Hello All,

I have been trying to learn how to use rolling windows using Quant Connect's RSI Alpha Model as a starting point. When I try to run the code shown below, I receive the following error:

Runtime Error: AttributeError : 'NoneType' object has no attribute 'Close' AttributeError : 'NoneType' object has no attribute 'Close' (Open Stacktrace)

I believe the error comes from line 35 in my code, but I thought that the preceding "if" statement on line 34 should have prevented this error. If anyone happens to know how to fix this problem, I would greatly appreciate some advice.

As a separate question, I'm not sure how to load my historical data in the rolling window. Any advice on this question would also be appreciated.

from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Risk.MaximumDrawdownPercentPerSecurity import MaximumDrawdownPercentPerSecurity
from Selection.QC500UniverseSelectionModel import QC500UniverseSelectionModel

class SimpleRSITestQC500Universe(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2010, 1, 1) # Set Start Date
self.SetEndDate(2010, 2, 28) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.05))
symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA), Symbol.Create("GE", SecurityType.Equity, Market.USA), Symbol.Create("BA", SecurityType.Equity, Market.USA) ]
self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
self.AddAlpha(RsiAlphaModelTest())

class RsiAlphaModelTest(AlphaModel):

def __init__(self, period = 14, resolution = Resolution.Daily):
self.period = period
self.resolution = resolution
self.insightPeriod = Time.Multiply(Extensions.ToTimeSpan(resolution), period)
self.symbolDataBySymbol = {}
self.closeWindows = {}

resolutionString = Extensions.GetEnumString(resolution, Resolution)
self.Name = '{}({},{})'.format(self.__class__.__name__, period, resolutionString)

def Update(self, algorithm, data):
insights = []
for symbol, symbolData in self.symbolDataBySymbol.items():
if data.ContainsKey(symbol):
self.closeWindows[symbol].Add(data[symbol].Close)
if self.closeWindows[symbol].Count>2:
algorithm.Debug(self.closeWindows[symbol][2])
rsi = symbolData.RSI
previous_state = symbolData.State
state = self.GetState(rsi, previous_state)
if state != previous_state and rsi.IsReady:
if state == State.TrippedLow:
insights.append(Insight.Price(symbol, self.insightPeriod, InsightDirection.Up))
if state == State.TrippedHigh:
insights.append(Insight.Price(symbol, self.insightPeriod, InsightDirection.Down))
symbolData.State = state
return insights


def OnSecuritiesChanged(self, algorithm, changes):

# clean up data for removed securities
symbols = [ x.Symbol for x in changes.RemovedSecurities ]
if len(symbols) > 0:
for subscription in algorithm.SubscriptionManager.Subscriptions:
if subscription.Symbol in symbols:
self.symbolDataBySymbol.pop(subscription.Symbol, None)
subscription.Consolidators.Clear()

# initialize data for added securities

addedSymbols = [ x.Symbol for x in changes.AddedSecurities if x.Symbol not in self.symbolDataBySymbol]
if len(addedSymbols) == 0: return

history = algorithm.History(addedSymbols, self.period, self.resolution)

for symbol in addedSymbols:
rsi = algorithm.RSI(symbol, self.period, MovingAverageType.Wilders, self.resolution)
self.closeWindows[symbol] = RollingWindow[float](4)
# need to figure out how to load historical data into rolling window
if not history.empty:
ticker = SymbolCache.GetTicker(symbol)

if ticker not in history.index.levels[0]:
Log.Trace(f'RsiAlphaModel.OnSecuritiesChanged: {ticker} not found in history data frame.')
continue

for tuple in history.loc[ticker].itertuples():
rsi.Update(tuple.Index, tuple.close)

self.symbolDataBySymbol[symbol] = SymbolData(symbol, rsi)


def GetState(self, rsi, previous):
if rsi.Current.Value > 70:
return State.TrippedHigh
if rsi.Current.Value < 30:
return State.TrippedLow
if previous == State.TrippedLow:
if rsi.Current.Value > 35:
return State.Middle
if previous == State.TrippedHigh:
if rsi.Current.Value < 65:
return State.Middle

return previous


class SymbolData:
def __init__(self, symbol, rsi):
self.Symbol = symbol
self.RSI = rsi
self.State = State.Middle


class State(Enum):
'''Defines the state. This is used to prevent signal spamming and aid in bounce detection.'''
TrippedLow = 0
Middle = 1
TrippedHigh = 2