Finding what RSI was Yesterday

Hi Lemuel,

The easiest way rather than keeping history manually in the OnData is to use a rolling window:

self.rsi = algo.RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily)
self.rsi_win = RollingWindow[float](3) #3 slots: current, yesterday's and day before yesterday
self.rsi.Updated += lambda sender,updated: self.rsi_win.Add(algo.RSI.Current.Value) 
#Above will make a call to the anonymous function every time the rsi is updated so you can update the window accordingly

So when you are evaluating just make sure the window is ready.

if not self.self.rsi_win.IsReady: return
today_rsi = self.rsi_win[0]
yesterday_rsi = self.rsi_win[1]
day_before_yesterday_rsi = self.rsi_win[2]

Dario, 

I tried integrating your suggestion into an algorithm I am trying to work out. But I am getting an error that “Method had no Attribute to Current”. I am guessing I am missing something in tying the rolling window to Symbol-Data.

See attached Algo for what I tried so far

class BasicTemplateAlgorithm(QCAlgorithm):
   def Initialize(self):
    
       self.SetStartDate(2021,6,26)
       self.SetCash(5000000)
       self.Data_Symbol = {}
       tickers = ["SPY", #10 stocks per row
                   "AAPL", "MSFT", "GOOGL", "AMZN", "TSLA", "FB", "NVDA", "TSM", "V",
                   "UNH", "JPM", "JNJ", "HD", "PG", "WMT", "BAC", "MA", "ASML", "PFE", 
                   "BABA", "DIS", "AVGO", "NFLX", "ADBE", "CSCO", "NTES", "NKE", "LLY",
                   
                   
                   
                   ]
       
       
       self.SetWarmUp(10, Resolution.Daily)                
                       
       for stock in tickers:
           symbol = self.AddEquity(stock, Resolution.Minute).Symbol
           self.Data_Symbol[symbol] = SymbolData(self, symbol)
      
 
       self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.Every(timedelta(minutes=1)), self.EveryDayAfterMarketOpen)
           
           
   def EveryDayAfterMarketOpen(self):
       if self.IsWarmingUp: return
       
       
       for symbol, symbol_data in self.Data_Symbol.items():
   
           #if not self.self.rsi_win.IsReady: return
           if not symbol_data.rsi_win.IsReady: return
       
           holdings = self.Portfolio[symbol]
           invested = holdings.Invested
           nowprice = holdings.Price
           aveprice = holdings.AveragePrice
           quantity = holdings.Quantity
           bpower = self.Portfolio.Cash
           OpenOrders = self.Transactions.GetOpenOrders(symbol)
           
           today_rsi = symbol_data.rsi_win[0].Current.Value
           yesterday_rsi = symbol_data.rsi_win[1].Current.Value
           day_before_yesterday_rsi = symbol_data.rsi_win[2].Current.Value
           
         
           
           
           if OpenOrders: return # This part works
       
           if not invested and vestedvalue < (0.6 * totalvalue) and bpower > nowprice * mofactor and (nowprice * mofactor) < limita and totalvalue > 25000:
               if today_rsi > yesterday_rsi: #or nowprice < close * losta or nowprice < opena * losta or nowprice < high * dropa) and vol > 300000:
                   self.MarketOrder(symbol, mofactor)
                   if self.LiveMode:
                       self.Log(f'{symbol} bought on {self.Time}')
                       
class SymbolData:
   def __init__ (self,algo,symbol):
       self.algorithm = algo
       self.symbol = symbol
     
       
       self.rsi = algo.RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily)
       self.rsi_win = RollingWindow[float](3) #3 slots: current, yesterday's and day before yesterday
       self.rsi.Updated += lambda sender,updated: self.rsi_win.Add(algo.RSI.Current.Value) 
       
       

Hi Lemuel,

In your RollingWindow, you store floats:

self.rsi_win = RollingWindow[float](3) #3 slots: current, yesterday's and day before yesterday

So you do not need “.Current.Value” like this:

today_rsi = symbol_data.rsi_win[0].Current.Value

You should just do this:

today_rsi = symbol_data.rsi_win[0]

and

yesterday_rsi = symbol_data.rsi_win[1]

and

day_before_yesterday_rsi = symbol_data.rsi_win[2]

Fred

Hi Fred, I tried that and I get an error stating “algorithm has no reference ”Self"

Hi Lemuel,

Sorry but did you use “Self” with a capital “S”? If so, it is “self” with a small “s".

