Maybe I'm just totally lost, but how would one going about using the Max attribute? Im trying to create a variable for an entry signal based on a 55 day high, just to get a working algorithm going.
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self.LE_Signal = self.Max(self.Symbol, 55, Resolution.Daily)I keep getting an error saying "
AttributeError : 'Algorithm' object has no attribute 'Max'
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Hard to say for sure without pretext of algorithm but guessing it's the capitalization, MAX()
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.
3
import numpy as np
import pandas as pd
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from datetime import datetime, timedelta
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data.Market import TradeBar
import json
import math
from QuantConnect.Data import SubscriptionDataSource
from QuantConnect.Python import PythonData
from QuantConnect.Indicators import *
from QuantConnect.Securities import *
class Algorithm(QCAlgorithm):
def Initialize(self):
#Establish universe-wide settings
self.UniverseSettings.Resolution = Resolution.Daily
self.UniverseSettings.Leverage = 2
#Initial investment and backtest period
self.SetStartDate(2019,1,1) #Set Start Date
self.SetEndDate(datetime.now().date() - timedelta(1)) #Set End Date
self.SetCash(1000000) #Set Strategy Cash
futureGold = self.AddFuture(Futures.Metals.Gold, Resolution.Minute);
# Only consider the front month contract
# Update the universe once per day to improve performance
future.SetFilter(lambda x: x.FrontMonth().OnlyApplyFilterAtMarketOpen())
# Symbol of the current contract
self.symbol = None
# set our expiry filter for this futures chain
# SetFilter method accepts timedelta objects or integer for days.
# The following statements yield the same filtering criteria
#self.futureGold.SetFilter(timedelta(0), timedelta(182))
#self.futureGold.SetFilter(0, 182)
benchmark = self.AddEquity("SPY");
self.SetBenchmark(benchmark.Symbol);
self.entryPeriod = 125
self.exitPeriod = 7
# Long Entry
self.LE_Signal = self.MAX(future, self.entryPeriod, Resolution.Daily)Â
Hi Sean,
To use indicators with futures, I suggest following this example, changing EMA to MAX. Furthermore, we are working on adding support to continuous contracts.
Best,
Shile Wen
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.
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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