Rookie needs help on his first Algorithm by JDMar

JDMar

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Hello everyone,

As mentioned in the title I'm a complete beginner at developing algorithms. To get my feet wet I started of with a simple algorithm which can be found here: Dual Thrust Trading Algorithm. It's a strategy from the Strategy Library and I want to test some indicators to adjust the value of the two parameters dynamically. Unfortunately, I get an error on Line 86: TypeError : '>=' not supported between instances of 'decimal.Decimal' and 'NoneType'.

The code looks like this:

from clr import AddReference

AddReference('System')

AddReference('QuantConnect.Algorithm')

AddReference('QuantConnect.Common')



from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *



from datetime import datetime

import decimal



class DualThrustAlgorithm(QCAlgorithm):



    def Initialize(self):

        

        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        

        self.SetStartDate(2013, 1, 1)

        self.SetEndDate(2015, 12, 31)

        self.SetCash(10000)

        

        equity = self.AddEquity('SPY', Resolution.Hour)

        self.syl = equity.Symbol

        

        self.__adx = self.ADX(self.syl, 30, Resolution.Hour)

        self.__macd = self.MACD(self.syl, 12, 26, 30, MovingAverageType.Exponential, Resolution.Hour)

        

        self.Schedule.On(self.DateRules.EveryDay(self.syl),self.TimeRules.AfterMarketOpen(self.syl,0),Action(self.SetSignal))

        self.selltrig = None

        self.buytrig = None

        self.currentopen = None

    

    def SetSignal(self):

        history = self.History([self.syl.Value], 4, Resolution.Daily)

        

        if not self.__adx.IsReady:

            return

        if not self.__macd.IsReady:

            return

        

        if self.__adx > 75 and self.__macd.Current.Value > self.__macd.Signal.Current.Value:

            k1 = 0.1

            k2 = 0.9

        elif self.__adx > 50 and self.__macd.Current.Value > self.__macd.Signal.Current.Value:

            k1 = 0.3

            k2 = 0.7

        elif self.__adx > 25 and self.__macd.Current.Value > self.__macd.Signal.Current.Value:

            k1 = 0.4

            k2 = 0.6

        elif self.__adx > 75 and self.__macd.Current.Value < self.__macd.Signal.Current.Value:

            k1 = 0.9

            k2 = 0.1

        elif self.__adx > 50 and self.__macd.Current.Value < self.__macd.Signal.Current.Value:

            k1 = 0.3

            k2 = 0.7

        elif self.__adx > 25 and self.__macd.Current.Value < self.__macd.Signal.Current.Value:

            k1 = 0.6

            k2 = 0.4

        else:

            k1 = 0.5

            k2 = 0.5

            

        self.high = history.loc[self.syl.Value]['high']

        self.low = history.loc[self.syl.Value]['low']

        self.close = history.loc[self.syl.Value]['close']

        

        self.currentopen = self.Portfolio[self.syl].Price

        

        HH, HC, LC, LL = max(self.high), max(self.close), min(self.close), min(self.low)

        if HH - LC >= HC - LL:

            signalrange = HH - LC

        else:

            signalrange = HC - LL

        

        self.selltrig = float(self.currentopen) - float(k1) * signalrange

        self.buytrig = float(self.currentopen) + float(k2) * signalrange    

    

    def OnData(self,data):

        

        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''

        

        holdings = self.Portfolio[self.syl].Quantity

        

        if self.Portfolio[self.syl].Price >= self.selltrig:

            if holdings >= 0:

                self.SetHoldings(self.syl, 0.8)

            else:

                self.Liquidate(self.syl)

                self.SetHoldings(self.syl, 0.8)

                

        elif self.Portfolio[self.syl].Price < self.selltrig:

             if holdings >= 0:

                self.Liquidate(self.syl)

                self.SetHoldings(self.syl, -0.8)

             else:

                self.SetHoldings(self.syl, -0.8)

                

        self.Log("open: "+ str(self.currentopen)+" buy: "+str(self.buytrig)+" sell: "+str(self.selltrig))

Your help is much appreciated. Bear with me, I just learned a couple of fundamentals in Python weeks ago. I'm new to this hole thing.

Best,

Update Backtest

JDMar

Accepted Answer

Update Backtest

Notebook

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JDMar

679 ,

Ok. I found the solution to my problem myself. But another error message shows up right when the backtest waits to receive the data. It says:

BacktestingRealTimeHandler.Run(): There was an error in a scheduled event SPY: EveryDay: SPY: 0 min after MarketOpen. The error was TypeError : float() argument must be a string or a number, not 'NoneType'

The updated code looks like this:

from clr import AddReference

AddReference('System')

AddReference('QuantConnect.Algorithm')

AddReference('QuantConnect.Common')



from System import *

from QuantConnect import *

from QuantConnect. Orders import *

from QuantConnect.Algorithm import QCAlgorithm



from datetime import datetime

import decimal



class DualThrustAlgorithm(QCAlgorithm):



    def Initialize(self):

        

        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        

        self.SetStartDate(2013, 1, 1)

        self.SetEndDate(2015, 12, 31)

        self.SetCash(10000)

        

        equity = self.AddEquity('SPY', Resolution.Hour)

        self.syl = equity.Symbol

        

        self.adx = self.ADX(self.syl, 30, Resolution.Hour)

        self.macd = self.MACD(self.syl, 12, 26, 30, MovingAverageType.Exponential, Resolution.Hour)

