Implement WaveTrendOscillator (bar indicator) per the linked issue. Adds
the indicator class, the WTO helper in QCAlgorithm.Indicators.cs, unit
tests inheriting CommonIndicatorTests<IBaseDataBar>, and the reference
CSV under Tests/TestData/.
The oscillator is computed from the typical price (HLC/3): an EMA
smooths it (ESA), a second EMA tracks its absolute deviation (D), the
normalized channel index (HLC3 - ESA) / (0.015 * D) is smoothed by a
third EMA to produce WT1, and an SMA of WT1 produces the signal line
WT2. Crossovers between WT1 and WT2 are commonly used as entry and exit
signals for momentum reversals.
Reference values were generated with TA-Lib (talib.EMA + talib.SMA)
following the script posted by @LouisSzeto in the issue thread.
Co-authored-by: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
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* Implements Covariance as Lean Indicator
* Add COV helper method and fix AcceptsVolumeRenkoBarsAsInput test
* Fix AcceptsRenkoBarsAsInput test to use smaller period for faster execution
* Fix slow Renko tests by limiting data processed to 50 rows
* Add 2026 HKFE Future holidays & early closes
* rebase Add 2026 Future-cme-equity Holidays, Early closes, late opens
* Add (again) HKFE 2026 Holidays and early closes
* Add Future-cme-interest 2026 holidays
* Add 2026 CME Fx 2026 holidays"
- Add 2026 CME Fx holidays, early closes, late opens, bank holidays
- Exclude CNH, MNH and MIR as they expire rules don't consider US
Holidays
- Fix wrong early close on 12/24/2025 from 12:15 to 12:45
* Add CME Future crypto 2026 Holidays, EC, LO & BH
* Add CME Future Energy 2026 holidays, EC, LO, BH
* Add CME Futures metals holidays, ec, lo, bh
* Add CME Futures grains 2026 holidays, ec, lo, bh
* Add CME Futures Dairy 2026 holidays, ec, lo, bh
* Add CME Futures livestock holidays, ec, lo, bh
* Add CME Future Lumber holidays, ec, lo, bh
* Add CME Futures Softs holidays, ec, lo, bh
* Add CME Futures Oilseeds holidays, ec, lo, bh
* Add CME Futures AW, GD Holidays, EC, LO and BH
* Move repeated bank holidays to generic entries
* Nit change
* Solve bug
Since 11/26/2026 is a bank holiday for CME energy futures, the expiry
date is moved to 11/25/2026 as the expiry date for HH is the third last
business day of the month prior to the contract month
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* initial draft changes
* Saving draft changes for TD Sequential Implementation
* Fixed failing tests
* Refactoring changes
* Additional refactoring to TDSequential
* Added tests
* Incorporated review comments
* reverted changes to older file
* Updated for review comment
* Updated Buy and Sell Setup Perfect functions based on review comment to remove equality operator
* Added SupportPrice and ResistancePrice as read-only public properties to expose the internal _resistance and _support prices
* Changed return value of ComputeNextValue to TomDemarkSequentialPhase instead of the encoded value of Phase.StepCount as per review comment
* Updated initialization to include bullish and bearish flip checks
* Refactored and cleaned up based on review comments
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* implements Klinger Volume Oscillator
* preserve newest data file
* improve class summary
* address PR comments, add signal line, use RollingWindow to persist data, refactor code to make easier to follow
* add helper method KVO in in QCAlgorithm.Indicators.cs, add Signal test, fix IsReady and WarmUpPeriod
* default signal period for KVO, refactor and improve ComputeNextValue, simplified code
* update comment
* update comment
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* Add bank holidays
* Add missing holidays to MHDB
* Add 2025 new year's eve bank holiday
* Add Columbus day and veterans day to bank holidays
* Add missing bank holidays entry
* Modify FuturesExpiryFunctions
* Add missing change
* Remove empty bankHolidays lists from MHDB
* Address review
* Add tests
* Address review
* Add bank holidays from 2009-2024
* Fix unit and regression tests
* Review bank holidays
* Fix tests
* MHDB tweaks
* Remove Bank holidays from CNH, MNH and MIR
* Add setting for bank holidays disabled by default
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Add unit test reproducing the bug
* Improve unit test
* Apply market hours database updates to instance
Make sure entries are updated instead of overridden so that consumers holding the mhdb can pick up the changes
* Improved unit tests
* Update data folder MHDB entries instead of overriding instance
* Optionally reset custom mhdb entries on reset
* Simplify mhdb reset in live trading
Cleanup and minor fixes
* Ensure symbol properties database updates are picked up by consumers
Update SPDB entries instead of overriding them, just like for the MHDB so that consumers pick up updates after refresh
* Fix for symbol properties update thread safety
* Minor improvements and cleanup
* Mhdb and spdb update logic simplification
* Move "force exchange always open" logic to mhdb
* Simplify symbol properties holder and updates
* Refactor security databases to use a common base class
Introduce BaseSecurityDatabase<T, TEntry> to encapsulate common functionality for MarketHoursDatabase and SymbolPropertiesDatabase.