If you used “self” with a small “s”, then that error is a bit weird. I would need a dump of the code throwing that error. “self” with a small “s” should be accessible pretty much everywhere except outside classes and their methods. Maybe in a “method” declared without a “self” parameter…

Cheers,

Fred

I used low cap “s”

This is what I have so far. The problem appears to be on the very last line. The backtest states there is no reference to “Current” in that last line so the backtest gives an error

class BasicTemplateAlgorithm(QCAlgorithm):

    def Initialize(self):
     
        self.SetStartDate(2021,6,26)
        self.SetCash(5000000)
        self.Data_Symbol = {}
        tickers = ["SPY", #10 stocks per row
                    "AAPL", "MSFT", "GOOGL", "AMZN", "TSLA", "FB", "NVDA", "TSM", "V",
                    "UNH", "JPM", "JNJ", "HD", "PG", "WMT", "BAC", "MA", "ASML", "PFE", 
                    "BABA", "DIS", "AVGO", "NFLX", "ADBE", "CSCO", "NTES", "NKE", "LLY",
                    
                    
                    
                    ]
        
        
        self.SetWarmUp(10, Resolution.Daily)                
                        
        for stock in tickers:
            symbol = self.AddEquity(stock, Resolution.Minute).Symbol
            self.Data_Symbol[symbol] = SymbolData(self, symbol)
       
  
        self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.Every(timedelta(minutes=1)), self.EveryDayAfterMarketOpen)
            
            
    def EveryDayAfterMarketOpen(self):
        if self.IsWarmingUp: return
        
        
        for symbol, symbol_data in self.Data_Symbol.items():
    
            if not self.self.rsi_win.IsReady: return
            if not symbol_data.rsi_win.IsReady: return
        
            holdings = self.Portfolio[symbol]
            invested = holdings.Invested
            nowprice = holdings.Price
            aveprice = holdings.AveragePrice
            quantity = holdings.Quantity
            bpower = self.Portfolio.Cash
            OpenOrders = self.Transactions.GetOpenOrders(symbol)
            
            today_rsi = symbol_data.rsi_win[0]
            yesterday_rsi = symbol_data.rsi_win[1]
            day_before_yesterday_rsi = symbol_data.rsi_win[2]
            
          
            
            
            if OpenOrders: return # This part works
        
            if not invested: 
                if today_rsi > yesterday_rsi:
                    if self.LiveMode:
                        self.Log(f'{symbol} bought on {self.Time}')
                        

class SymbolData:
    def __init__ (self,algo,symbol):
        self.algorithm = algo
        self.symbol = symbol
       

        
        self.rsi = algo.RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily)
        self.rsi_win = RollingWindow[float](3) 
        self.rsi.Updated += lambda sender,updated: self.rsi_win.Add(algo.RSI.Current.Value) 

        

Hi

It seems to me that you have two typos:

1. line 34: if not self.self.rsi_win.IsReady: return 

     did you mean: “if not symbol_data.rsi.IsReady:” ?

2. line 69:   self.rsi.Updated += lambda sender,updated: self.rsi_win.Add(self.rsi.Current.Value) 
 

Rubio
 

Hi Lemuel Mwangi,
In the above snippet inside the SymbolData class we need to use:
 

self.rsi.Updated += lambda sender,updated: self.rsi_win.Add(self.rsi.Current.Value)

Because algo.RSI() is a helper method to create the rsi indicator object, not an instance of the RSI indicator; here in our case it is self.rsi.
Alternatively we recommend using the IndicatorExtensions.Of method refer to the following code snippet:
 

self.rsi = algo.RSI(symbol, 14, MovingAverageType.Simple, Resolution.Daily)
self.rsi_2 = IndicatorExtensions.Of(Delay(2),self.rsi)

Here the self.rsi_2 refers to the indicator delayed by 2 days. Refer to the following doc for more information.
Best,
Varad Kabade

I tried the suggestions above but still getting an error, won't even run a backtest (I guess I am not that savvy when it comes to coding). Is anyone willing to edit my also about such that it runs a backtest?

Hi Lemuel,
Please find a working backtest attached after removing the bugs from the above snippet.
Best,
Varad Kabade