Using the same algorithm code that I have in live. From today the backtest is no longer run, the strange thing that 10 minutes after running the last backtest, it stopped working. After about an hour of trying, one was successful and immediately afterwards kept giving the same error in the events section.
The source code is that of this topic: Intersection of Roc,

all the algorithms contained in this topic have stopped working and have the same error.

Runtime Error: In Scheduled Event 'EveryDay: SPY: 100 min after MarketOpen', Trying to retrieve an element from a collection using a key that does not exist in that collection throws a KeyError exception. To prevent the exception, ensure that the SPY key exist in the collection and/or that collection is not empty.
  at _validate_read_indexer
    key=key in indexing.py:line 1177
 KeyError : "None of [Index([SPY], dtype='object', name='symbol')] are in the [columns]"

 

 

  1. import numpy as np
  2. # ------------------------------------------------------------------
  3. STK = ['QQQ']; BND = ['TLT']; VOLA = 126; BASE_RET = 85; LEV = 1.00; 
  4. PAIRS = ['SLV', 'GLD', 'XLI', 'XLU', 'DBB', 'UUP']
  5. # ------------------------------------------------------------------
  6. class DualMomentumInOut(QCAlgorithm):
  8.     def Initialize(self):
  10.         self.SetStartDate(2020, 1, 1)
  11.         self.SetEndDate(2021, 3, 4)
  12.         self.cap = 10000
  13.         self.SetCash(self.cap)      
  14.         
  15.         self.STK = self.AddEquity('QQQ', Resolution.Minute).Symbol
  16.         self.BND = self.AddEquity('TLT', Resolution.Minute).Symbol
  18.         self.ASSETS = [self.STK, self.BND]
  20.         self.SLV = self.AddEquity('SLV', Resolution.Daily).Symbol  
  21.         self.GLD = self.AddEquity('GLD', Resolution.Daily).Symbol  
  22.         self.XLI = self.AddEquity('XLI', Resolution.Daily).Symbol 
  23.         self.XLU = self.AddEquity('XLU', Resolution.Daily).Symbol
  24.         self.DBB = self.AddEquity('DBB', Resolution.Daily).Symbol  
  25.         self.UUP = self.AddEquity('UUP', Resolution.Daily).Symbol  
  26.         self.MKT = self.AddEquity('SPY', Resolution.Daily).Symbol 
  28.         self.pairs = [self.SLV, self.GLD, self.XLI, self.XLU, self.DBB, self.UUP]
  29.         
  30.         self.bull = 1        
  31.         self.count = 0 
  32.         self.outday = 0        
  33.         self.wt = {}
  34.         self.real_wt = {}
  35.         self.mkt = []
  36.         self.SetWarmUp(timedelta(350))
  38.         self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 100),
  39.             self.daily_check)
  40.             
  41.         symbols = [self.MKT] + self.pairs
  42.         for symbol in symbols:
  43.             self.consolidator = TradeBarConsolidator(timedelta(days=1))
  44.             self.consolidator.DataConsolidated += self.consolidation_handler
  45.             self.SubscriptionManager.AddConsolidator(symbol, self.consolidator)
  46.         
  47.         self.history = self.History(symbols, VOLA + 1, Resolution.Daily)
  48.         if self.history.empty or 'close' not in self.history.columns:
  49.             return
  50.         self.history = self.history['close'].unstack(level=0).dropna()
  51.         
  52.         
  53.     def consolidation_handler(self, sender, consolidated):
  54.         
  55.         self.history.loc[consolidated.EndTime, consolidated.Symbol] = consolidated.Close
  56.         self.history = self.history.iloc[-(VOLA + 1):] 
  57.         
  59.     def daily_check(self):
  60.         
  61.         vola = self.history[[self.MKT]].pct_change().std() * np.sqrt(252)
  62.         wait_days = int(vola * BASE_RET)
  63.         period = int((1.0 - vola) * BASE_RET)        
  64.         r = self.history.pct_change(period).iloc[-1]
  66.         exit = ((r[self.SLV] < r[self.GLD]) and (r[self.XLI] < r[self.XLU]) and  (r[self.DBB] < r[self.UUP]))
  68.         if exit:
  69.             self.bull = False
  70.             self.outday = self.count
  71.         if self.count >= self.outday + wait_days:
  72.             self.bull = True
  73.         self.count += 1
  75.         if not self.bull:
  76.             for sec in self.ASSETS:    
  77.                 self.wt[sec] = LEV if sec is self.BND else 0 
  78.             self.trade() 
  80.         elif self.bull:
  81.             for sec in self.ASSETS:
  82.                 self.wt[sec] = LEV if sec is self.STK else 0 
  83.             self.trade()  
  85.                     
  86.     def trade(self):
  88.         for sec, weight in self.wt.items():
  89.             if weight == 0 and self.Portfolio[sec].IsLong:
  90.                 self.Liquidate(sec)
  91.                 
  92.             cond1 = weight == 0 and self.Portfolio[sec].IsLong
  93.             cond2 = weight > 0 and not self.Portfolio[sec].Invested
  94.             if cond1 or cond2:
  95.                 self.SetHoldings(sec, weight)
  96.             
  97.                     
  98.     def OnEndOfDay(self): 
  99.         
  100.         mkt_price = self.Securities[self.MKT].Close
  101.         self.mkt.append(mkt_price)
  102.         mkt_perf = self.mkt[-1] / self.mkt[0] * self.cap
  103.         self.Plot('Strategy Equity', 'SPY', mkt_perf)
  104.         
  105.         account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue
  106.         self.Plot('Holdings', 'leverage', round(account_leverage, 1))
  107.         for sec, weight in self.wt.items(): 
  108.             self.real_wt[sec] = round(self.ActiveSecurities[sec].Holdings.Quantity * self.Securities[sec].Price / self.Portfolio.TotalPortfolioValue,4)
  109.             self.Plot('Holdings', self.Securities[sec].Symbol, round(self.real_wt[sec], 3))
+ Expand

Author

Strongs

July 2021