Overall Statistics
class LexxHelp(QCAlgorithm):

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2013, 12, 31)  #Set Start Date
        self.SetEndDate(2015, 1, 1)    #Set End Date
        self.SetCash(100000)            #Set Strategy Cash
        self.current_month = 12

        # what resolution should the data *added* to the universe be?
        self.UniverseSettings.Resolution = Resolution.Daily
        # An indicator(or any rolling window) needs data(updates) to have a value, doesnt help due to monthly selection?
        #self.UniverseSettings.MinimumTimeInUniverse = 10

        # this add universe method accepts two parameters:
        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
        # Set dictionary of indicators
        self.indicators = {}
        # Set a list of the selected universe
        self.universe = []

        self.__numberOfSymbols     = 100
        self.__numberOfSymbolsFine = 10
        self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol

    def OnData(self, data):

        # This updates the indicators at each data step(based on resolution)
        for symbol in self.universe:
            # is symbol iin Slice object? (do we even have data on this step for this asset)
            if not data.ContainsKey(symbol):
            # 686 | 13:35:43: Runtime Error: Python.Runtime.PythonException: AttributeError : 'NoneType' object has no attribute 'Price'
            if data[symbol] is None:
            # Does this slice have the price data we need at this moment?
            if data[symbol].Price is None:

            # Either create a new indicator, or update one we already have
            if symbol not in self.indicators:
                self.indicators[symbol] = SymbolData(symbol, self)
            self.indicators[symbol].update_value(self.Time, data[symbol].Price)

            # We are warming up the indicators, cannot trade or other stuff
            if self.IsWarmingUp: continue
            # now you can use logic to trade, random example:
            lowerband = self.indicators[symbol].bb_10.LowerBand.Current.Value
            upperband = self.indicators[symbol].bb_10.UpperBand.Current.Value
            # Log the symbol, price & indicators. 
            self.Log("{0}\tPrice : {1:0.2f}\tUPPERBAND : {2:0.2f}\tLOWERBAND : {3:0.2f}".format(symbol, 
            # SLOW, but used to generate some trades.
            ma = self.History(symbol, 10).close.mean()
            # current price: self.Securities[symbol].Price or data[symbol].Price
            if ma < lowerband:
                self.SetHoldings(symbol, -0.99/float(len(self.universe)))
            elif ma > upperband:
                self.SetHoldings(symbol, 0.99/float(len(self.universe)))


    # sort the data by daily dollar volume and take the top 'NumberOfSymbols'
    def CoarseSelectionFunction(self, coarse):
        # sort descending by daily dollar volume
        sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)

        # return the symbol objects of the top entries from our sorted collection
        return [ x.Symbol for x in sortedByDollarVolume[:self.__numberOfSymbols] ]

    # sort the data by P/E ratio and take the top 'NumberOfSymbolsFine'
    def FineSelectionFunction(self, fine):
        # sort descending by P/E ratio
        sortedByPeRatio = sorted(fine, key=lambda x: x.ValuationRatios.FCFYield, reverse=True)
        # resulting symbols
        result = [ x.Symbol for x in sortedByPeRatio[:self.__numberOfSymbolsFine] ]
        # Only update our universes on a new month? Not sure I like this hack, might work better in coarse to save more resources?
        if self.current_month != self.Time.month:
            #self.Log(str(self.Time.month)+ " : " +str(len(result)))
            self.current_month = self.Time.month
            self.universe      = result
            return result
            return self.universe

    # this event fires whenever we have changes to our universe
    def OnSecuritiesChanged(self, changes):
        # liquidate removed securities
        for security in changes.RemovedSecurities:
            if security.Invested:
                # clean up
                del self.indicators[security.Symbol]

class SymbolData(object):
    def __init__(self, symbol, context):
        self.symbol = symbol
        I had to pass ATR from outside object to get it to work, could pass context and use any indica
        var atr = ATR(Symbol symbol, int period, MovingAverageType type = null, Resolution resolution = null, Func`2[Data.IBaseData,Data.Market.IBaseDataBar] selector = null)
        #self.ema = context.EMA(symbol, self.window)
        #self.indicator = context.BB(symbol, self.window)
        self.bb_10 = context.BB(symbol,10,2,MovingAverageType.Simple,Resolution.Daily)
        #self.indicator2 = context.BB(symbol,20,1,MovingAverageType.Simple,Resolution.Daily)

    Runtime Error: Python.Runtime.PythonException: NotSupportedException : AverageTrueRange does not support Update(DateTime, decimal) method overload. Use Update(IBaseDataBar) instead.
    #def update_bar(self, bar):
    #    self.atr.Update(bar)
    def update_value(self, time, value):
        self.bb_10.Update(time, value)