* Cleanup
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* Implement Squeeze Momentum Indicator
* Create unit test for SqueezeMomentum Indicator
* Update QCAlgorithm with SqueezeMomentum indicator
* Resolved review comments
* Switched to using Keltner indicator instead of manual calculation
* Refactor Squeeze Momentum indicator
- Make the Bollinger Bands and Keltner Channels indicators public.
- In IndicatorBase -> Update, if T is IndicatorDataPoint, then create a new
IndicatorDataPoint.
* Fix issue with regression tests
* Fix unit test
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* Implement Hurst Exponent indicator and unit test
- Implemented Hurst Exponent indicator class
- Created unit tests to validate indicator functionality
- Added helper methods for standard deviation and regression line slope
* Optimize Hurst Exponent calculation
- Removed redundat loops and unnecessary operations.
- Precomputed values fro time lag logarithms to avoid recalculation.
- Simplified logic in ComputeNextValue for better performance.
- Updated and clarified comments for improved readability.
* Refactor HurstExponent indicator
- Made _sumX and _sumX2 fields readonly.
- Updated loop for calculating time lag differences to avoid out of
bound.
- Renamed lookbackPeriod with period.
- Replaced DateTime.Now with a fixed date.
* Default Data to null for ETFConstituentUniverses.
The data collection will be assigned only if needed. This allows data column to be filtered from dataframes since it will always be null for all constituents.
* Make base data collection aggregator reader fall back to BaseDataCollection
After instatiating the collection type, fall back to the base BaseDataCollection to aggregate data if the type is not a base data collection.
* Minor change
* Minor change
* Update pythonnet to 2.0.41
* Ignore data column for every flattened universe dataframe
* Filter empty collections columns in data frames
* Allow snake case named attributes in PythonSlice
* Remove PythonSlice Data Python class
Pythonnet handles dynamic objects behavior
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* Adjust lower-resolution fill-forwarded daily bars when strict end times is enabled
This allows to get fill-forwarded bars with unchanged time stamps
* Minor fixes
* Minor test data changes
* Fixes and comments
* Address peer review and add some fixes
* Minor fix and add regression algorithm
* Minor fix
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* Initial implementation of MAMA indicator and tests
* Implemented Mesa Adaptive Moving Average (MAMA) indicator
- Implemented the MAMA indicator.
- Created methods with overloads to support custom and default
fastLimit/slowLimit
- Included necessary logic to calculate the mesa adaptive moving average
based on John's formula.
- Created unit tests to validate MAMA's behaviour.
* Refactor Mesa Adaptive Moving Average(MAMA)
- Separated the logic into smaller functions for better maintainability.
- Improved variable names to reflec their purpose.
- Updated comments to reflect changes and improve readability.
- Consolidated MAMA method overlaod by using default parameters values.
* Refactor variables and update method parameters
- Renamed variables for better clarity.
- Updated method to use 'IBaseDataBar' instead of 'TradeBar'
- Used 'MAMA({fastLimit}, {slowLimit}) instead of just 'MAMA'
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* Add Connors Relative Strength Index(CRSI) Indicator
- Implemented CRSI combining RSI, Streak RSI, and ROC
- Added unit tests for CRSI calculation to ensure correctness and
reliability.
- Inclued the spy_crsi.csv file for testing purposes and validation of
CRSI logic.
* Refactor CRSI indicator
- Updated the CRSI logic to use Percent Change of Daily Returns instead
of ROC.
- Modified the ConnorsRelativeStrengthIndex class:
- Updated ComputeNextValue to calculate daily returns and relative
magnitude
- Improved documentation and comments
* Refactor CRSI Indicator:
- Refactored the method that updated the trend streak based on price
changes.
- Created a new method ComputeTrendStreak.
- Added check for null or 0 value in _previousInput.
