I am trying to figure out why this just runs endlessly.  No error is specified and nothing appears in the console when I try running the back test.  

See below: 

  1. class NadionResistanceShield(QCAlgorithm):
  3. #class DataConsolidationAlgorithm(QCAlgorithm):
  4.    def Initialize(self):
  5.        self.SetStartDate(2021, 1, 1)  # Set Start Date
  6.       # self.SetEndDate(2019, 1, 3)
  7.        self.SetCash(25000)  # Set Strategy Cash
  9.        self.tickers = ["ADSK","AMD","AMZN","ASML","ATLC","DXCM","ETSY","EXPI","FB","FND","HALO","JYNT","KNSL","MED","MPWR","NFLX","PYPL","SKY","VEEV"]
  10.       
  11.        self.symbolDataBySymbol = {}
  12.        self.MarketCaps = ["SPY", "TLT", "GLD", "VNQ"]# "QQQ"]#,"MDY","IWM"]
  13.        self.marketDataBySymbol = {}
  14.        
  15.        self.volatilityDataBySymbol = {}
  16.        self.vix = ["VIX"]
  17.        
  18.        self.trade = True
  19.        self.atr=[]
  20.        
  21.        self.spy = "SPY"
  22.        self.iwm = "IWM"
  23.        self.mdy = "MDY"
  24.        self.qqq = "QQQ"
  25.        self.vix = "VIX"
  26.        # Before the open
  27.        
  28.        # Trailing distance in $
  29.        self.trail_dist = 10  
  30.        
  31.        # Declare an attribute that we shall use for storing our
  32.        # stop loss ticket. 
  33.        self.sl_order = None
  34.        # Declare an attribute that we will use to store the last trail level
  35.        # used. We will use this to decide whether to move the stop
  36.        self.last_trail_level = None
  37.   
  38.        
  39.        
  40.        for symbolmark in self.MarketCaps:
  41.            symbol = self.AddEquity(symbolmark, Resolution.Hour).Symbol
  42.            
  43.            sma50 = self.SMA(symbol, 50, Resolution.Daily, Field.Close)
  44.            sma200 = self.SMA(symbol, 200, Resolution.Daily, Field.Close)
  45.            rsi = self.RSI(symbol, 14, Resolution.Daily)
  46.            
  47.            self.marketDataBySymbol[symbol] = symbolMarkData(symbol, sma50, sma200, rsi)
  48.        
  49.        for symbolvol in self.vix:
  50.            symbol = self.AddEquity(symbolmark, Resolution.Hour).Symbol
  51.            rsi = self.RSI(symbol, 14, Resolution.Daily)
  52.            wilr = self.WILR(symbol, 14, Resolution.Daily)
  53.            
  54.            self.volatilityDataBySymbol[symbol] = symbolvolData(symbol, rsi, wilr)
  55.        
  56.        
  57.        for symbol in self.tickers:
  58.            self.AddEquity(symbol, Resolution.Hour)
  59.            
  60.            '''For the below 3 EMA's, you can convert them to 4H bars using the colidator method'''
  61.            
  62.            ema10 = self.EMA(symbol, 10, Resolution.Hour, Field.Close)
  63.            sma200 = self.SMA(symbol, 200, Resolution.Daily, Field.Close)
  64.            sma7 = self.SMA(symbol, 7, Resolution.Hour, Field.Close)
  65.            sma20 = self.SMA(symbol, 20, Resolution.Daily, Field.Close)
  66.            self.sma = self.SMA(symbol, 20, Resolution.Hour, Field.Close)
  67.            sma50 = self.SMA(symbol, 50, Resolution.Daily, Field.Close)
  68.            ema20 = self.EMA(symbol, 20, Resolution.Hour, Field.Close)
  69.            ema50 = self.EMA(symbol, 50, Resolution.Hour, Field.Close)
  70.            rsi = self.RSI(symbol, 14, Resolution.Daily)
  71.            wilr = self.WILR(symbol, 14, Resolution.Daily)
  72.            wilr_fast = self.WILR(symbol, 10, Resolution.Daily)
  73.            
  74.            
  75.            
  76.            atr = self.ATR(symbol, 20, Resolution.Daily)
  77.            self.atr.append(self.ATR(symbol, 7, Resolution.Daily))
  78.        
  79.            self.high = self.MAX(symbol, 5, Resolution.Daily, Field.High)
  80.            self.longtermfast = self.MAX(symbol, 40, Resolution.Daily, Field.Low)
  81.            self.longtermslow = self.MAX(symbol, 50, Resolution.Daily, Field.Low)
  82.            self.low = self.MIN(symbol, 5, Resolution.Daily, Field.Low)
  83.            self.stoplow = self.MIN(symbol, 20, Resolution.Daily, Field.Low)
  84.            
  85.            self.sma.Updated += self.OnSMA
  86.            
  87.            '''Consolidator method'''
  88.            smaConsolidate = ExponentialMovingAverage(20, MovingAverageType.Simple)
  89.            # create the 4 hour data consolidator
  90.            fourHourConsolidator = TradeBarConsolidator(timedelta(hours=4))
  91.            self.SubscriptionManager.AddConsolidator(symbol, fourHourConsolidator)
  92.            # register the 4 hour consolidated bar data to automatically update the indicator
  93.            self.RegisterIndicator(symbol, smaConsolidate, fourHourConsolidator)
  94.            
  95.            symbolData = SymbolData(symbol, ema10, sma20, sma200, sma7, sma50, ema20, ema50, rsi, wilr, wilr_fast, atr, smaConsolidate)
  96.            self.symbolDataBySymbol[symbol] = symbolData
  97.        
  98.        
  99.        
  100.        self.spy = self.AddEquity("SPY", Resolution.Daily)
  101.        
  102.        # Before the open
  103.        self.Schedule.On(self.DateRules.EveryDay("SPY"), 
  104.                self.TimeRules.AfterMarketOpen("SPY", -5), 
  105.                Action(self.beforeTheOpen))
  106.        
  107.        
  109.        
  110.        self.Schedule.On(self.DateRules.EveryDay("SPY"),
  111.                self.TimeRules.AfterMarketOpen("SPY", 30), self.buySignals)         
  112.        
  113.        self.Schedule.On(self.DateRules.EveryDay("SPY"),
  114.                self.TimeRules.AfterMarketOpen("SPY", 30), self.sellSignals)
  115.        
  116.        
  117.                 
  118.        self.Schedule.On(self.DateRules.EveryDay("SPY"),
  119.                self.TimeRules.BeforeMarketClose("SPY", 10), self.buySignals)
  120.                
  121.        self.Schedule.On(self.DateRules.EveryDay("SPY"),        
  122.                self.TimeRules.BeforeMarketClose("SPY", 10), self.sellSignals)
  123.                
  124.                
  125.        self.Schedule.On(self.DateRules.EveryDay("SPY"),        
  126.                self.TimeRules.BeforeMarketClose("SPY", 10), self.stopLoss)
  127.                
  128.        self.Schedule.On(self.DateRules.EveryDay("SPY"),        
  129.                self.TimeRules.AfterMarketOpen("SPY", 10), self.stopLoss)
  130.                 
  131.    
  132.        #self.AddRiskManagement(TrailingStopRiskManagementModel(0.04))
  133.        self.SetWarmUp(timedelta(days=180))
  134.    
  135.    def beforeTheOpen(self):
  136.        self.Log("SPY: {0}".format(self.spy.Close))
  137.        #for i in range(len(self.tickers)):
  138.        #    self.Log("ATR: {0}".format(self.atr[i].Current.Value))
  139.            
  140.    
  141.            
  142.    
  143.    def OnData(self, data):
  144.        return
  145.         # We need to check that the symbol has data before trying to access
  146.        # OHLC. Otherwise an exception is raised if the data is missing. 
  147.        
  148.        
  149.        
  150.    def tradeStart(self):
  151.        self.trade = True
  152.    def tradeEnd(self):
  153.        self.trade = False
  154.    
  155.    def OnOrderEvent(self, OrderEvent):
  156.        '''Event when the order is filled. Debug log the order fill. :OrderEvent:'''
  157.        if OrderEvent.FillQuantity == 0:
  158.            return
  159.        # Get the filled order
  160.        Order = self.Transactions.GetOrderById(OrderEvent.OrderId)
  161.        
  162.        # Log the filled order details
  163.        self.Log("ORDER NOTIFICATION >> {} >> Status: {} Symbol: {}. Quantity: "
  164.                    "{}. Direction: {}. Fill Price {}".format(str(Order.Tag),
  165.                                                   str(OrderEvent.Status),
  166.                                                   str(OrderEvent.Symbol),
  167.                                                   str(OrderEvent.FillQuantity),
  168.                                                   str(OrderEvent.Direction),
  169.                                                   str(OrderEvent.FillPrice)))
  170.        #self.Log(OrderEvent.FillPrice - symbolData.atr.Current.Value))
  171.    def buySignals(self):
  172.        if self.trade == False:
  173.            return
  174.        
  175.         # Return if benchmark is below SMA
  176.        for symbolmark, symbolMarkData in self.marketDataBySymbol.items():
  177.            if (self.Securities[symbolmark].Close >  symbolMarkData.rsi.Current.Value > 50):
  178.                return
  179.        
  180.        for symbolvol, symbolvolData in self.volatilityDataBySymbol.items():
  181.            if (self.Securities[symbolvol].Close >  symbolvolData.wilr.Current.Value < -20):
  182.                return
  183.            
  184.        for symbol, symbolData in self.symbolDataBySymbol.items():
  185.           if not self.Portfolio[symbol].Invested  and (self.Securities[symbol].Close < self.low.Current.Value) and (self.longtermfast.Current.Value > self.longtermslow.Current.Value):
  186.                self.SetHoldings(symbol, .1, False, "Buy Signal")
  187.                    
  188.            
  189.    def sellSignals(self):
  190.        if self.trade == False:
  191.            return
  192.            
  193.        for symbol, symbolData in self.symbolDataBySymbol.items():
  194.            
  195.            if self.Portfolio[symbol].Invested and (self.Securities[symbol].Close > self.high.Current.Value):
  196.                self.Liquidate(symbol, "Sell Signal")
  197.                
  198.          
  199.                # Update our trailing stop loss as necessary
  200.    def stopLoss(self):
  201.        if  self.trade == False:
  202.            return
  203.        for symbolvol, symbolvolData in self.volatilityDataBySymbol.items():
  204.            if (self.Securities[symbolvol].Close >  symbolvolData.wilr.Current.Value > -25):
  205.                self.Liquidate("Sell Signal")
  206.                
  207.    
  208.        
  209.    def OnSMA(self, sender, updated):
  210.        if self.sma.IsReady:
  211.            #self.Debug(f"SMA Updated on {self.Time} with value: {self.sma.Current.Value}")
  212.            return
  214. class symbolMarkData:
  215.    def __init__(self, symbol, sma50, sma200, rsi):
  216.        self.Symbol = symbol
  217.        self.sma50 = sma50
  218.        self.sma200 = sma200
  219.        self.rsi = rsi
  220. class symbolvolData:
  221.    def __init__(self, symbol, rsi, wilr):
  222.        self.Symbol = symbol
  223.        self.rsi = rsi
  224.        self.wilr = wilr
  226. class SymbolData:
  227.    def __init__(self, symbol, ema10, sma20, sma50, sma200, sma7, ema20, ema50, rsi, wilr, wilr_fast, atr, smaConsolidate):
  228.        self.Symbol = symbol
  229.        self.ema10 = ema10
  230.        self.sma20 = sma20
  231.        self.sma50 = sma50
  232.        self.sma200 = sma200
  233.        self.sma7 = sma7
  234.        self.ema20 = ema20
  235.        self.ema50 = ema50
  236.        self.rsi = rsi
  237.        self.wilr = wilr
  238.        self.wilr_fast = wilr_fast
  239.        self.atr = atr
  240.        #self.emaConsolidate = emaConsolidate
  241.        self.smaConsolidate = smaConsolidate
+ Expand

Author

Axist

July 2021