Running the following code

import numpy as np import datetime from scipy import stats class Algorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2012,1,2) #Set Start Date self.SetEndDate(2012,1,5) #Set End Date self.SetCash(100000) #Set Strategy Cash # Find more symbols here: http://quantconnect.com/data self.atr_window = 20 self.symbols = ['ABT', 'ACN', 'ACE', 'ADBE','SPY'] self.atrDict = {} for symbol in self.symbols: self.AddEquity(symbol, Resolution.Daily) self.atrDict[symbol]=self.ATR(symbol, self.atr_window ) self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY", 60), Action(self.Rebalance)) def Rebalance(self): for symbol in self.symbols: averageTrueRange = self.atrDict[symbol].Current.Value self.Debug(averageTrueRange)

I get an ATR value of 0. Why?