Moving Average with Rolling Window by Croft

Croft INVESTOR

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Hi,

I added RollingWindow to a Moving Average strategy for futures. There are few examples of futures. I tried my best to write this strategy, but it still does not work. Can anyone point out what is wrong with my Algo? Thanks.

import clr import decimal as d import pandas as pd class FuturesMovingAverage (QCAlgorithm): def Initialize(self): self.contract = None self.SetStartDate(2019, 1, 1) self.SetEndDate(2020, 1, 1) self.SetCash(100000) self.SetWarmUp(TimeSpan.FromDays(5)) self.SetTimeZone("America/New_York") self.new_day = True self.reset = True CL = self.AddFuture(Futures.Energies.CrudeOilWTI) CL.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(360)) self.consolidators = {} self.movingAverages = {} self.sma = None self.sma_period = 60 self.window = RollingWindow[TradeBar](3) def OnData(self, slice, data): if not self.InitUpdateContract(slice): return if self.reset: self.reset = False self.window.Add(data["CL"]) def InitUpdateContract(self, slice): if not self.new_day: return True if self.contract != None and (self.contract.Expiry - self.Time).days >= 3: return True for chain in slice.FutureChains.Values: idx = 0 if self.contract != None: self.Log('Expiry days away {} - {}'.format((self.contract.Expiry-self.Time).days, self.contract.Expiry)) if self.contract != None and (self.contract.Expiry - self.Time).days < 3: idx = 1 contracts = list(chain.Contracts.Values) chain_contracts = list(contracts) chain_contracts = sorted(chain_contracts, key=lambda x: x.Expiry) if len(chain_contracts) < 2: return False first = chain_contracts[idx] second = chain_contracts[idx+1] if (first.Expiry - self.Time).days >= 3: self.contract = first elif (first.Expiry - self.Time).days < 3 and (second.Expiry - self.Time).days >= 3: self.contract = second self.Log("Setting contract to: {}".format(self.contract.Symbol.Value)) self.new_day = False self.reset = True if self.contract.Symbol not in self.consolidators: self.consolidators[self.contract.Symbol] = self.Consolidate( self.contract.Symbol, timedelta(minutes=5), self.OnFiveMinutes) if self.contract.Symbol not in self.movingAverages: self.movingAverages[self.contract.Symbol] = self.SMA(self.contract.Symbol, self.sma_period, Resolution.Minute) history = self.History(self.contract.Symbol, self.sma_period, Resolution.Minute).close.unstack(1) for index, close in history[self.contract.Symbol].items(): time = index[1] self.movingAverages[self.contract.Symbol].Update(time, close) return True return False def OnFiveMinutes(self, bar): if not self.window.IsReady: return currentBar = self.window[0] nearBar = self.window[1] farBar = self.window[2] if bar.Symbol != self.contract.Symbol: return sma = self.movingAverages.get(bar.Symbol, None) if sma is None or not sma.IsReady: return near = nearBar.Close far = farBar.Close sma = sma.Current.Value price = bar.Close holdings = self.Portfolio[bar.Symbol].Quantity if not self.Portfolio.Invested: if far < sma and near > sma and price > near: self.MarketOrder(bar.Symbol, 1) if far > sma and near < sma and price < near: self.MarketOrder(bar.Symbol, -1) if holdings > 0 and price < sma: self.Liquidate(bar.Symbol) if holdings < 0 and price > sma: self.Liquidate(bar.Symbol) def OnEndOfDay(self): self.new_day = True

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Croft

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Derek Melchin

STAFF ,

Hi Croft,

Can you re-upload the code or attach a backtest? It is difficult to debug as the indentation has been removed.

Best,
Derek Melchin

Croft

284 ,

import clr

import decimal as d

import pandas as pd





class FuturesMovingAverage (QCAlgorithm):



    def Initialize(self):

        

        self.contract = None



        self.SetStartDate(2019, 1, 1)    

        self.SetEndDate(2020, 1, 1)      

        self.SetCash(100000)             

        self.SetWarmUp(TimeSpan.FromDays(5)) 

        self.SetTimeZone("America/New_York") 

        

        self.new_day = True

        self.reset = True

        

        

        

        

        CL = self.AddFuture(Futures.Energies.CrudeOilWTI)

        CL.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(360))

        

        self.consolidators = {}

        self.movingAverages = {}

        

        

        self.sma = None

        self.sma_period = 60

        

        self.window = RollingWindow[TradeBar](3)

        

    def OnData(self, slice, data):

        

        if not self.InitUpdateContract(slice):

            return

    

        

        if self.reset:

            self.reset = False

        

        self.window.Add(data["CL"])

        



    def InitUpdateContract(self, slice):

