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?