Creating Breakout Signal by Sean Tiffen

Sean Tiffen

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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.

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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Sean Tiffen

Accepted Answer

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Jared Broad

Hard to say for sure without pretext of algorithm but guessing it's the capitalization, MAX()

Sean Tiffen

43 ,

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)

Shile Wen

STAFF ,

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

Sean Tiffen

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