        

        

        if not self.new_day:

            return True

            

        if self.contract != None and (self.contract.Expiry - self.Time).days >= 3: 

            return True

            

        for chain in slice.FutureChains.Values:

            

            idx = 0

            if self.contract != None:

                self.Log('Expiry days away {} - {}'.format((self.contract.Expiry-self.Time).days, self.contract.Expiry))

            if self.contract != None and (self.contract.Expiry - self.Time).days < 3:

                idx = 1

            

            contracts = list(chain.Contracts.Values)

            

            chain_contracts = list(contracts) 

            chain_contracts = sorted(chain_contracts, key=lambda x: x.Expiry)

            

            if len(chain_contracts) < 2:

                return False

                

            first = chain_contracts[idx]

            second = chain_contracts[idx+1]

            

            if (first.Expiry - self.Time).days >= 3:

                self.contract = first

            elif (first.Expiry - self.Time).days < 3 and (second.Expiry - self.Time).days >= 3:

                self.contract = second

            self.Log("Setting contract to: {}".format(self.contract.Symbol.Value))

            

            self.new_day = False

            self.reset = True



            if self.contract.Symbol not in self.consolidators:

                self.consolidators[self.contract.Symbol] = self.Consolidate(

                    self.contract.Symbol, timedelta(minutes=5), self.OnFiveMinutes)

            if self.contract.Symbol not in self.movingAverages:

                self.movingAverages[self.contract.Symbol] = self.SMA(self.contract.Symbol, self.sma_period, Resolution.Minute)

                history = self.History(self.contract.Symbol, self.sma_period, Resolution.Minute).close.unstack(1)

                for index, close in history[self.contract.Symbol].items():

                    time = index[1]

                    self.movingAverages[self.contract.Symbol].Update(time, close)

            

                

            

            return True

        return False

        

    def OnFiveMinutes(self, bar):



        if not self.window.IsReady: 

            return



        currentBar = self.window[0]  

        nearBar = self.window[1]

        farBar = self.window[2]

        

      

        if bar.Symbol != self.contract.Symbol:

            return



        sma = self.movingAverages.get(bar.Symbol, None)

        if sma is None or not sma.IsReady:

            return



        near = nearBar.Close

        far = farBar.Close

        

        sma = sma.Current.Value

        price = bar.Close    



        holdings = self.Portfolio[bar.Symbol].Quantity



        if not self.Portfolio.Invested:

            if far < sma and near > sma and price > near:

                self.MarketOrder(bar.Symbol, 1)

            if far > sma and near < sma and price < near:

                self.MarketOrder(bar.Symbol, -1)

                

        if holdings > 0 and price < sma:

            self.Liquidate(bar.Symbol)

            

        if holdings < 0 and price > sma:

            self.Liquidate(bar.Symbol)

            

 





    def OnEndOfDay(self):

        self.new_day = True

Hope this time it works.

Rahul Chowdhury

39.9k ,

Hey Croft,

There are a few things to note.

1. The OnData(self, slice) method should only have 1 parameter. The self refers to the instance of the class and does not count as a parameter. OnData's parameter is the Slice object which contains all the data currently available. This Slice object can be referred to with any variable name, in this instance OnData(self, slice), we are referring to the Slice parameter with the name slice. But in general, we can use any name. You may notice that in other examples/algorithms, the Slice variable is referred to with the name data; OnData(self, data). Both OnData(self, data) and OnData(self, slice) are both valid and do not change the behavior of OnData. In the algorithm you provided , both slice and data appear in OnData(self, slice, data), which is incorrect because 2 parameters are provided, when OnData should only provide 1. Let's choose 1 variable name to designate to the Slice object parameter; we can use OnData(self, slice).

2. This line is attempting to add bar data for the CL future chain.

self.window.Add(slice["CL"])

This does not work because the ticker "CL" does not refer to any one security. Instead, It refers to a chain of securities/futures contracts. So, we should add bar data for specific contracts in the chain.A simple solution is to add the 5 minute bars to our window as they are created.

def OnFiveMinutes(self, bar):

    self.window.Add(bar)

....

3. Before we attempt to access the close column in our history dataframe, we should make sure it is not empty. Otherwise, we may encounter an error.

history = self.History(self.contract.Symbol, self.sma_period, Resolution.Minute).close.unstack(1)



# Instead use

history = self.History(self.contract.Symbol, self.sma_period, Resolution.Minute)

if not history.empty:

    history = history.close.unstack(1)

Make sure to also check out this Futures strategy which trades based on EMA crossovers on the front month contract.

Best
Rahul

Croft

284 ,

Rahul, thank you so much.

Croft INVESTOR

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