* Fix comments from code review
- Add _ to priceChangeRatios
- Move _srsi.Update() to the top to avoid duplication
* Add Average Daily Range indicator and tests
- Implemented AverageDailyRange indicator
- The indicator uses a Simple Moving Average (SMA)
- Created unit tests for the indicator
- Includes example input data and test file (spy_adr.csv)
* Refactor AverageDailyRange Indicator
- Renamed AverageDailyRange to AverageRage for a more generic approach
- Replaced explicit types with 'var'
- Updated method name in test cases
- Placed AR method in the correct alphabetical order
* Solving minor issues with AR indicator
- Replace TradeBar with IBaseDataBar
- Remove unnecessary override methods
* Implement Premier Stochastic Oscillator (PSO)
- Added PremierStochasticOscillator class with two Exponential Moving
Averages (_ema1 and _ema2) for double smoothing.
- Implemented PSO computation:
- Normalized Stochastic (nsk) = 0.1 * (Fast%K - 50)
- Double-smoothed Normalized Stochastic
- Added XML documentation for public methods and key calculations.
This commit introduces a new indicator.
* Add license header and adjust spacing
* Refactor Premier Stochastic Oscillator (PSO)
- Renamed smoothing variables for clarity
- Integrated PSO logic directly in ComputeNextValue
- Used IndicatorExtensions for streamlined EMA chaining
- Updated tests to match refactored logic
* Refactor PSO
- Changed "STO" to "PSO"
- Removed unused imports
- Updated private fields
- Minor code cleanup
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* Implemented the vortex indicator.
* changed the vortex.cs calculations
* chore: Refactor VortexTests.cs and QCAlgorithm.Indicators.cs
* Refactor VortexTests.cs
* made changes according to the comments
* used indicator exxtension methods
* made changes in the naming convention and added condition for division by zero.
* Using composite indicators to clean up
---------
Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
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* Default daily precise end times
- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
not appropiate
- Adjust consolidators to emit on daily strict end times if requested
daily resolution and setting enabled
- Updating regression algorithms
* Skip daily data on extended market hours
* Some cleanup and self review
* Revert unrequired change
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* Implements ChandeKrollStop
* readonly
* Move IsReady/WarmUpPeriod above the constructors
* remove private _period
* minor
* rename Stops to Short/Long
* using Maximum/Minimum
* fix tests
* rename some variables and use movingAverageType for ATR
* movingAverageType
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* implement Rogers-Satchell volatility
* naming RSVolat to avoid confusion between volume and volatility
* fix InitializeIndicator call
* fix AcceptsRenkoBarsAsInput test
* add symbol parameter to InitializeIndicator
* Update RogersSatchellVolatility.cs
* some fixes after review
* Return 0 when Open High Low or Close is 0
* IBaseDataBar
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* tests passing except ResetProperly and WarmsUpProperly
* doc
* minor fixes
* doc - return
* fix InitializeIndicator call
* workaround ResetsProperly
* fix WarmsUpProperly test
* remove WriteLine
* remove WriteLine
* cr
* fix data
* open high low defaults to close when these columns don't exist into data
* simplify using ternary operator
* better fix for ResetsProperly
* fix some code conventions issues
* fix some review issues
* Update StochasticRelativeStrengthIndex.cs
* WIP
* All tests are passing except AcceptsRenkoBarsAsInput
* Update QuantConnect.Tests.csproj
* comment formating and use input.EndTime
* fix AcceptsRenkoBarsAsInput test
* fix InitializeIndicator call
* add symbol parameter to InitializeIndicator
* FI above FISH
* Implement new indicator IBS
* remove using System
* typo
* doc fix
* Implement new indicator IBS
* remove using System
* typo
* doc fix
* inherit TradeBarIndicator and return 1m when High=Low
* duplicate spy_with_ibs
* returns 0.5 when High=Low
* Implement new indicator ZLEMA
* Add script to generate reference data from talipp
* Some review fixes
* description
* use isReady
* use Delay(...)
