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Basic algo I cannot get to run: I am a Noob

# I cannot figure out what I am doing wrong. All I want is the Algo to buy within set parameters of 6 cents above midprice and 6 cents below midprice. 

#I created the algo below to see if I can get the program to buy when price(current) is equal to midprice and above 2day VWAP. Ideally, in an intraday action, I would like this to buy or sell anytime those parameters are met. Yet every freaking time I try to this, I blow up the algo. I have been trying for over two hours. Any guidance is greatly appreciated.

 

 

from QuantConnect.Indicators import *

class BasicTemplateAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    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(2015,9,1)  #Set Start Date
        self.SetEndDate(2018,5,15)    #Set End Date
        self.SetCash(10000)           #Set Strategy Cash
        # Find more symbols here: http://quantconnect.com/data
        self.AddEquity("SPY", Resolution.Daily)
        self.MIDPRICE('SPY',1,Resolution.Daily)
        self.VWAP('SPY',2,Resolution.Daily)
        self.SetWarmUp(20)
        self.SetBenchmark("SPY")

    def OnData(self, data):
      
        VWAP = self.VWAP.Current.Value
        Mid = self.MIDPRICE.Current.Value
      
        current = data["SPY"].Close

        
        #need to check when to go long
        if not self.Portfolio.Invested:
            if current = Mid and current > VWAP: 
                self.SetHoldings("SPY", 1)
            if current = Mid and current < VWAP: 
                self.SetHoldings("SPY", -1)
            
        if self.Portfolio.Invested:
            if self.Portfolio["SPY"].IsLong:
                if current < Mid and current < VWAP:
                    self.Liquidate("SPY")
            if self.Portfolio["SPY"].IsShort:
                if current > Mid and current > VWAP:
                    self.Liquidate("SPY")

Update Backtest







Hi Joshua, "=" is an assignment operator while "==" is an equality operator. In “if” statement you should use "==" instead. Besides, you need to assign the indicator to a variable in Initialize(), so can refer to its value with "Current.Value". Also, please add " if self.IsWarmingUp: return" to skip the warm-up period as the indicator value in this period is not real indicator value.  The condition "current = Mid" is too strict so you won't get any trades.

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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.


Thank you, sir. I will make the changes and try again. I will post the updated code if i get stuck again, unless I murder my computer.

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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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