Supported Indicators
Variable Index Dynamic Average
Introduction
This indicator computes the n-period adaptive weighted moving average indicator. VIDYAi = Pricei x F x ABS(CMOi) + VIDYAi-1 x (1 - F x ABS(CMOi)) where: VIDYAi - is the value of the current period. Pricei - is the source price of the period being calculated. F = 2/(Period_EMA+1) - is a smoothing factor. ABS(CMOi) - is the absolute current value of CMO. VIDYAi-1 - is the value of the period immediately preceding the period being calculated.
To view the implementation of this indicator, see the LEAN GitHub repository.
Using VariableIndexDynamicAverage Indicator
To create an automatic indicators for VariableIndexDynamicAverage, call the VariableIndexDynamicAverage helper method from the QCAlgorithm class. The VariableIndexDynamicAverage method creates a VariableIndexDynamicAverage 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 VariableIndexDynamicAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private VariableIndexDynamicAverage _variableindexdynamicaverage;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_variableindexdynamicaverage = VariableIndexDynamicAverage(_symbol);
}
public override void OnData(Slice data)
{
if (_variableindexdynamicaverage.IsReady)
{
// The current value of _variableindexdynamicaverage is represented by itself (_variableindexdynamicaverage)
// or _variableindexdynamicaverage.Current.Value
Plot("VariableIndexDynamicAverage", "variableindexdynamicaverage", _variableindexdynamicaverage);
}
}
} class VariableIndexDynamicAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.variableindexdynamicaverage = self.VariableIndexDynamicAverage(self.symbol)
def on_data(self, slice: Slice) -> None:
if self.variableindexdynamicaverage.IsReady:
# The current value of self.variableindexdynamicaverage is represented by self.variableindexdynamicaverage.Current.Value
self.plot("VariableIndexDynamicAverage", "variableindexdynamicaverage", self.variableindexdynamicaverage.Current.Value)
The following reference table describes the VariableIndexDynamicAverage method:
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 VariableIndexDynamicAverage 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 VariableIndexDynamicAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private VariableIndexDynamicAverage _variableindexdynamicaverage;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_variableindexdynamicaverage = new VariableIndexDynamicAverage();
}
public override void OnData(Slice data)
{
if (data.Bars.TryGetValue(_symbol, out var bar))
{
_variableindexdynamicaverage.Update(bar.EndTime, bar.Close);
}
if (_variableindexdynamicaverage.IsReady)
{
// The current value of _variableindexdynamicaverage is represented by itself (_variableindexdynamicaverage)
// or _variableindexdynamicaverage.Current.Value
Plot("VariableIndexDynamicAverage", "variableindexdynamicaverage", _variableindexdynamicaverage);
}
}
} class VariableIndexDynamicAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.variableindexdynamicaverage = VariableIndexDynamicAverage()
def on_data(self, slice: Slice) -> None:
bar = slice.Bars.get(self.symbol)
if bar:
self.variableindexdynamicaverage.Update(bar.EndTime, bar.Close)
if self.variableindexdynamicaverage.IsReady:
# The current value of self.variableindexdynamicaverage is represented by self.variableindexdynamicaverage.Current.Value
self.plot("VariableIndexDynamicAverage", "variableindexdynamicaverage", self.variableindexdynamicaverage.Current.Value)
To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.
public class VariableIndexDynamicAverageAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private VariableIndexDynamicAverage _variableindexdynamicaverage;
public override void Initialize()
{
_symbol = AddEquity("SPY", Resolution.Daily).Symbol;
_variableindexdynamicaverage = new VariableIndexDynamicAverage();
RegisterIndicator(_symbol, _variableindexdynamicaverage, Resolution.Daily);
}
public override void OnData(Slice data)
{
if (_variableindexdynamicaverage.IsReady)
{
// The current value of _variableindexdynamicaverage is represented by itself (_variableindexdynamicaverage)
// or _variableindexdynamicaverage.Current.Value
Plot("VariableIndexDynamicAverage", "variableindexdynamicaverage", _variableindexdynamicaverage);
}
}
} class VariableIndexDynamicAverageAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self._symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
self.variableindexdynamicaverage = VariableIndexDynamicAverage()
self.RegisterIndicator(self.symbol, self.variableindexdynamicaverage, Resolution.Daily)
def on_data(self, slice: Slice) -> None:
if self.variableindexdynamicaverage.IsReady:
# The current value of self.variableindexdynamicaverage is represented by self.variableindexdynamicaverage.Current.Value
self.plot("VariableIndexDynamicAverage", "variableindexdynamicaverage", self.variableindexdynamicaverage.Current.Value)
The following reference table describes the VariableIndexDynamicAverage constructor:
VariableIndexDynamicAverage()1/2
VariableIndexDynamicAverage QuantConnect.Indicators.VariableIndexDynamicAverage (
int period
)
Initializes a new instance of the VariableIndexDynamicAverage class using the specified period.
VariableIndexDynamicAverage()2/2
VariableIndexDynamicAverage QuantConnect.Indicators.VariableIndexDynamicAverage (
string name,
int period
)
Initializes a new instance of the VariableIndexDynamicAverage class using the specified name and period.
Visualization
The following image shows plot values of selected properties of VariableIndexDynamicAverage using the plotly library.
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