* simplify ComputeNextValue
* Minor tweaks addressing review
* replace DateTime.UtcNow for specific date time instances
* remove unused imports
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Dynamic spdb
* Minor changes and unit test
* Get MHDB and SPDB refresh period from config
* Add databases refresh period to algorithm settings
* Address peer review and add unit test
* Daily data Time & EndTime Improvement
- Adjust daily data Time & EndTime to actually reflect the time of the
data used, for example US Equity from 9.30 to 4PM. Adding new unit and
regression tests
* Refactor solution to use enumerator
- Refactor daily strict end times solution to be through enumerator
usage, so it applies for history providers too
* Minor fixes
* Revert fill forward enumerator change
- Revert FillForward enumerator causing stats changing, enhancing unit
tests
* Some cleanup
* Improve handling of live trading FF enumerator
- Improve handling of live trading FF enumerator, by adding support for
bars to arrive with a delay so we can handle auction close/option
prices or data providers which might have some delay making the data
available. Adding new unit tests asserting the behavior
* Initial boilerplate code
* Fix build failure
* Initial iteration for the code for Derivative Oscillator code
* Add foundation for unit tests
* Add reset method for test
* Add test case
* fixed test cases, all tests pass
* Put placeholder for IsReady change
Not implemented, as test cases fail when change is uncommented
* Update documentation and change class name
* Change names for Derivative Oscillator to more meaningful
* Add DO extension to create the indicator
* Provide variable definitions with var, replace old test file with new
* Use chaining for indicators creation
* Add test based on external data
* Change test file
* Fix WarmUp test + alphabetical order + rename indicator class
* Make all tests run except for external data tests
* Fixed warmup period and fixed the ResetsProperly test case
* Removed unused directives
* Add output directory for Derivative Oscillator test
* Minor tweaks
---------
Co-authored-by: HaentjeGH <l.m.j.haenen@student.tue.nl>
Co-authored-by: ivkozlov <ivkozlov@ozon.ru>
Co-authored-by: DanielVanRijswijk <d.j.v.Rijswijk@student.tue.nl>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Adds Rebate and Fee Rates to Shortable Provider
If the provider does have this information, the rates are zero.
* Adds Helper Methods to QCAlgorithm
- Improve summaries.
- Express values as rates instead of percentages.
- Adds headers to files to emulate real data
* Clarify the Data Format
* Removes Helper Methods from QCAlgorithm
* Removes `Shortable` and `ShortableQuantity` from Example
Algorithms should prefer getting the information from the `Security.ShortableProvider`.
* Allow mirror contract and smoothing IV
* Python wrapper on smoothing IV
* helper method update
* Add forward tree model
* modify and add unit tests and data
* address peer review
* address peer review
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* Implement VaR in PortfolioStatistics
* Added ValueAtRisk indicator
* Refactored ValueAtRiskTests
* Added returns column to test data
* Change indicator helper method name
* Addressed comments
* Chande Variable Index Dynamic Average (VIDYA) Indicator
* Improvements
* Improvements
* Final Changes
* Editted, Retested
* Comments
* Minor Corrections
* Updated Datetime Format of test data to US Standards
---------
Co-authored-by: Pronoy Chowdhury <rokstarr.dbz@outlook.com>
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* Update Future-cme-[*] and Future-cme-ES
Acoording to `pandas_market_calendars` there were some dates in
Future-cme-[*] who wasn't early_closes, so they needed to be removed
from there. On the other hand, the early closes list of Future-cme-ES were
shifted by 1 hour according to CME webpage. Besides, there were some
missing dates.
* Update CME Future entries in MHDB
* Rebase
* nit change
* Fix unit tests
* Resume after early close/halts
* Add missing dates in MHDB and fix bugs in it
* Fix bug, add more unit tests and add docs
* fix regression algos
* address required changes
* Update failing regression test stats
After debugging the tests it was found they were failing due to the last
change on SecurityExchangeHours.IsOpen(). That method wasn't taking into
account that even if there is a late open after an early close if the
timespan is after the early close but before the late open, the market
is still close.
* enhance solution
* Update and fix bugs in MHDB
* Address required changes and update stats
* Update stats after rebase
* Nit change
* Missing update to regression test
* Use MHDB instead of USHoliday for Expiration Dates
VIX expiry function now relies completely on MHDB. However, it had to be
created an entry in MHDB for VIX since there wasn't one for it. CBOE
webpage only provided 2023 holidays so only those dates were considered
in the Holidays entry in MHDB. Therefore, some unit tests failed so it
was necessary to change also the VIX entry in FuturesExpiryFunctionsTestData.xml.
* Remove Global.cs/USHolidays class
* Use a lazy implementation
* First draft of the solution
* Use MHDB in FuturesExpiryFunctions.cs
* Remove unused class and fix indentation errors
* Fix indentation errors
* Nit changes
* Merge branches 7501 and 7506
* Merge changes in 7501 and 7506
In order to check compatibility between those branches, a new branch
was created out of branch 7501 and then it was merged with branch 7506.
2 regression tests and 8 unit tests failed, the regression tests failed on
the DataPoint stats. On the other hand, the unit tests failed since the
default parameter UseEquityHoliday was removed from
FuturesExpirtyUtilityFunctions.AddBusinessDays() and from other methods in
the same class too.
* Add missing changes
* Remove repeated good fridays
* Address minor review
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Alexandre Catarino