Implement SqueezeMomentum (SM) indicator

Algorithm/QCAlgorithm.Indicators.cs

@@ -1951,6 +1951,26 @@ public SortinoRatio SORTINO(Symbol symbol, int sortinoPeriod, double minimumAcce
             return sortinoRatio;
         }
 
+        /// <summary>
+        /// Creates a Squeeze Momentum indicator to identify market squeezes and potential breakouts.
+        /// Compares Bollinger Bands and Keltner Channels to signal low or high volatility periods.
+        /// </summary>
+        /// <param name="symbol">The symbol for which the indicator is calculated.</param>
+        /// <param name="bollingerPeriod">The period for Bollinger Bands.</param>
+        /// <param name="bollingerMultiplier">The multiplier for the Bollinger Bands' standard deviation.</param>
+        /// <param name="keltnerPeriod">The period for Keltner Channels.</param>
+        /// <param name="keltnerMultiplier">The multiplier for the Average True Range in Keltner Channels.</param>
+        /// <param name="resolution">The resolution of the data.</param>
+        /// <param name="selector">Selects a value from the BaseData to send into the indicator. If null, defaults to the Value property of BaseData (x => x.Value).</param>
+        /// <returns>The configured Squeeze Momentum indicator.</returns>
+        [DocumentationAttribute(Indicators)]
+        public SqueezeMomentum SM(Symbol symbol, int bollingerPeriod = 20, decimal bollingerMultiplier = 2m, int keltnerPeriod = 20, decimal keltnerMultiplier = 1.5m, Resolution? resolution = null, Func<IBaseData, IBaseDataBar> selector = null)
+        {
+            var name = CreateIndicatorName(symbol, $"SM({bollingerPeriod}, {bollingerMultiplier}, {keltnerPeriod}, {keltnerMultiplier})", resolution);
+            var squeezeMomentum = new SqueezeMomentum(name, bollingerPeriod, bollingerMultiplier, keltnerPeriod, keltnerMultiplier);
+            InitializeIndicator(squeezeMomentum, resolution, selector, symbol);
+            return squeezeMomentum;
+        }
 
         /// <summary>
         /// Creates an SimpleMovingAverage indicator for the symbol. The indicator will be automatically

Indicators/SqueezeMomentum.cs

@@ -0,0 +1,109 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Indicators
+{
+    /// <summary>
+    /// The SqueezeMomentum indicator calculates whether the market is in a "squeeze" condition,
+    /// determined by comparing Bollinger Bands to Keltner Channels. When the Bollinger Bands are
+    /// inside the Keltner Channels, the indicator returns 1 (squeeze on). Otherwise, it returns -1 (squeeze off).
+    /// </summary>
+    public class SqueezeMomentum : BarIndicator, IIndicatorWarmUpPeriodProvider
+    {
+        /// <summary>
+        /// The Bollinger Bands indicator used to calculate the upper, lower, and middle bands.
+        /// </summary>
+        private readonly BollingerBands _bollingerBands;
+
+        /// <summary>
+        /// The Average True Range (ATR) indicator used to calculate the Keltner Channels.
+        /// </summary>
+        private readonly AverageTrueRange _averageTrueRange;
+
+        /// <summary>
+        /// The multiplier applied to the Average True Range for calculating Keltner Channels.
+        /// </summary>
+        private readonly decimal _keltnerMultiplier;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="SqueezeMomentum"/> class.
+        /// </summary>
+        /// <param name="name">The name of the indicator.</param>
+        /// <param name="bollingerPeriod">The period used for the Bollinger Bands calculation.</param>
+        /// <param name="bollingerMultiplier">The multiplier for the Bollinger Bands width.</param>
+        /// <param name="keltnerPeriod">The period used for the Average True Range (ATR) calculation in Keltner Channels.</param>
+        /// <param name="keltnerMultiplier">The multiplier applied to the ATR for calculating Keltner Channels.</param>
+        public SqueezeMomentum(string name, int bollingerPeriod, decimal bollingerMultiplier, int keltnerPeriod, decimal keltnerMultiplier) : base(name)
+        {
+            _bollingerBands = new BollingerBands(bollingerPeriod, bollingerMultiplier);
+            _averageTrueRange = new AverageTrueRange(keltnerPeriod, MovingAverageType.Simple);
+            _keltnerMultiplier = keltnerMultiplier;
+        }
+
+        /// <summary>
+        /// Gets the warm-up period required for the indicator to be ready.
+        /// This is determined by the warm-up period of the Bollinger Bands indicator.
+        /// </summary>
+        public int WarmUpPeriod => _bollingerBands.WarmUpPeriod;
+
+        /// <summary>
+        /// Indicates whether the indicator is ready and has enough data for computation.
+        /// The indicator is ready when both the Bollinger Bands and the Average True Range are ready.
+        /// </summary>
+        public override bool IsReady => _bollingerBands.IsReady && _averageTrueRange.IsReady;
+
+        /// <summary>
+        /// Computes the next value of the indicator based on the input data bar.
+        /// </summary>
+        /// <param name="input">The input data bar.</param>
+        /// <returns>
+        /// Returns 1 if the Bollinger Bands are inside the Keltner Channels (squeeze on),
+        /// or -1 if the Bollinger Bands are outside the Keltner Channels (squeeze off).
+        /// </returns>
+        protected override decimal ComputeNextValue(IBaseDataBar input)
+        {
+            _bollingerBands.Update(new IndicatorDataPoint(input.EndTime, input.Close));
+            _averageTrueRange.Update(input);
+            if (!IsReady)
+            {
+                return decimal.Zero;
+            }
+
+            // Calculate Bollinger Bands upper, lower, and middle bands
+            var bbHigh = _bollingerBands.UpperBand.Current.Value;
+            var bbLow = _bollingerBands.LowerBand.Current.Value;
+            var simpleMovingAverage = _bollingerBands.MiddleBand.Current.Value;
+
+            // Calculate Keltner Channels upper and lower bounds
+            var kcLow = simpleMovingAverage - _keltnerMultiplier * _averageTrueRange.Current.Value;
+            var kcHigh = simpleMovingAverage + _keltnerMultiplier * _averageTrueRange.Current.Value;
+
+            // Determine if the squeeze condition is on or off
+            return (kcHigh > bbHigh && kcLow < bbLow) ? 1m : -1m;
+        }
+
+        /// <summary>
+        /// Resets the state of the indicator, including all sub-indicators.
+        /// </summary>
+        public override void Reset()
+        {
+            _bollingerBands.Reset();
+            _averageTrueRange.Reset();
+            base.Reset();
+        }
+    }
+}

Tests/Indicators/SqueezeMomentumTests.cs

@@ -0,0 +1,34 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture]
+    public class SqueezeMomentumTests : CommonIndicatorTests<IBaseDataBar>
+    {
+        protected override IndicatorBase<IBaseDataBar> CreateIndicator()
+        {
+            VolumeRenkoBarSize = 0.5m;
+            return new SqueezeMomentum("SM", 20, 2, 20, 1.5m);
+        }
+        protected override string TestFileName => "spy_smi.csv";
+
+        protected override string TestColumnName => "squeeze on";
+    }
+}

Tests/QuantConnect.Tests.csproj

@@ -618,6 +618,9 @@
     <Content Include="TestData\spy_hurst_exponent.csv">
       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
     </Content>
+    <Content Include="TestData\spy_smi.csv">
+      <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
+    </Content>
   </ItemGroup>
   <ItemGroup>
     <Content Include="TestData\symbol-properties\symbol-properties-database.csv">