Supported Indicators
True Strength Index
Introduction
This indicator computes the True Strength Index (TSI). The True Strength Index is calculated as explained here: https://school.stockcharts.com/doku.php?id=technical_indicators:True_strength_index Briefly, the calculation has three steps: 1. Smooth the momentum and the absolute momentum by getting an EMA of them (typically of period 25) 2. Double smooth the momentum and the absolute momentum by getting an EMA of their EMA (typically of period 13) 3. The TSI formula itself: divide the double-smoothed momentum over the double-smoothed absolute momentum and multiply by 100 The signal is typically a 7-to-12-EMA of the TSI.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using TSI Indicator
To create an automatic indicators for TrueStrengthIndex
, call the TSI
helper method from the QCAlgorithm
class. The TSI
method creates a TrueStrengthIndex
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 TrueStrengthIndexAlgorithm : QCAlgorithm { private Symbol _symbol; private TrueStrengthIndex _tsi; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _tsi = TSI(_symbol, 25, 13, 7, MovingAverageType.Exponential); } public override void OnData(Slice data) { if (_tsi.IsReady) { // The current value of _tsi is represented by itself (_tsi) // or _tsi.Current.Value Plot("TrueStrengthIndex", "tsi", _tsi); // Plot all properties of tsi Plot("TrueStrengthIndex", "signal", _tsi.Signal); } } }
class TrueStrengthIndexAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.tsi = self.TSI(self.symbol, 25, 13, 7, MovingAverageType.Exponential) def OnData(self, slice: Slice) -> None: if self.tsi.IsReady: # The current value of self.tsi is represented by self.tsi.Current.Value self.Plot("TrueStrengthIndex", "tsi", self.tsi.Current.Value) # Plot all attributes of self.tsi self.Plot("TrueStrengthIndex", "signal", self.tsi.Signal.Current.Value)
The following reference table describes the TSI
method:
TSI()1/1
TrueStrengthIndex QuantConnect.Algorithm.QCAlgorithm.TSI (Symbol
symbol,*Int32
longTermPeriod,*Int32
shortTermPeriod,*Int32
signalPeriod,*MovingAverageType
signalType,*Nullable<Resolution>
resolution,*Func<IBaseData, Decimal>
selector )
Creates a TrueStrengthIndex 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 TrueStrengthIndex
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 TrueStrengthIndexAlgorithm : QCAlgorithm { private Symbol _symbol; private TrueStrengthIndex _tsi; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _tsi = new TrueStrengthIndex(25, 13, 7, MovingAverageType.Exponential); } public override void OnData(Slice data) { if (data.Bars.TryGeValue(_symbol, out var bar)) { _tsi.Update(bar.EndTime, bar.Close); } if (_tsi.IsReady) { // The current value of _tsi is represented by itself (_tsi) // or _tsi.Current.Value Plot("TrueStrengthIndex", "tsi", _tsi); // Plot all properties of tsi Plot("TrueStrengthIndex", "signal", _tsi.Signal); } } }
class TrueStrengthIndexAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.tsi = TrueStrengthIndex(25, 13, 7, MovingAverageType.Exponential) def OnData(self, slice: Slice) -> None: bar = slice.Bars.get(self.symbol) if bar: self.tsi.Update(bar.EndTime, bar.Close) if self.tsi.IsReady: # The current value of self.tsi is represented by self.tsi.Current.Value self.Plot("TrueStrengthIndex", "tsi", self.tsi.Current.Value) # Plot all attributes of self.tsi self.Plot("TrueStrengthIndex", "signal", self.tsi.Signal.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator
method.
public class TrueStrengthIndexAlgorithm : QCAlgorithm { private Symbol _symbol; private TrueStrengthIndex _tsi; public override void Initialize() { _symbol = AddEquity("SPY", Resolution.Daily).Symbol; _tsi = new TrueStrengthIndex(25, 13, 7, MovingAverageType.Exponential); RegisterIndicator(_symbol, _tsi, Resolution.Daily); } public override void OnData(Slice data) { if (_tsi.IsReady) { // The current value of _tsi is represented by itself (_tsi) // or _tsi.Current.Value Plot("TrueStrengthIndex", "tsi", _tsi); // Plot all properties of tsi Plot("TrueStrengthIndex", "signal", _tsi.Signal); } } }
class TrueStrengthIndexAlgorithm(QCAlgorithm): def Initialize(self) -> None: self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol self.tsi = TrueStrengthIndex(25, 13, 7, MovingAverageType.Exponential) self.RegisterIndicator(self.symbol, self.tsi, Resolution.Daily) def OnData(self, slice: Slice) -> None: if self.tsi.IsReady: # The current value of self.tsi is represented by self.tsi.Current.Value self.Plot("TrueStrengthIndex", "tsi", self.tsi.Current.Value) # Plot all attributes of self.tsi self.Plot("TrueStrengthIndex", "signal", self.tsi.Signal.Current.Value)
The following reference table describes the TrueStrengthIndex
constructor:
TrueStrengthIndex()1/2
TrueStrengthIndex QuantConnect.Indicators.TrueStrengthIndex (*int
shortTermPeriod,*int
longTermPeriod,*int
signalPeriod,*MovingAverageType
signalType )
Initializes a new instance of the TrueStrengthIndex
class using the specified short and long term smoothing periods, and the signal period and type.
TrueStrengthIndex()2/2
TrueStrengthIndex QuantConnect.Indicators.TrueStrengthIndex (string
name,*int
shortTermPeriod,*int
longTermPeriod,*int
signalPeriod,*MovingAverageType
signalType )
Initializes a new instance of the TrueStrengthIndex
class using the specified name, the short and long term smoothing periods, and the signal period and type.
Visualization
The following image shows plot values of selected properties of TrueStrengthIndex
using the plotly library.