        

        self.Schedule.On(self.DateRules.EveryDay(self.syl), self.TimeRules.AfterMarketOpen(self.syl, 0), Action(self.SetSignal))

        self.k1 = None

        self.k2 = None

        self.selltrig = None

        self.buytrig = None

        self.currentopen = None

    

    def SetSignal(self):

        history = self.History([self.syl.Value], 4, Resolution.Daily)

        

        if self.adx.IsReady and self.macd.IsReady:

            if self.adx.Current.Value > 75 and self.macd.Current.Value > self.macd.Signal.Current.Value:

                self.k1 = 0.1

                self.k2 = 0.9

            elif self.adx.Current.Value > 50 and self.macd.Current.Value > self.macd.Signal.Current.Value:

                self.k1 = 0.3

                self.k2 = 0.7

            elif self.adx.Current.Value > 25 and self.macd.Current.Value > self.macd.Signal.Current.Value:

                self.k1 = 0.4

                self.k2 = 0.6

            elif self.adx.Current.Value > 75 and self.macd.Current.Value < self.macd.Signal.Current.Value:

                self.k1 = 0.9

                self.k2 = 0.1

            elif self.adx.Current.Value > 50 and self.macd.Current.Value < self.macd.Signal.Current.Value:

                self.k1 = 0.3

                self.k2 = 0.7

            elif self.adx.Current.Value > 25 and self.macd.Current.Value < self.macd.Signal.Current.Value:

                self.k1 = 0.6

                self.k2 = 0.4

            else:

                self.k1 = 0.5

                self.k2 = 0.5

        

        self.high = history.loc[self.syl.Value]['high']

        self.low = history.loc[self.syl.Value]['low']

        self.close = history.loc[self.syl.Value]['close']

        

        self.currentopen = self.Portfolio[self.syl].Price

        

        HH, HC, LC, LL = max(self.high), max(self.close), min(self.close), min(self.low)

        if HH - LC >= HC - LL:

            signalrange = HH - LC

        else:

            signalrange = HC - LL

        

        self.selltrig = float(self.currentopen) - float(self.k1) * signalrange

        self.buytrig = float(self.currentopen) + float(self.k2) * signalrange

    

    def OnData(self,data):

        

        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''

        

        holdings = self.Portfolio[self.syl].Quantity

        

        if self.Portfolio[self.syl].Price >= self.selltrig:

            if holdings >= 0:

                self.SetHoldings(self.syl, 0.8)

            else:

                self.Liquidate(self.syl)

                self.SetHoldings(self.syl, 0.8)

                

        elif self.Portfolio[self.syl].Price < self.selltrig:

             if holdings >= 0:

                self.Liquidate(self.syl)

                self.SetHoldings(self.syl, -0.8)

             else:

                self.SetHoldings(self.syl, -0.8)

                

        self.Log("open: "+ str(self.currentopen)+" buy: "+str(self.buytrig)+" sell: "+str(self.selltrig))

Any thoughts on that one?

Best

Gurumeher Sawhney

14.7k ,

Thanks for attaching the code! The reason why you're receiving a NoneType error is because of lines 75 and 76, If the indicators are not ready, then self.k1 and self.k2 never get assigned but they are still called upon for calculations.

self.selltrig = float(self.currentopen) - float(self.k1) * signalrange

self.buytrig = float(self.currentopen) + float(self.k2) * signalrange

I was able to figure this out by tracing the error and creating self.Debug() statements which checked the current status of the values. Errors like these can be avoided with conditional statements.

JDMar

679 ,

Thank you for your help! But I still have some questions regarding conditional statements and the usage of self.Debug().

First, I added "if not self.adx.IsReady or self.macd.IsReady" in front of my code for calculating the values of self.k1 and self.k2. Is this the right way to do it, or do I have to build conditional statements in another way?

Second, can you give my an example of how to use self.Debug()? I tried to use it on my own with guidance by the documentation but I didn't manage to use it successfully.

Current status of my code is that I get the same error on line 87 as in the very first post in this discussion: TypeError: '>=' not supported between instances of 'decimal.Decimal' and 'NoneType'. The new code including the conditional statements looks like this:

if not self.adx.IsReady or self.macd.IsReady:

    return

elif self.adx.Current.Value > 75 and self.macd.Current.Value > self.macd.Signal.Current.Value:

    self.k1 = 0.1

    self.k2 = 0.9

elif self.adx.Current.Value > 50 and self.macd.Current.Value > self.macd.Signal.Current.Value:

    self.k1 = 0.3

    self.k2 = 0.7

elif self.adx.Current.Value > 25 and self.macd.Current.Value > self.macd.Signal.Current.Value:

    self.k1 = 0.4

    self.k2 = 0.6

elif self.adx.Current.Value > 75 and self.macd.Current.Value < self.macd.Signal.Current.Value:

    self.k1 = 0.9

    self.k2 = 0.1

elif self.adx.Current.Value > 50 and self.macd.Current.Value < self.macd.Signal.Current.Value:

    self.k1 = 0.3

    self.k2 = 0.7

elif self.adx.Current.Value > 25 and self.macd.Current.Value < self.macd.Signal.Current.Value:

    self.k1 = 0.6

    self.k2 = 0.4

else:

    self.k1 = 0.5

    self.k2 = 0.5

JDMar

Update Backtest

Notebook

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