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Why do I get an AverageTrueRange of 0 ?

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?

Update Backtest








Thanks for providing the code! It looks like the algorithm runs for 3 days, however the resolution is set to daily and the ATR window is set to 20. That means that the indicator has not finished warming up is not ready by the time the algorithm is over. Also, since the scheduled event Rebalance() occurs that the start of every month, it is necessary to have a start date and date that have a span of more than one month. There are a few measures taken in the backtest below to make it runs. The length of the backtest was increased to greater than 20 days, and the conditional statement 

if not self.atrDict['ABT'].IsReady:

was used. The backtest has debug statements to show how the algorithm enters the Rebalance function for additional guidance:

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Update Backtest





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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.


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