Hello, I am creating a new algorithm that uses the MACD indicator, but I would like to use Energy ETF Basket Universe Module from the algorithm creator through "self.SetUniverseSelection(VolatilityETFUniverse())" in the Initialize method.

How do I get the indicator to get the MACD values on each individual stock in the Universe, and then how do I reference that in OnData? Here is a sample:

def Initialize(self): self.SetStartDate(2021, 1, 1) self.SetCash(1000000) self.SetExecution(ImmediateExecutionModel()) self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.05)) self.UniverseSettings.Resolution = Resolution.Minute self.SetUniverseSelection(VolatilityETFUniverse()) self.mac = self.MACD(*symbols*, 12, 26, 9, MovingAverageType.Exponential, Resolution.Minute) def OnData(self, data): if self.mac.Current.Value < 1: self.SetHoldings(*symbols*, .1)

What exactly do I have to put in place of *symbols* ? Do I have to do something like create a variable and set it equal to the Universe, then reference it with variable.Symbol?

 

Thanks for the help

Author

Ethan Wertlieb

January 2021