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...
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
-
period The 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
-
name The name of this indicator period The period of this indicator
Definition at line 58 of file AugenPriceSpike.cs.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value for this indicator from the given state.
- Parameters
-
input The 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 115 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
|
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:
- Indicators/AugenPriceSpike.cs
