Trying to retrieve an element from a collection using a key that does not exist in that collection throws a KeyError exception.

Not quite sure. Quick workaround to just get the example running is to use something comparable. USO correlates > 0.97 most of the time, so try that.

You should check if the desired symbol is in index. hist dataframe wasn't empty, but there were only data for SPY:  https://i.imgur.com/hreB63S.png

Trading for OIL started around april 2011, but your backtest starts at 2010/1/1. In addition, you should also check if there is enough data available via len(df.index) or df.shape[0]. 

Adding the following two lines after the history request solves the issue: 

if not all(symbl in hist.index.levels[0] and hist.loc[symbl].shape[0] >= self.lookback for symbl in [self.oil, self.spy]):
return

Arthur Asenheimer , thanks for the inputs and it makes sense. I do come across these sorts of errors in other projects, so appreciate your explanation.

AK M , thanks for the inputs. I have tried this workaround already before opening this discusion. I wanted to know how to actually solve errors like these.