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Help with consolidated data for SMA

Hi all. I've been trying to get the SMA to use a weekly timeframe and am struggling. I figured out how to create the trade bar for a weekly bar from the help docs and BootCamp, but I'm having trouble with the SMA part. Line 21 gives an error

 

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar

class LeverageForTheLongRun(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2009,6, 1)  #Set Start Date
        self.SetEndDate(2020,2,2)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        self.spy = self.AddEquity("SPY", Resolution.Daily)
        self.upro = self.AddEquity("UPRO", Resolution.Daily)
        self.agg = self.AddEquity("AGG", Resolution.Daily)
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage)
        self.sma = self.SMA("SPY", 40)
        # Register the SMA to use Weekly timeframe bars.
        self.RegisterIndicator("SPY", self.sma, CalendarType.Weekly)
        
        # Create the Weekly timeframe bar.
        self.Consolidate("SPY", CalendarType.Weekly, self.OnDataConsolidated)
        
        # warm up the indicators
        self.SetWarmUp(40)

    def OnData(self, data):
        if data.ContainsKey("SPY") == False: return
        if data.ContainsKey("UPRO") == False: return
        if data.ContainsKey("AGG") == False: return
    
    # define the Weekly Trade bar for SPY from Initialize
    def OnDataConsolidated(self, bar):
        self.CurrentBar = bar
        
        # Free cash buffer, increase in case buy orders are rejected due to insufficient funds
        self.Settings.FreePortfolioValuePercentage = 0.05
        
        if self.CurrentBar.Close>self.sma.Current.Value:
            self.SetHoldings("AGG", 0)
            self.SetHoldings("UPRO", 1)
            
        if self.CurrentBar.Close<self.sma.Current.Value:
            self.SetHoldings("UPRO", 0)
            self.SetHoldings("AGG", 1)

 

thanks for the help.

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.


Hey Mark,

We need to first create a weekly consolidator.

consolidator = self.Consolidate("SPY", self.CalenderType.Weekly, self.OnDataConsolidated)

Then we can register our indicator to that consolidator.

self.RegisterIndicator("SPY", self.sma, consolidator)


Just as a side note, please try to post your code as either a backtest if possible or as a code snippet. It makes code much easier to read and understand.

0

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.


Update Backtest





0

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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