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...

Inheritance diagram for QuantConnect.Indicators.Beta:

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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 Member Functions inherited from QuantConnect.Indicators.DualSymbolIndicator< decimal >
override void	Reset ()
	Resets this indicator to its initial state More...

Public Attributes
override bool	IsReady => _targetReturns.IsReady && _referenceReturns.IsReady
	Gets a flag indicating when the indicator is ready and fully initialized More...

Protected Member Functions
override void	AddDataPoint (IBaseDataBar input)
	Adds the closing price to the corresponding symbol's data set (target or reference). Computes returns when there are enough data points for each symbol. More...

override void	ComputeIndicator ()
	Computes the beta value of the target in relation with the reference using the target and reference returns More...

Protected Member Functions inherited from QuantConnect.Indicators.DualSymbolIndicator< decimal >
	DualSymbolIndicator (string name, Symbol targetSymbol, Symbol referenceSymbol, int period)
	Initializes the dual symbol indicator. More...

override decimal	ComputeNextValue (IBaseDataBar input)
	Checks and computes the indicator if the input data matches. This method ensures the input data points are from matching time periods and different symbols. More...

abstract void	AddDataPoint (IBaseDataBar input)
	Adds the closing price to the corresponding symbol's data set (target or reference). This method stores the data points for each symbol and performs specific calculations based on the symbol. For instance, it computes returns in the case of the Beta indicator. More...

Additional Inherited Members
Properties inherited from QuantConnect.Indicators.DualSymbolIndicator< decimal >
RollingWindow< T >	TargetDataPoints `[get]`
	RollingWindow to store the data points of the target symbol More...

RollingWindow< T >	ReferenceDataPoints `[get]`
	RollingWindow to store the data points of the reference symbol More...

Symbol	ReferenceSymbol `[get]`
	Symbol of the reference used More...

Symbol	TargetSymbol `[get]`
	Symbol of the target used More...

bool	IsTimezoneDifferent `[get]`
	Indicates if the time zone for the target and reference are different. More...

decimal	IndicatorValue `[get, set]`
	The most recently computed value of the indicator. More...

int	WarmUpPeriod `[get, set]`
	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.

The indicator only updates when both assets have a price for a time step. When a bar is missing for one of the assets, the indicator value fills forward to improve the accuracy of the indicator.

Definition at line 33 of file Beta.cs.

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

Definition at line 58 of file Beta.cs.

◆ Beta() [2/3]

QuantConnect.Indicators.Beta.Beta	(	Symbol	targetSymbol,
		Symbol	referenceSymbol,
		int	period
	)

Creates a new Beta indicator with the specified target, reference,
and period values

Parameters

targetSymbol	The target symbol of this indicator
period	The period of this indicator
referenceSymbol	The reference symbol of this indicator

Definition at line 79 of file Beta.cs.

◆ 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.

Definition at line 93 of file Beta.cs.

Member Function Documentation

◆ AddDataPoint()

override void QuantConnect.Indicators.Beta.AddDataPoint ( IBaseDataBar input )

protected

Adds the closing price to the corresponding symbol's data set (target or reference). Computes returns when there are enough data points for each symbol.

Parameters

input The input value for this symbol

Definition at line 103 of file Beta.cs.

◆ ComputeIndicator()

override void QuantConnect.Indicators.Beta.ComputeIndicator ( )

protectedvirtual

Computes the beta value of the target in relation with the reference using the target and reference returns

Implements QuantConnect.Indicators.DualSymbolIndicator< decimal >.

Definition at line 142 of file Beta.cs.

◆ Reset()

override void QuantConnect.Indicators.Beta.Reset ( )

Resets this indicator to its initial state

Definition at line 156 of file Beta.cs.

Member Data Documentation

◆ IsReady

override bool QuantConnect.Indicators.Beta.IsReady => _targetReturns.IsReady && _referenceReturns.IsReady

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

Definition at line 48 of file Beta.cs.

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

Indicators/Beta.cs

Public Member Functions

Public Attributes

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Beta() [1/3]

◆ Beta() [2/3]

◆ Beta() [3/3]

Member Function Documentation

◆ AddDataPoint()

◆ ComputeIndicator()

◆ Reset()

Member Data Documentation

◆ IsReady