Hi, I'm pretty new to all this so here's my code. I'm trying to get the top 20 stocks with highest volatility. I get volatility by ATR/price. I keep getting this error: 

Runtime Error: AttributeError : 'SelectionData' object has no attribute 'ATR'  at __init__    self.atr = self.ATR(self.symbol in main.py: line 48

My code's below, I was wondering about how I would go about correcting this?

  1. """
  2. This algorithm will find 20 stocks with highest momentum so far at 9:00am to give market time to move. 
  3. I will buy these stocks if the SPY is positive for the day. It will sell stocks at 11:45am because 
  4. this is when its lunch time and trading dies down.
  6. """
  7. class CalmMagentaBat(QCAlgorithm):
  9.     def Initialize(self):
  10.         self.SetStartDate(2018, 1, 1)
  11.         self.SetStartDate(2021, 1, 1)
  12.         self.SetCash(100000)
  13.         
  14.         self.UniverseSettings.Resolution = Resolution.Minute
  15.         self.UniverseSettings.Leverage = 2
  16.         
  17.         self.stateData = {}
  18.         
  19.         self.AddUniverse(self.MyCoarseFilterFunction)
  20.         
  21.         
  22.         
  23.     def MyCoarseFilterFunction(self, coarse):
  24.         for c in coarse:
  25.             if c.Symbol not in self.stateData:
  26.                 self.stateData[c.Symbol] = SelectionData(c.Symbol, 30)
  27.         values = [x for x in self.stateData.values()]
  28.         values.sort(key=lambda x: x.volatility, reverse=True)
  29.         return [x.symbol for x in values[:20]]
  30.         
  31.     # this event fires whenever we have changes to our universe
  32.     def OnSecuritiesChanged(self, changes):
  33.         # liquidate removed securities
  34.         for security in changes.RemovedSecurities:
  35.             if security.Invested:
  36.                 self.Liquidate(security.Symbol)
  38.         # we want 10% allocation in each security in our universe
  39.         for security in changes.AddedSecurities:
  40.             self.SetHoldings(security.Symbol, 0.05)
  42.     def OnData(self, data):
  43.         pass
  45. class SelectionData(object):
  46.     def __init__(self, symbol, period):
  47.         self.symbol = symbol
  48.         self.atr = self.ATR(self.symbol, period, Resolution.Minute)
  49.         self.volatility = (self.atr.Current.Value)/(self.Securities[self.symbol].Price)
  51.     def update(self, time, price):
  52.         pass
+ Expand

Author

Arsal Khan

October 2021