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Davidii111 INVESTOR

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from NodaTime import DateTimeZone

from QuantConnect.Python import PythonQuandl

from datetime import timedelta

import decimal as d

import numpy as np



class GoldMarketTimingAlgorithm(QCAlgorithm):



    def Initialize(self):



        self.SetStartDate(2006, 1, 1) 

        self.SetEndDate(2012, 12, 31)  

        self.SetCash(100000)

        

        

        maPeriod = 200

        

        self._tolerance = d.Decimal(1 + 0.001)

        self.IsUpTrend = False

        self.IsDownTrend = False

        

        self.SetWarmUp(200)

        

        # Adds SPY

        self.AddEquity("SPY", Resolution.Daily)

        

        # Gold Prices (Daily) - Currency USD (All values are national currency units per troy ounce)

        self.gold = "WGC/GOLD_DAILY_USD"



        

        self.moving_average = self.EMA(self.gold, maPeriod, Resolution.Daily)

        

        

        # Add custom quandl data 

        self.AddData(QuandlValue, self.gold, Resolution.Daily, DateTimeZone.Utc, True)







    def OnData(self, data):

        if self.moving_average.IsReady:

            self.IsUpTrend = self.gold.Current.Value > self.moving_average.Current.Value * self._tolerance

            self.IsDownTrend = self.gold.Current.Value < self.moving_average.Current.Value * self._tolerance

            if (not self.Portfolio.Invested) and self.IsUpTrend:

                self.SetHoldings(self.gold.Symbol, 1)



            if self.Portfolio.Invested and self.IsDownTrend:

                self.Liquidate()



    def OnEndOfDay(self):

        if self.IsUpTrend:

            self.Plot("Indicator Signal", "EOD",1)

        elif self.IsDownTrend:

            self.Plot("Indicator Signal", "EOD",-1)

        elif self._slow.IsReady and self._fast.IsReady:

            self.Plot("Indicator Signal", "EOD",0)





    def OnOrderEvent(self, orderEvent):

        self.Log(str(orderEvent))



class QuandlRate(PythonQuandl):

    

    def __init__(self):

        self.ValueColumnName = "rate"



class QuandlValue(PythonQuandl):

    

    def __init__(self):

        self.ValueColumnName = "Value"

This algo does not work. Is there a problem with the variable self.gold?

I get following message when i try to backtest:

During the algorithm initialization, the following exception has occurred: Exception : Please register to receive data for symbol ' ' using the AddSecurity() function.

  at QuantConnect.Algorithm.QCAlgorithm.GetSubscription (QuantConnect.Symbol symbol, System.Nullable`1[T] tickType) [0x00098] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at QuantConnect.Algorithm.QCAlgorithm.GetSubscription (QuantConnect.Symbol symbol) [0x00001] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at QuantConnect.Algorithm.QCAlgorithm.ResolveConsolidator (QuantConnect.Symbol symbol, System.Nullable`1[T] resolution) [0x00001] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at QuantConnect.Algorithm.QCAlgorithm.RegisterIndicator (QuantConnect.Symbol symbol, QuantConnect.Indicators.IndicatorBase`1[T] indicator, System.Nullable`1[T] resolution, System.Func`2[T,TResult] selector) [0x00001] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at QuantConnect.Algorithm.QCAlgorithm.EMA (QuantConnect.Symbol symbol, System.Int32 period, System.Nullable`1[T] resolution, System.Func`2[T,TResult] selector) [0x00022] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)

  at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in <2e7c1c96edae44d496118948ca617c11>:0 

  at Initialize in main.py:line 32

 Exception : Please register to receive data for symbol ' ' using the AddSecurity() function.

  at QuantConnect.Algorithm.QCAlgorithm.GetSubscription (QuantConnect.Symbol symbol, System.Nullable`1[T] tickType) [0x00098] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at QuantConnect.Algorithm.QCAlgorithm.GetSubscription (QuantConnect.Symbol symbol) [0x00001] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at QuantConnect.Algorithm.QCAlgorithm.ResolveConsolidator (QuantConnect.Symbol symbol, System.Nullable`1[T] resolution) [0x00001] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at QuantConnect.Algorithm.QCAlgorithm.RegisterIndicator (QuantConnect.Symbol symbol, QuantConnect.Indicators.IndicatorBase`1[T] indicator, System.Nullable`1[T] resolution, System.Func`2[T,TResult] selector) [0x00001] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at QuantConnect.Algorithm.QCAlgorithm.EMA (QuantConnect.Symbol symbol, System.Int32 period, System.Nullable`1[T] resolution, System.Func`2[T,TResult] selector) [0x00022] in <1d3439f9966d4d178af513edc463b9bd>:0 

  at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)

  at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in <2e7c1c96edae44d496118948ca617c11>:0

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Davidii111

Accepted Answer

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Davidii111

1.2k ,

Any expert out there who feels like giving me a hint? I would appreciate it very much :)

Flame

5.6k ,

self.gold is just a string. Therefore when you call self.gold.Current.Value you are just trying to pull the methods from the string. You also probably need to add the custom data before you assign your moving average variable.

Would it not be easier to use a gold ETF like GLD? or is there a specific reason you would like to use Quandl data?

Flame

5.6k ,

Perhaps this is what you were after?

Jack Simonson

49.4k ,

Hi David,

I took a look at your code and the reason the algorithm is returning the error

"During the algorithm initialization, the following exception has occurred: Exception: Please register to receive data for symbol ' " using the AddSecurity() function"

is because the Quandl data is being added after the indicator is initialized. Also, the best way to register an indicator for custom data would be as follows

self.moving_average = ExponentialMovingAverage(self.gold, 200, Resolution.Daily)

self.RegisterIndicator("WGC/GOLD_DAILY_USD", self.moving_average, Resolution.Daily)

You can find helpful documentation on indicators and using custom data here.

In the OnData section, the algorithm is calling self.gold.Current.Value which won't return anything. In OnData, the 'Value' column of the Quandl data can be accessed by simply subsetting the slice object with the symbol, since self.gold is just a string, it doesn't have a Symbol attribute and so only self.gold needs to be passed as the symbol argument in the set.Holdings() call.

def OnData(self,data):

    if self.moving_average.IsReady:

        self.IsUpTrend = data[self.gold] > self.moving_average.Current.Value * self._tolerance

        self.IsDownTrend = data[self.gold] < self.moving_average.Current.Value * self._tolerance

    else:

        return



     if (not self.Portfolio.Invested) and self.IsUpTrend:

         self.SetHoldings(self.gold, 1)



     if self.Portfolio.Invested and self.IsDownTrend:

         self.Liquidate()

Davidii111 INVESTOR

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