Dynamic universes

From the code you've provided, it seems like you're trying to add symbols to self.activeStocks when they are added to the universe. However, it's not clear why self.activeStocks and self.portfolioTargets are empty when you print them.

One possible issue could be the timing of when you're printing these variables. If OnSecuritiesChanged is not being called before you print self.activeStocks and self.portfolioTargets, they would still be empty.

Another potential issue could be related to how you're handling removed securities. If securities are being removed from your universe, you should also remove them from self.activeStocks. This can be done in the OnSecuritiesChanged method. Here's an example of how to do this:

def OnSecuritiesChanged(self, changes):
    for security in changes.AddedSecurities:
        self.activeStocks.add(security.Symbol)
        self.Debug("added to self.activeStocks" +str(security.Symbol))

    for security in changes.RemovedSecurities:
        if security.Symbol in self.activeStocks:
            self.activeStocks.remove(security.Symbol)
            self.Debug("removed from self.activeStocks" +str(security.Symbol))

    self.Debug("in activeStocks"+ str(self.activeStocks))

    # Adjust targets if universe has changed
    self.portfolioTargets = [PortfolioTarget(symbol, 1/len(self.activeStocks))
                             for symbol in self.activeStocks]
    self.Debug("in portfolioTargets"+ str(self.portfolioTargets))

This code removes symbols from self.activeStocks when they are removed from the universe. If securities are being removed from your universe frequently, this could explain why self.activeStocks and self.portfolioTargets are empty when you print them.

If these suggestions don't solve your issue, it would be helpful to have more information about when and how often OnSecuritiesChanged is being called, and whether securities are being removed from your universe.

Thanks!

I tried as you wrote to use OnSecuritiesChanged
But still it doesn't work...

I am copying the backtest here

This is a very basic form of what I'm trying to do - trade on high trading volume along with a close close to the high.

And it does not work...

Thanks for the comments!

Based on the provided code, there are a few potential issues that might be causing the algorithm not to work as expected:

1. In the OnEndOfDay method, you are trying to remove a symbol from self.RemovedSecurities1 while iterating over it. This can lead to unexpected behavior. Instead, you should create a copy of the set for iteration:

for Symbol in list(self.RemovedSecurities1):

1. In the OnEndOfDay method, you are using symbol_data which is not defined in the scope of the for loop for removed securities. You should get the data for the symbol first:

symbol_data = self.CurrentSlice[Symbol]

1. In the PriceIsNearHigh method, you are comparing the close price with 90% of the high price. This means you are only considering prices that are within the top 10% of the day's range. If you want to consider prices that are close to the high, you might want to adjust this threshold.

2. In the MacdIsPositive and RsiIsOverbought methods, you are creating a new indicator each time the method is called. This will reset the indicator and it will not be ready until it has enough data. You should create these indicators in the Initialize method or in the OnSecuritiesChanged method when a new security is added, and then just use them in these methods.

3. In the CoarseFilterFunction, you are creating a new SelectionData object for each coarse object, even if it already exists in self.stateData. This will reset the state data each time the universe selection is performed. You should check if the symbol already exists in self.stateData and only create a new SelectionData object if it doesn't.

Please note that these are potential issues based on the provided code and the actual issues might be different based on the complete context and the data.

Wow really detailed answer! I appreciate very much.
I will work on it. Thanks!

You're welcome, Shilo! I'm glad you found the answer helpful. Don't hesitate to ask if you have any more questions or run into any issues while implementing the changes. Happy coding!

It still seems like nothing is happening
Could it be that the buying and selling should be in ondata and not in endofday?

Yes, that could be a potential issue. The OnEndOfDay method is called at the end of each trading day, and depending on the market hours of the securities you are trading, it might be too late to place any trades for that day.

In the QuantConnect API Reference, it is mentioned that the OnEndOfDay method is called at the end of the algorithm day (or multiple times if trading multiple assets).

If you want to place trades based on the data of the current day, it would be more appropriate to do this in the OnData method, which is called for each new data point.

You can move the buying and selling logic from OnEndOfDay to OnData and see if that resolves the issue.

Remember to check if the necessary data is available before placing any trades. For example, you can use if symbol in data: to check if data for a particular symbol is available.