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I've written a profoundly simple algo, but for some reason backtesting it seems to take an absurdly long time (a few months of minute data has taken over 20 minutes, and it still isn't done), and the algo seems to be making no trades as well. Am I doing something wrong here?
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(2018,2,1) #Set Start Date
self.SetEndDate(2018,6,1) #Set End Date
self.SetCash(10000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.AddEquity("SPY", Resolution.Minute).Symbol
self.Debug("numpy test >>> print numpy.pi: " + str(np.pi))
def OnData(self, data):
bollow = self.BB("SPY", 20, 2).LowerBand
bolligh = self.BB("SPY", 20, 2).UpperBand
bollave = self.BB("SPY", 20, 2).MiddleBand
price = self.AddEquity("SPY", Resolution.Minute).Price
if price < bollow.Current.Value:
self.SetHoldings("SPY", 0.5, 0)
elif price > bolligh.Current.Value:
self.SetHoldings("SPY", -0.5, 0)
elif self.Portfolio.Invested and (bollave.Current.Value * 0.99) <= price <= (bollave.Current.Value * 1.01):
self.Liquidate("SPY") 
Jared Broad
once in the initialize method and save a reference to the object.
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Nikola Viazmenski
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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