Hi all, I am new to QuantConnect and I am currently coding up a momentum strategy (Andreas Clenow). 

1) Base screen of the top 500 companies based on trading volume

2) Secondary screen to calculate the screened securities' their regression coefficient multiplied by R squared values. I then store these values in a dictionary for sorting to obtain the top 10 securities with the highest scores 

3) Equal weighting portfolio with monthly rebalancement - Liquidate positions if stock is no longer in the long list. 

Based on all of this, I still am unable to get my backtest to run as I run into the following error

Runtime Error: Value cannot be null.
Parameter name: source

I am not sure where I went wrong so any help is appreciated! Thank you.