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QuantConnect.Indicators.AugenPriceSpike Class Reference

The Augen Price Spike indicator is an indicator that measures price changes in terms of standard deviations. In the book, The Volatility Edge in Options Trading, Jeff Augen describes a method for tracking absolute price changes in terms of recent volatility, using the standard deviation. More...

Inheritance diagram for QuantConnect.Indicators.AugenPriceSpike:
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Public Member Functions

 AugenPriceSpike (int period=3)
 Initializes a new instance of the AugenPriceSpike class using the specified period More...
 
 AugenPriceSpike (string name, int period)
 Creates a new AugenPriceSpike indicator with the specified period More...
 
override void Reset ()
 Resets this indicator to its initial state More...
 

Public Attributes

override bool IsReady => _rollingData.IsReady && _standardDeviation.IsReady
 Gets a flag indicating when the indicator is ready and fully initialized More...
 

Protected Member Functions

override decimal ComputeNextValue (IndicatorDataPoint input)
 Computes the next value for this indicator from the given state. More...
 
- Protected Member Functions inherited from QuantConnect.Indicators.Indicator
 Indicator (string name)
 Initializes a new instance of the Indicator class using the specified name. More...
 

Properties

int WarmUpPeriod [get]
 Required period, in data points, for the indicator to be ready and fully initialized. More...
 
- Properties inherited from QuantConnect.Indicators.Indicator
static int DefaultWindowSize = 2 [get]
 The default size of the history window for the indicator More...
 
- Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int WarmUpPeriod [get]
 Required period, in data points, for the indicator to be ready and fully initialized. More...
 

Detailed Description

The Augen Price Spike indicator is an indicator that measures price changes in terms of standard deviations. In the book, The Volatility Edge in Options Trading, Jeff Augen describes a method for tracking absolute price changes in terms of recent volatility, using the standard deviation.

length = x closes = closeArray closes1 = closeArray shifted right by 1 closes2 = closeArray shifted right by 2 closeLog = np.log(np.divide(closes1, closes2)) SDev = np.std(closeLog) m = SDev * closes1[-1] spike = (closes[-1]-closes1[-1])/m return spike

Augen Price Spike from TradingView https://www.tradingview.com/script/fC7Pn2X2-Price-Spike-Jeff-Augen/

Definition at line 40 of file AugenPriceSpike.cs.

Constructor & Destructor Documentation

◆ AugenPriceSpike() [1/2]

QuantConnect.Indicators.AugenPriceSpike.AugenPriceSpike ( int  period = 3)

Initializes a new instance of the AugenPriceSpike class using the specified period

Parameters
periodThe period over which to perform to computation

Definition at line 49 of file AugenPriceSpike.cs.

◆ AugenPriceSpike() [2/2]

QuantConnect.Indicators.AugenPriceSpike.AugenPriceSpike ( string  name,
int  period 
)

Creates a new AugenPriceSpike indicator with the specified period

Parameters
nameThe name of this indicator
periodThe period of this indicator

Definition at line 58 of file AugenPriceSpike.cs.

Member Function Documentation

◆ ComputeNextValue()

override decimal QuantConnect.Indicators.AugenPriceSpike.ComputeNextValue ( IndicatorDataPoint  input)
protected

Computes the next value for this indicator from the given state.

Parameters
inputThe input value to this indicator on this time step
Returns
A a value for this indicator

Definition at line 85 of file AugenPriceSpike.cs.

◆ Reset()

override void QuantConnect.Indicators.AugenPriceSpike.Reset ( )

Resets this indicator to its initial state

Definition at line 114 of file AugenPriceSpike.cs.

Member Data Documentation

◆ IsReady

override bool QuantConnect.Indicators.AugenPriceSpike.IsReady => _rollingData.IsReady && _standardDeviation.IsReady

Gets a flag indicating when the indicator is ready and fully initialized

Definition at line 73 of file AugenPriceSpike.cs.

Property Documentation

◆ WarmUpPeriod

int QuantConnect.Indicators.AugenPriceSpike.WarmUpPeriod
get

Required period, in data points, for the indicator to be ready and fully initialized.

Definition at line 78 of file AugenPriceSpike.cs.


The documentation for this class was generated from the following file: