Boot Camp: (#8) 200-50 EMA Momentum Unverse (All Text and Code)

200-50 EMA Momentum Universe

In this lesson we will select a universe of assets where the 50-EMA is greater than the 200 EMA, create a custom class to hold symbol specific data, and use the history API to prepare our indicators.

What You'll Learn

Laying down our universe foundation
Grouping data with classes
Creating properties and methods to tidy code
Using a history call to prepare indicators

Lesson Requirements

We recommend you complete all previous beginner lessons before starting this lesson.

Laying Our Universe Foundation

200-50 EMA Momentum Universe
Laying Our Universe Foundation

In this lesson we will using two indicators to perform selection on a universe of securities.

Creating Our Universe

Recall that we use coarse universe selection to create a set of stocks based on dollar-volume, and price. To create our universe of assets we need to pass a coarse selection filter function to the self.AddUniverse() method in our initializer.

# Pass the filter function into AddUniverse in your Initializer def Initialize(self): self.AddUniverse(self.CoarseSelectionFilter) # Create a filter function def CoarseSelectionFilter(self, coarse): pass Using Our Filter

Our CoarseSelectionFilter must return a list of symbols, which LEAN automatically subscribes to and adds to our algorithm.

To filter and sort our stocks we can use lambda functions and list comprehension.

# Use the sorted method and lambda to get keys in ascending order (greatest to least in DollarVolume) sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True) # Use list comprehension to get symbols from your sorted list # with a price more than $5 per share and get the top 10 symbols [c.Symbol for c in sortedByDollarVolume if c.Price > 5][:10]Adding and Removing Securities

The OnSecuritiesChanged event fires whenever we have changes to our universe. It receives a SecurityChanges object containing references to the added and removed securities. The AddedSecurities and RemovedSecurities properties are lists of security objects.

# Liquidate the securities that are no longer in our universe for security in changes.RemovedSecurities: self.Liquidate(security.Symbol) # Set Holdings for the securities added to our universe for security in changes.AddedSecurities: self.SetHoldings(security.Symbol, 0.10)

Task Objectives CompletedContinue

Reverse sort coarse by dollar volume to get the highest volume stocks.
Filter out the stocks less than $10, save the result to self.selected.
Liquidate securities leaving the universe in the OnSecuritiesChanged event.
Allocate 10% holdings to each asset added to the universe.

Hint: Are you indexing the changes.AddedSecurities and changes.RemovedSecurities, collections with the security.Symbol? If you need to review these topics you can go back to the lesson Liquid Universe Selection. Code: class EMAMomentumUniverse(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2019, 1, 7)
self.SetEndDate(2019, 4, 1)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction)
self.selected = None

def CoarseSelectionFunction(self, coarse):
#1. Sort coarse by dollar volume
sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)
#2. Filter out the stocks less than $10 and return selected
self.selected = [c.Symbol for c in sortedByDollarVolume if c.Price > 10][:10]
return self.selected

def OnSecuritiesChanged(self, changes):
#3. Liquidate securities leaving the universe
for security in changes.RemovedSecurities:
self.Liquidate(security.Symbol)
#4. Allocate 10% holdings to each asset added to the universe
for security in changes.AddedSecurities:
self.SetHoldings(security.Symbol, 0.10) ------------------------continued below....

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Grouping Data with Classes

200-50 EMA Momentum Universe
Grouping Data with Classes

The 200-50 EMA Momentum Strategy

An exponential moving average (EMA) is a technical analysis tool. We can calculate averages of asset price for any time period.

The momentum strategy hypothesis is that stocks that have performed well in the past will continue to perform well. The EMA Momentum Universe selects stocks based on their fast and slow moving average values. An ExponentialMovingAverage() class is initialized with a number of bars. Its period is that bar count, multiplied by the period of the bars used.

Creating Classes

So far our algorithms have all been part of one class. We can create additional classes as a way to group together variables for our universe selection and update any indicators all in a few lines of code. We create another class so each class focuses on one problem, this is known as "Separation of Concerns".

Initializing Class Objects

Classes can set a constructor to initialize members of the class.

# Create a class to group our indicators class SelectionData: # Set the constructer __init__ that takes the parameter self def __init__(self): # Save the indicator to self.ema self.slow = ExponentialMovingAverage(200)

Methods can group code and provide a clean way to check our indicators are ready. For universes it is convenient to check if our indicators are ready with the IsReady property:

# Create a class method called is_ready class SelectionData: def is_ready(self): # Return the IsReady property return self.slow.IsReady

We could also use a method to group updating indicators as demonstrated below. The benefits of this abstraction are more obvious with more complex examples.

# Create a class method called update that takes the parameters self, time, price class SelectionData: def update(self, time, price): #Use the Update property to get the time and price for our indicators self.fast.Update(time, price) self.slow.Update(time, price)

Task Objectives CompletedContinue

We will create a new class to hold the 200 ("slow") and 50 ("fast") day moving average indicator objects. The new class is initialized and updated via methods.

Create a class named class SelectionData().
Create a constructor which takes the self object. In the constructor, create the self.fast and self.slow class variables and initialize them with an ExponentialMovingAverage object.
Create a method in SelectionData named is_ready with a self parameter which returns true if our slow and fast indicators are ready.
Create a method in SelectionData named update with self, time, and price parameters which updates the indicators with the latest price.

Hint: Remember to include the self paramter first in your methods. Remember the indicator classes take an uppercase U for their Update methods, and uppercase, or pascal case IsReady for checking their state. Code:

class EMAMomentumUniverse(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2019, 1, 7)
self.SetEndDate(2019, 4, 1)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction)

def CoarseSelectionFunction(self, coarse):
sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)
selected = [c.Symbol for c in sortedByDollarVolume if c.Price > 10][:10]
return selected

def OnSecuritiesChanged(self, changes):
for security in changes.RemovedSecurities:
self.Liquidate(security.Symbol)
for security in changes.AddedSecurities:
self.SetHoldings(security.Symbol, 0.10)

#1. Create a class SelectionData
class SelectionData():
#2. Create a constructor that takes self
def __init__(self):
#2. Save the fast and slow ExponentialMovingAverage
self.slow = ExponentialMovingAverage(200)
self.fast = ExponentialMovingAverage(50)

#3. Check if our indicators are ready
def is_ready(self):
return self.slow.IsReady and self.fast.IsReady

#4. Use the "indicator.Update" method to update the time and price of both indicators
def update(self, time, price):
self.fast.Update(time, price)
self.slow.Update(time, price)

Applying Class In Universe

200-50 EMA Momentum Universe
Applying Class In Universe

Universes and Dictionaries

Let's create a SelectionData for every security in our universe, and store it in a dictionary to quickly access their methods.

Initializing a Dictionary# Initialize a dictionary called averages self.averages = {}Adding to a Dictionary, Checking if an Item is in Dictionary

Dictionaries are a way of storing data which you can look up later with a "key". To perform EMA-universe selection on every security we'll need a SelectionData for every Symbol in our universe.

We can check if an item exists in a dictionary with in. We should check if it exists before creating a new copy:

# check if the object is already in the dictionary. if symbol not in self.averages: # Add the new SelectionData to the key self.averages[symbol] = SelectionData()Accessing Dictionary Items

You can access and use dictionary items with braces/brackets. Using braces you can look up the specific Symbol and find the right SelectionData value.

# e.g. Accessing a method and pass in parameters self.averages[symbol].update(self.Time, coarse.AdjustedPrice) # e.g. Accessing property of class, as a dictionary item if self.averages[symbol].fast > self.averages[symbol].slow: # Access dictionary methods with braces using "dot notation" if self.averages[symbol].is_ready(): selected.append(symbol)

Task Objectives CompletedContinue

Create a dictionary class variable named self.averages.
In your universe selection, check if the dictionary contains symbol.
If Symbol is not in the averages dictionary, create a new instance of SelectionData; and add it to averages.
Access the self.averages[symbol] and update it with the time and adjusted price data.
Using the SelectionData object in averages, check if the indicators are ready, and the fast-EMA is greater than the slow-EMA. Then use append to add symbol to the selected list.

Hint: Dictionaries can be a little tricky until you get used to them. Think of it like a book, where you're sorting data on different pages. You can look up the right page with the Symbol object Code:    class EMAMomentumUniverse(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2019, 1, 7)
self.SetEndDate(2019, 4, 1)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction)

#1. Create our dictionary and save it to self.averages
self.averages = { }

def CoarseSelectionFunction(self, universe):
selected = []
universe = sorted(universe, key=lambda c: c.DollarVolume, reverse=True)
universe = [c for c in universe if c.Price > 10][:100]

# Create loop to use all the coarse data
for coarse in universe:
symbol = coarse.Symbol

#2. Check if we've created an instance of SelectionData for this symbol
if symbol not in self.averages:
#3. Create a new instance of SelectionData and save to averages[symbol]
self.averages[symbol] = SelectionData()
#4. Update the symbol with the latest coarse.AdjustedPrice data
self.averages[symbol].update(self.Time, coarse.AdjustedPrice)

#5. Check if 50-EMA > 200-EMA and if so append the symbol to selected list.
if self.averages[symbol].fast > self.averages[symbol].slow:
if self.averages[symbol].is_ready():
selected.append(symbol)
return selected[:10]

def OnSecuritiesChanged(self, changes):
for security in changes.RemovedSecurities:
self.Liquidate(security.Symbol)

for security in changes.AddedSecurities:
self.SetHoldings(security.Symbol, 0.10)

class SelectionData(object):
def __init__(self):
self.slow = ExponentialMovingAverage(200)
self.fast = ExponentialMovingAverage(50)

def is_ready(self):
return self.slow.IsReady and self.fast.IsReady

def update(self, time, price):
self.fast.Update(time, price)
self.slow.Update(time, price)

Greg Kendall

2.5k Pro ,

Preparing Indicators with History

200-50 EMA Momentum Universe
Preparing Indicators with History

Applying a History Function

We need to prepare our indicators with data. With the QuantConnect History API, we request data for symbols as a pandas dataframe.

The History API has many different helpers, the simplest of these gets data for a single symbol.

history = self.History(symbol, 200, Resolution.Daily)Using History DataFrame

Each row of the history result represents the prices at a point of time. Each column of the DataFrame is a property of the price data (e.g. open, high, low, close).

History data is returned in ascending order from oldest to newest. If no resolution is chosen the default is Resolution.Minute. We can iterate over the results of a history call using itertuples(). The history DataFrame has two indexes; Symbol(0) and Time(1). You can access the time of a row by using row.Index[1]. The column names of the history result are lowercase.

for bar in history.itertuples(): self.fast.Update(bar.Index[1], bar.close) self.slow.Update(bar.Index[1], bar.close)

In our previous backtest we didn't see trades because our indicators were waiting for 200 days to pass before they were ready to use. Here we will use the History API to speed up getting ready for trading.

Call History to get 200 days of history data for each symbol in our universe
Adjust the creation of the SelectionData object to pass in the history result
Update the __init__ constructor to accept a history array.
Iterate over the history data, passing rows into the update method to prepare the indicators.

Hint: You can pass in the history result like this SelectionData(history). CODE:

for coarse in universe:
symbol = coarse.Symbol

if symbol not in self.averages:
# 1. Call history to get an array of 200 days of history data
history = self.History(symbol, 200, Resolution.Daily)

#2. Adjust SelectionData to pass in the history result
self.averages[symbol] = SelectionData(history)

self.averages[symbol].update(self.Time, coarse.AdjustedPrice)

if self.averages[symbol].is_ready() and self.averages[symbol].fast > self.averages[symbol].slow:
selected.append(symbol)

return selected[:10]

def OnSecuritiesChanged(self, changes):
for security in changes.RemovedSecurities:
self.Liquidate(security.Symbol)

for security in changes.AddedSecurities:
self.SetHoldings(security.Symbol, 0.10)

class SelectionData():
#3. Update the constructor to accept a history array
def __init__(self, history):
self.slow = ExponentialMovingAverage(200)
self.fast = ExponentialMovingAverage(50)
#4. Loop over the history data and update the indicators
for bar in history.itertuples():
self.fast.Update(bar.Index[1], bar.close)
self.slow.Update(bar.Index[1], bar.close)

def is_ready(self):
return self.slow.IsReady and self.fast.IsReady

def update(self, time, price):
self.fast.Update(time, price)
self.slow.Update(time, price)

Here is the backtest and code:

Angelo Galanti

37 Pro ,

I cannot complete Lesson 7 Task 03 Grouping Data with Classes in the boot camp.
I copied the solution.py in my main.py but I do receive the error 'QCAlgorithm' is not defined.
This is the first task when I need to create a Class and somehow I think this is related to the problem
Could someone help me?
Thanks

Error Message:

Algorithm.Initialize() Error: During the algorithm initialization, the following exception has occurred: Loader.TryCreatePythonAlgorithm(): Unable to import python module ./cache/algorithm/project/main.pyc. AlgorithmPythonWrapper(): name 'QCAlgorithm' is not defined
at <module>
class EMAMomentumUniverse(QCAlgorithm):
at Python.Runtime.PythonException.ThrowLastAsClrException()
at Python.Runtime.NewReferenceExtensions.BorrowOrThrow(NewReference& reference)
at Python.Runtime.PyModule.Import(String name)
at Python.Runtime.Py.Import(String name)
at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper..ctor(String moduleName) at AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs:line 74 in main.py: line 0
name 'QCAlgorithm' is not defined Stack Trace: During the algorithm initialization, the following exception has occurred: Loader.TryCreatePythonAlgorithm(): Unable to import python module ./cache/algorithm/project/main.pyc. AlgorithmPythonWrapper(): name 'QCAlgorithm' is not defined
at <module>
class EMAMomentumUniverse(QCAlgorithm):
at Python.Runtime.PythonException.ThrowLastAsClrException()
at Python.Runtime.NewReferenceExtensions.BorrowOrThrow(NewReference& reference)
at Python.Runtime.PyModule.Import(String name)
at Python.Runtime.Py.Import(String name)
at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper..ctor(String moduleName) at AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs:line 74 in main.py: line 0
name 'QCAlgorithm' is not defined

Stacktrace:

During the algorithm initialization, the following exception has occurred: Loader.TryCreatePythonAlgorithm(): Unable to import python module ./cache/algorithm/project/main.pyc. AlgorithmPythonWrapper(): name 'QCAlgorithm' is not defined at class EMAMomentumUniverse(QCAlgorithm): at Python.Runtime.PythonException.ThrowLastAsClrException() at Python.Runtime.NewReferenceExtensions.BorrowOrThrow(NewReference& reference) at Python.Runtime.PyModule.Import(String name) at Python.Runtime.Py.Import(String name) at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper..ctor(String moduleName) at AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs:line 74 in main.py: line 0 name 'QCAlgorithm' is not defined

Alexandre Catarino

106.5k Pro ,

Hi Angelo Galanti ,

Thank you for the report.
We have fixed the lesson by adding

from AlgorithmImports import *

at the beginning of the script. The AlgorithmImports contains the QCAlgorithm definition.

Best regards,
Alex

Greg Kendall INVESTOR

Update Backtest

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