HELP: Bollinger Bands With Trading Algo by Nikita Douglass

Nikita Douglass

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Hi,

I'm pretty new to Quanconnect platform, thus I'm having a difficult time implementing my trading algorithm on this platform. I have been creating most of my algorithms through Python in Quantopian, but since they removed integration I have decided to use Quantconnect.

Being said, I have an example of Bollinger Bands With Trading Algo, when I try to backtest my algorithm on Quantconnect I get a lot of errors and I'm not sure how to fix it. Can someone show/explain me a very basic structure on how to backtest my algo on this platform?

Please see the code below.

Thanks,

Nikita

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2 Comments

Nikita Douglass

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Accepted Answer

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Douglas Stridsberg

4.8k ,

Hi Nikita,

Welcome!

The code you mention doesn't seem to have been included in the post, do you mind posting it?

Also, have you taken a look at the indicator suite example in the repository? It should contain the basics on how to use BBs in a strategy.

Halldor Andersen

12.3k ,

Hi Nikita.

Welcome to QuantConnect! I suggest you complete our BootCamp section and read the documentation section. There are several examples in posts on the discussion forum on how to implement an algorithm that uses Bollinger Bands to emit trading signals, such as this one.

First, construct the Bollinger Band indicator in the method Initialize() and warm up the indicator:

## In Initialize()



# Set Boilinger Bands

self.bband = self.BB("SPY", 20, 2, MovingAverageType.Simple, Resolution.Daily)



# Set WarmUp period

self.SetWarmUp(20)

Retrieve the price and the current indicator values, for the upper band and the middle band in the method OnData() and implement your trading logic:

# Retrieve current price

price = self.Securities["SPY"].Price



# Sell if price is higher than upper band

if not self.Portfolio.Invested and price > self.bband.UpperBand.Current.Value:

    self.SetHoldings("SPY",-1)



    

# Liquidate if price is lower than middle band        

if self.Portfolio.Invested and price < self.bband.MiddleBand.Current.Value:



        self.Liquidate()

In the attached backtest I demonstrate how to put on a short position if the price exceeds the upper Bollinger band. The algorithm liquidates the position when the price is lower than the middle-band. This example can be extended and used on the long side.

Nikita Douglass

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