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Hi Everyone,
as you might have guessed it I am brand new to the Quant World and also new to programming. So every help is more than welcome.
I started with the bootcamp and thought I´ll give the momentum strategy my own spin with my limited programing skills. Unfortunatelly I ran in an ->
Runtime Error: Object reference not set to an instance of an object (Open Stacktrace)
and I am not able to fix it on my own.
I can´t attach the backtest because it didnt start. So I just paste the code here ->
***The Idea is to split the self.mom List into two list. One with positiv momentum and one with negativ momentum. The first positiv symbol I will go long and the top negativ I want to go short***
from datetime import timedelta
from QuantConnect.Indicators import *
class MOMAlphaModel(AlphaModel):
def __init__(self):
self.mom = []
def OnSecuritiesChanged(self, algorithm, changes):
for security in changes.AddedSecurities:
symbol = security.Symbol
self.mom.append({"symbol":symbol, "indicator":algorithm.MOM(symbol, 1, Resolution.Daily)})
def Update(self, algorithm, data):
ordered = sorted(self.mom, key=lambda kv: kv["indicator"].Current.Value, reverse=True)
pos_mom = filter(lambda kv: kv["indicator"].Current.Value > 0, ordered)
neg_mom = filter(lambda kv: kv["indicator"].Current.Value < 0, ordered)
pos_mom_sort = sorted(pos_mom, key=lambda kv: kv["indicator"].Current.Value, reverse=True)
neg_mom_sort = sorted(neg_mom, key=lambda kv: kv["indicator"].Current.Value, reverse=True)
if len(pos_mom_sort) > 0 and len(neg_mom_sort) > 0:
return Insight.Group([Insight.Price(pos_mom_sort[0]['symbol'], timedelta(1), InsightDirection.Up), Insight.Price(neg_mom_sort[0]['symbol'], timedelta(1), InsightDirection.Down) ])
if len(pos_mom_sort) > 0 and len(neg_mom_sort) == 0:
return Insight.Group([Insight.Price(pos_mom_sort[0]['symbol'], timedelta(1), InsightDirection.Up), Insight.Price(pos_mom_sort[1]['symbol'], timedelta(1), InsightDirection.Up) ])
if len(pos_mom_sort) == 0 and len(neg_mom_sort) > 0:
return Insight.Group([Insight.Price(neg_mom_sort[0]['symbol'], timedelta(1), InsightDirection.Down), Insight.Price(neg_mom_sort[1]['symbol'], timedelta(1), InsightDirection.Down) ])
Thank You for your help in advance!
Adam W
Is this all there is in the algorithm?
The main module for running the algorithm is a `QCAlgorithm` class object, so you'd need to create something like:
class MyAlgorithm(QCAlgorithm): def Initialize(self): self.AddAlpha(MOMAlphaModel()) # Attach your Alpha Model def OnData(self): pass class MOMAlphaModel(AlphaModel): # your alpha modelIf you already have this, could be helpful to click that "Open Stacktrace" button and paste it here
Mark Reeve
Adam W, Thanks for your help on my issue! .Current.Value was exactly what I was missing.
Sorry for bombing this thread, I couldn't figure out how to DM you!
Sebastian Schmidt
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