In technical analysis Beta indicator is used to measure volatility or risk of a target (ETF) relative to the overall risk (volatility) of the reference (market indexes). The Beta indicators compares target's price movement to the movements of the indexes over the same period of time. More...
Public Member Functions | |
| Beta (string name, Symbol targetSymbol, Symbol referenceSymbol, int period) | |
| Creates a new Beta indicator with the specified name, target, reference, and period values More... | |
| Beta (Symbol targetSymbol, Symbol referenceSymbol, int period) | |
| Creates a new Beta indicator with the specified target, reference, and period values More... | |
| Beta (string name, int period, Symbol targetSymbol, Symbol referenceSymbol) | |
| Creates a new Beta indicator with the specified name, period, target and reference values More... | |
| override void | Reset () |
| Resets this indicator to its initial state More... | |
Public Attributes | |
| override bool | IsReady => _targetDataPoints.Samples >= WarmUpPeriod && _referenceDataPoints.Samples >= WarmUpPeriod |
| Gets a flag indicating when the indicator is ready and fully initialized More... | |
Protected Member Functions | |
| override decimal | ComputeNextValue (IBaseDataBar input) |
| Computes the next value for this indicator from the given state. More... | |
 Protected Member Functions inherited from QuantConnect.Indicators.BarIndicator | |
| BarIndicator (string name) | |
| Creates a new TradeBarIndicator with 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.IIndicatorWarmUpPeriodProvider | |
| int | WarmUpPeriod [get] |
| Required period, in data points, for the indicator to be ready and fully initialized. More... | |
Detailed Description
In technical analysis Beta indicator is used to measure volatility or risk of a target (ETF) relative to the overall risk (volatility) of the reference (market indexes). The Beta indicators compares target's price movement to the movements of the indexes over the same period of time.
It is common practice to use the SPX index as a benchmark of the overall reference market when it comes to Beta calculations.
Constructor & Destructor Documentation
◆ Beta() [1/3]
| QuantConnect.Indicators.Beta.Beta | ( | string | name, |
| Symbol | targetSymbol, | ||
| Symbol | referenceSymbol, | ||
| int | period | ||
| ) |
Creates a new Beta indicator with the specified name, target, reference,
and period values
- Parameters
-
name The name of this indicator targetSymbol The target symbol of this indicator period The period of this indicator referenceSymbol The reference symbol of this indicator
◆ Beta() [2/3]
◆ Beta() [3/3]
| QuantConnect.Indicators.Beta.Beta | ( | string | name, |
| int | period, | ||
| Symbol | targetSymbol, | ||
| Symbol | referenceSymbol | ||
| ) |
Creates a new Beta indicator with the specified name, period, target and reference values
- Parameters
-
name The name of this indicator period The period of this indicator targetSymbol The target symbol of this indicator referenceSymbol The reference symbol of this indicator
Constructor overload for backward compatibility.
Member Function Documentation
◆ ComputeNextValue()
|
protected |
Computes the next value for this indicator from the given state.
As this indicator is receiving data points from two different symbols, it's going to compute the next value when the amount of data points of each of them is the same. Otherwise, it will return the last beta value computed
- Parameters
-
input The input value of this indicator on this time step. It can be either from the target or the reference symbol
- Returns
- The beta value of the target used in relation with the reference
◆ Reset()
| override void QuantConnect.Indicators.Beta.Reset | ( | ) |
Member Data Documentation
◆ IsReady
| override bool QuantConnect.Indicators.Beta.IsReady => _targetDataPoints.Samples >= WarmUpPeriod && _referenceDataPoints.Samples >= WarmUpPeriod |
Property Documentation
◆ WarmUpPeriod
|
get |
The documentation for this class was generated from the following file:
- Indicators/Beta.cs
