Reading and Enumerating Indicator History Windows
Summary
This demonstration explains how to retain and inspect recent values from a technical indicator and one of its component indicators. It creates daily SPY data and a 20-period Bollinger Band, then expands the history windows for both the full indicator and its middle band to hold 20 observations.
Processing waits until the Bollinger Band window is ready. The example then accesses the current and oldest stored values and iterates over the retained observations, logging their timestamps and values. It shows how an indicator history window can support inspection of recent indicator behavior inside an algorithm. The document is a programming demonstration rather than a trading strategy: it provides no entry or exit rules, performance results, or evidence that a particular use of the stored values is profitable. Its example covers one indicator, one component, and daily equity data.
Key ideas
- A Bollinger Band indicator can retain a configurable window of recent observations.
- The algorithm waits until the history window is ready before reading it.
- Indexing and iteration expose the current, oldest, and intervening indicator values.
- Component indicators, such as the middle band, have their own history windows.
Tags
Full text
# IndicatorHistoryAlgorithm
# IndicatorHistoryAlgorithm
Demonstration algorithm of indicators history window usage.
Demonstration algorithm of indicators history window usage
## Source (Apache-2.0)
```python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from AlgorithmImports import *
### <summary>
### Demonstration algorithm of indicators history window usage
### </summary>
class IndicatorHistoryAlgorithm(QCAlgorithm):
'''Demonstration algorithm of indicators history window usage.'''
def initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.set_start_date(2013, 1, 1)
self.set_end_date(2014, 12, 31)
self.set_cash(25000)
self._symbol = self.add_equity("SPY", Resolution.DAILY).symbol
self.bollinger_bands = self.bb(self._symbol, 20, 2.0, resolution=Resolution.DAILY)
# Let's keep BB values for a 20 day period
self.bollinger_bands.window.size = 20
# Also keep the same period of data for the middle band
self.bollinger_bands.middle_band.window.size = 20
def on_data(self, slice: Slice):
# Let's wait for our indicator to fully initialize and have a full window of history data
if not self.bollinger_bands.window.is_ready: return
# We can access the current and oldest (in our period) values of the indicator
self.log(f"Current BB value: {self.bollinger_bands[0].end_time} - {self.bollinger_bands[0].value}")
self.log(f"Oldest BB value: {self.bollinger_bands[self.bollinger_bands.window.count - 1].end_time} - "
f"{self.bollinger_bands[self.bollinger_bands.window.count - 1].value}")
# Let's log the BB values for the last 20 days, for demonstration purposes on how it can be enumerated
for data_point in self.bollinger_bands:
self.log(f"BB @{data_point.end_time}: {data_point.value}")
# We can also do the same for internal indicators:
middle_band = self.bollinger_bands.middle_band
self.log(f"Current BB Middle Band value: {middle_band[0].end_time} - {middle_band[0].value}")
self.log(f"Oldest BB Middle Band value: {middle_band[middle_band.window.count - 1].end_time} - "
f"{middle_band[middle_band.window.count - 1].value}")
for data_point in middle_band:
self.log(f"BB Middle Band @{data_point.end_time}: {data_point.value}")
# We are done now!
self.quit()
```Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.