32]Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
Indexes the history windows, where index 0 is the most recent indicator value. If index is greater or equal than the current count, it returns null. If the index is greater or equal than the window size, it returns null and resizes the windows to i + 1.
IndicatorDataPoint
Visualization
The following image shows plot values of selected properties of RelativeStrengthIndex using the plotly library.
Indicator History
To get the historical data of the RelativeStrengthIndex 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 RelativeStrengthIndexAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var rsi = RSI(_symbol, 14);
var countIndicatorHistory = IndicatorHistory(rsi, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(rsi, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(rsi, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class RelativeStrengthIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
rsi = self.rsi(self._symbol, 14)
count_indicator_history = self.indicator_history(rsi, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(rsi, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(rsi, self._symbol, datetime(2024, 7, 1), datetime(2024, 7, 5), Resolution.MINUTE)
To make the IndicatorHistoryindicator_history method update the indicator with an alternative price field instead of the close (or mid-price) of each bar, pass a selector argument.
var indicatorHistory = IndicatorHistory(rsi, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(rsi, 100, Resolution.MINUTE, lambda bar: bar.high) indicator_history_df = indicator_history.data_frame
If you already have a list of Slice objects, you can pass them to the IndicatorHistoryindicator_history method to avoid the internal history request.
var history = History(_symbol, 100, Resolution.Minute); var historyIndicatorHistory = IndicatorHistory(rsi, history);
To access the properties of the indicator history, invoke the property of each IndicatorDataPoint object.index the DataFrame with the property name.
var averageloss = indicatorHistory.Select(x => ((dynamic)x).AverageLoss).ToList(); var averagegain = indicatorHistory.Select(x => ((dynamic)x).AverageGain).ToList(); // Alternative way // var averageloss = indicatorHistory.Select(x => x["averageloss"]).ToList(); // var averagegain = indicatorHistory.Select(x => x["averagegain"]).ToList();
average_loss = indicator_history_df["average_loss"] average_gain = indicator_history_df["average_gain"] # Alternative way # average_loss = indicator_history_df.average_loss # average_gain = indicator_history_df.average_gain
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