Supported Indicators
Super Trend
Introduction
Super trend indicator. Formula can be found here via the excel file: https://tradingtuitions.com/supertrend-indicator-excel-sheet-with-realtime-buy-sell-signals/
To view the implementation of this indicator, see the LEAN GitHub repository.
Using STR Indicator
To create an automatic indicators for SuperTrend, call the STR helper method from the QCAlgorithm class. The STR method creates a SuperTrend 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 SuperTrendAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private SuperTrend _str;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_str = STR(_symbol, 20, 2, MovingAverageType.Wilders);
}
public override void OnData(Slice data)
{
if (_str.IsReady)
{
// The current value of _str is represented by itself (_str)
// or _str.Current.Value
Plot("SuperTrend", "str", _str);
// Plot all properties of str
Plot("SuperTrend", "basicupperband", _str.BasicUpperBand);
Plot("SuperTrend", "basiclowerband", _str.BasicLowerBand);
Plot("SuperTrend", "currenttrailingupperband", _str.CurrentTrailingUpperBand);
Plot("SuperTrend", "currenttrailinglowerband", _str.CurrentTrailingLowerBand);
}
}
} class SuperTrendAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._str = self.str(self._symbol, 20, 2, MovingAverageType.Wilders)
def on_data(self, slice: Slice) -> None:
if self._str.is_ready:
# The current value of self._str is represented by self._str.current.value
self.plot("SuperTrend", "str", self._str.current.value)
# Plot all attributes of self._str
self.plot("SuperTrend", "basic_upper_band", self._str.basic_upper_band)
self.plot("SuperTrend", "basic_lower_band", self._str.basic_lower_band)
self.plot("SuperTrend", "current_trailing_upper_band", self._str.current_trailing_upper_band)
self.plot("SuperTrend", "current_trailing_lower_band", self._str.current_trailing_lower_band)
The following reference table describes the STR method:
str(symbol, period, multiplier, moving_average_type=2, resolution=None, selector=None)[source]Creates a new SuperTrend indicator.
- symbol (Symbol) — The symbol whose SuperTrend indicator we want.
- period (int) — The smoothing period for average true range.
- multiplier (float) — Multiplier to calculate basic upper and lower bands width.
- moving_average_type (MovingAverageType, optional) — Smoother type for average true range, defaults to Wilders.
- resolution (Resolution, optional) — The resolution.
- selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
STR(symbol, period, multiplier, movingAverageType=2, resolution=None, selector=None)[source]Creates a new SuperTrend indicator.
- symbol (Symbol) — The symbol whose SuperTrend indicator we want.
- period (Int32) — The smoothing period for average true range.
- multiplier (decimal) — Multiplier to calculate basic upper and lower bands width.
- movingAverageType (MovingAverageType, optional) — Smoother type for average true range, defaults to Wilders.
- resolution (Resolution, optional) — The resolution.
- selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
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 SuperTrend 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 a TradeBar or QuoteBar. The indicator will only be ready after you prime it with enough data.
public class SuperTrendAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private SuperTrend _str;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_str = new SuperTrend(20, 2, MovingAverageType.Wilders);
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_str.Update(bar);
}
if (_str.IsReady)
{
// The current value of _str is represented by itself (_str)
// or _str.Current.Value
Plot("SuperTrend", "str", _str);
// Plot all properties of str
Plot("SuperTrend", "basicupperband", _str.BasicUpperBand);
Plot("SuperTrend", "basiclowerband", _str.BasicLowerBand);
Plot("SuperTrend", "currenttrailingupperband", _str.CurrentTrailingUpperBand);
Plot("SuperTrend", "currenttrailinglowerband", _str.CurrentTrailingLowerBand);
}
}
} class SuperTrendAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._str = SuperTrend(20, 2, MovingAverageType.Wilders)
def on_data(self, slice: Slice) -> None:
bar = slice.bars.get(self._symbol)
if bar:
self._str.update(bar)
if self._str.is_ready:
# The current value of self._str is represented by self._str.current.value
self.plot("SuperTrend", "str", self._str.current.value)
# Plot all attributes of self._str
self.plot("SuperTrend", "basic_upper_band", self._str.basic_upper_band)
self.plot("SuperTrend", "basic_lower_band", self._str.basic_lower_band)
self.plot("SuperTrend", "current_trailing_upper_band", self._str.current_trailing_upper_band)
self.plot("SuperTrend", "current_trailing_lower_band", self._str.current_trailing_lower_band)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicatorregister_indicator method.
public class SuperTrendAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private SuperTrend _str;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_str = new SuperTrend(20, 2, MovingAverageType.Wilders);
RegisterIndicator(_symbol, _str, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_str.IsReady)
{
// The current value of _str is represented by itself (_str)
// or _str.Current.Value
Plot("SuperTrend", "str", _str);
}
}
} class SuperTrendAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self._str = SuperTrend(20, 2, MovingAverageType.Wilders)
self.register_indicator(self._symbol, self._str, Resolution.DAILY)
def on_data(self, slice: Slice) -> None:
if self._str.is_ready:
# The current value of self._str is represented by self._str.current.value
self.plot("SuperTrend", "str", self._str.current.value)
The following reference table describes the SuperTrend constructor:
SuperTrend
Super trend indicator. Formula can be found here via the excel file: https://tradingtuitions.com/supertrend-indicator-excel-sheet-with-realtime-buy-sell-signals/
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
basic_lower_bandBasic Lower band
Basic Lower band
float
basic_upper_bandBasic Upper Band
Basic Upper Band
float
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
current_trailing_lower_bandCurrent Trailing Lower Band
Current Trailing Lower Band
float
current_trailing_upper_bandCurrent Trailing Upper Band
Current Trailing Upper Band
float
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
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]
SuperTrend
Super trend indicator. Formula can be found here via the excel file: https://tradingtuitions.com/supertrend-indicator-excel-sheet-with-realtime-buy-sell-signals/
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
BasicLowerBandBasic Lower band
Basic Lower band
decimal
BasicUpperBandBasic Upper Band
Basic Upper Band
decimal
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
CurrentTrailingLowerBandCurrent Trailing Lower Band
Current Trailing Lower Band
decimal
CurrentTrailingUpperBandCurrent Trailing Upper Band
Current Trailing Upper Band
decimal
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
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 SuperTrend using the plotly library.
Indicator History
To get the historical data of the SuperTrend 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 SuperTrendAlgorithm : QCAlgorithm
{
private Symbol _symbol;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
var str = STR(_symbol, 20, 2, MovingAverageType.Wilders);
var countIndicatorHistory = IndicatorHistory(str, _symbol, 100, Resolution.Minute);
var timeSpanIndicatorHistory = IndicatorHistory(str, _symbol, TimeSpan.FromDays(10), Resolution.Minute);
var timePeriodIndicatorHistory = IndicatorHistory(str, _symbol, new DateTime(2024, 7, 1), new DateTime(2024, 7, 5), Resolution.Minute);
}
} class SuperTrendAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
str = self.str(self._symbol, 20, 2, MovingAverageType.Wilders)
count_indicator_history = self.indicator_history(str, self._symbol, 100, Resolution.MINUTE)
timedelta_indicator_history = self.indicator_history(str, self._symbol, timedelta(days=10), Resolution.MINUTE)
time_period_indicator_history = self.indicator_history(str, 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(str, 100, Resolution.Minute, (bar) => ((TradeBar)bar).High);
indicator_history = self.indicator_history(str, 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(str, history);
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