Supported Indicators
Target Downside Deviation
Introduction
This indicator computes the n-period target downside deviation. The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0. Reference: https://www.cmegroup.com/education/files/rr-sortino-a-sharper-ratio.pdf
To view the implementation of this indicator, see the LEAN GitHub repository.
Using TDD Indicator
To create an automatic indicators for TargetDownsideDeviation
, call the TDD
helper method from the QCAlgorithm
class. The TDD
method creates a TargetDownsideDeviation
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 TargetDownsideDeviationAlgorithm : QCAlgorithm { private Symbol _symbol; private TargetDownsideDeviation _tdd; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _tdd = TDD(_symbol, 50); } public override void OnData(Slice data) { if (_tdd.IsReady) { // The current value of _tdd is represented by itself (_tdd) // or _tdd.Current.Value Plot("TargetDownsideDeviation", "tdd", _tdd); } } }
class TargetDownsideDeviationAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.tdd = self.TDD(self.symbol, 50) def OnData(self, slice: Slice) -> None: if self.tdd.IsReady: # The current value of self.tdd is represented by self.tdd.Current.Value self.Plot("TargetDownsideDeviation", "tdd", self.tdd.Current.Value)
The following reference table describes the TDD
method:
TDD()1/1
TargetDownsideDeviation QuantConnect.Algorithm.QCAlgorithm.TDD (Symbol
symbol,Int32
period,*Double
minimumAcceptableReturn,*Nullable<Resolution>
resolution,*Func<IBaseData, Decimal>
selector )
Creates a new TargetDownsideDeviation indicator. The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0.
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 TargetDownsideDeviation
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 TargetDownsideDeviationAlgorithm : QCAlgorithm { private Symbol _symbol; private TargetDownsideDeviation _tdd; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _tdd = new TargetDownsideDeviation(TargetDownsideDeviation(50), RateOfChange(1)); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _tdd.Update(bar.EndTime, bar.Close); } if (_tdd.IsReady) { // The current value of _tdd is represented by itself (_tdd) // or _tdd.Current.Value Plot("TargetDownsideDeviation", "tdd", _tdd); } } }
class TargetDownsideDeviationAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.tdd = TargetDownsideDeviation(TargetDownsideDeviation(50), RateOfChange(1)) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.tdd.Update(bar.EndTime, bar.Close) if self.tdd.IsReady: # The current value of self.tdd is represented by self.tdd.Current.Value self.Plot("TargetDownsideDeviation", "tdd", self.tdd.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class TargetDownsideDeviationAlgorithm : QCAlgorithm { private Symbol _symbol; private TargetDownsideDeviation _tdd; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _tdd = new TargetDownsideDeviation(TargetDownsideDeviation(50), RateOfChange(1)); RegisterIndicator(_symbol, _tdd, Resolution.Daily); } public override void OnData(Slice data) { if (_tdd.IsReady) { // The current value of _tdd is represented by itself (_tdd) // or _tdd.Current.Value Plot("TargetDownsideDeviation", "tdd", _tdd); } } }
class TargetDownsideDeviationAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.tdd = TargetDownsideDeviation(TargetDownsideDeviation(50), RateOfChange(1)) self.RegisterIndicator(self.symbol, self.tdd, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.tdd.IsReady: # The current value of self.tdd is represented by self.tdd.Current.Value self.Plot("TargetDownsideDeviation", "tdd", self.tdd.Current.Value)
The following reference table describes the TargetDownsideDeviation
constructor:
TargetDownsideDeviation()1/2
TargetDownsideDeviation QuantConnect.Indicators.TargetDownsideDeviation (int
period,*double
minimumAcceptableReturn )
return are treated as underperformance of 0.
TargetDownsideDeviation()2/2
TargetDownsideDeviation QuantConnect.Indicators.TargetDownsideDeviation (string
name,int
period,*double
minimumAcceptableReturn )
return are treated as underperformance of 0.
Visualization
The following image shows plot values of selected properties of TargetDownsideDeviation
using the plotly library.
