## Help!! :-) Problems with my first algo

Hi, please help, i tried my first algo as i learned in a tutorial but i cannot backtest it. Where is the mistake? I guess it is about the downloading of the historical data or something like that?

import numpy as np

class BasicTemplateAlgorithm(QCAlgorithm):

def Initialize(self):

self.SetStartDate(2014,10,07)  #Set Start Date
self.SetEndDate(2014,10,11)    #Set End Date
self.SetCash(100000)           #Set Strategy Cash

self.AddEquity("AAL", Resolution.Daily)
self.AddEquity("UAL", Resolution.Daily)

self.long_on_spread = False
self.shorting_spread = False

def OnData(self, data):

prices = self.History(["AAL","UAL"], 3)

short_prices = prices.iloc[-1:]

mavg_30 = np.mean(prices["AAL"]-prices["UAL"])
std_30 = np.std(prices["AAL"]-prices["UAL"])

mavg_1 = np.mean(short_prices["AAL"] - short_prices["UAL"])

if std_30 > 0:
zscore = (mavg_1 - mavg_30)/std_30

if zscore > 1.0 and not self.shorting_spread:
self.SetHoldings("AAL", -0.5)
self.SetHoldings("UAL", 0.5)
self.shorting_spread = True
self.long_on_spread = False

elif zscore < 1.0 and not self.long_on_spread:
self.SetHoldings("AAL", 0.5)
self.SetHoldings("UAL", -0.5)
self.shorting_spread = False
self.long_on_spread = True

elif abs(zscore) < 0.1:
self.SetHoldings("AAL", 0)
self.SetHoldings("UAL", 0)
self.shorting_spread = False
self.long_on_spread = False

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.

I'm fairly new here and new to python but this is what I'd do. A python expert could do much better with it.

```import numpy as np class BasicTemplateAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2014,8,07) #Set Start Date self.SetEndDate(2014,10,11) #Set End Date self.SetCash(100000) #Set Strategy Cash self.AddEquity("AAL", Resolution.Daily) self.AddEquity("UAL", Resolution.Daily) self.long_on_spread = False self.shorting_spread = False def OnData(self, data): history = self.History(["AAL", "UAL"], 3, Resolution.Daily) close1 = history.loc["AAL"]['close'] close2 = history.loc["UAL"]['close'] mavg_30 = np.mean(close1 - close2) std_30 = np.std(close1 - close2) mavg_1 = np.mean(close1 - close2) if std_30 > 0: zscore = (mavg_1 - mavg_30)/std_30 if zscore > 1.0 and not self.shorting_spread: self.SetHoldings("AAL", -0.5) self.SetHoldings("UAL", 0.5) self.shorting_spread = True self.long_on_spread = False elif zscore < 1.0 and not self.long_on_spread: self.SetHoldings("AAL", 0.5) self.SetHoldings("UAL", -0.5) self.shorting_spread = False self.long_on_spread = True elif abs(zscore) < 0.1: self.SetHoldings("AAL", 0) self.SetHoldings("UAL", 0) self.shorting_spread = False self.long_on_spread = False```
0

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.

Loading...

### This discussion is closed

 Please Select Profile Image : GIF, JPG or PNG. Less than 1Mb.