Hey, i have been attempting to create  a rolling window for EMA values, that i can then use to reference back to it as a condition to enter into a trade but i have been unsuccessful. i keep getting this error:

Runtime Error: TypeError : Cannot get managed object
at OnData
PEMABelowPreviousP = previousEMA < previous_price

Can someone help?

Here is the code i'm working with.

  1. from datetime import datetime,timedelta
  2. PriceEqual2Slow = None
  3. SlowEqual2Price = None
  4. PEMABelowPreviousP = None
  5. PEMA2BelowPreviousP2 = None
  6. PEMA3BelowPreviousP3 = None
  7. PEMA4BelowPreviousP4 = None
  8.                 
  9. PEMAOverPreviousP = None               
  10. PEMA2OverPreviousP2 = None
  11. PEMA3OverPreviousP3 = None
  12. PEMA4OverPreviousP4 = None
  14. class HipsterFluorescentPinkFrog(QCAlgorithm):
  16.     def Initialize(self):
  17.         self.SetStartDate(2019, 1, 30)  # Set Start Date
  18.         self.SetEndDate(2020, 1, 30)
  19.         self.SetCash(100000)  # Set Strategy Cash
  20.         
  21.         self.ticker = "EURUSD" #"USDJPY","GBPUSD",  "USDCAD","EURUSD".
  22.         # Rolling Windows to hold bar close data keyed by symbol
  23.         self.Data = {}
  25.         #for self.ticker in self.tickers:
  26.         symbol = self.AddForex(self.ticker , Resolution.Hour, Market.Oanda).Symbol
  27.         self.Data[symbol] = SymbolData(self, symbol)
  28.          
  29.     
  30.         #self.tolerance = 0.0000 
  31.      
  32.         self.stopLossLevel = -0.05 # stop loss percentage 
  33.         self.stopProfitLevel = 0.01# stop profit percentage
  34.         
  35.             
  36.         self.SetWarmUp(200, Resolution.Hour)
  37.         
  40.     def OnData(self, data):
  41.         
  42.         if self.IsWarmingUp: #Data to warm up the algo is being collected.
  43.             return
  44.         
  45.         for symbol, symbolData in self.Data.items(): #Return the dictionary's key-value pairs:
  46.             if not (data.ContainsKey(symbol) and data[symbol] is not None and symbolData.IsReady):
  47.                 continue
  48.             
  49.             slowEMA = symbolData.slowema.Current.Value
  50.             #slowEMA = float(symbolData.slowWindow[0])
  51.             
  52.             self.Log(f"{symbolData.slowWindow[1]} ema values ")
  53.             
  54.            
  55.             #sWindow = symbolData.slowWindow
  56.             previousEMA = symbolData.slowWindow[1]
  57.             previous2EMA = symbolData.slowWindow[2]
  58.             previous3EMA = symbolData.slowWindow[3]
  59.             previous4EMA = symbolData.slowWindow[4]
  60.     
  61.             current_price = symbolData.closeWindow[0] 
  62.             
  63.             previous_price = symbolData.closeWindow[1]
  64.             previous2_price = symbolData.closeWindow[2]
  65.             previous3_price = symbolData.closeWindow[3]
  66.             previous4_price = symbolData.closeWindow[4]
  68.             if self.Portfolio[symbol].Invested:
  69.                 
  70.                 if self.isLong:
  71.                     condStopProfit = (current_price - self.buyInPrice)/self.buyInPrice > self.stopProfitLevel
  72.                     condStopLoss = (current_price - self.buyInPrice)/self.buyInPrice < self.stopLossLevel
  73.                     if condStopProfit:
  74.                         self.Liquidate(symbol)
  75.                         self.Log(f"{self.Time} Long Position Stop Profit at {current_price}")
  76.                         
  77.                     if condStopLoss:
  78.                         self.Liquidate(symbol)
  79.                         self.Log(f"{self.Time} Long Position Stop Loss at {current_price}")
  80.                 else:
  81.                     condStopProfit = (self.sellInPrice - current_price)/self.sellInPrice > self.stopProfitLevel
  82.                     condStopLoss = (self.sellInPrice - current_price)/self.sellInPrice < self.stopLossLevel
  83.                     if condStopProfit:
  84.                         self.Liquidate(symbol)
  85.                         self.Log(f"{self.Time} Short Position Stop Profit at {current_price}")
  86.                         
  87.                     if condStopLoss:
  88.                         self.Liquidate(symbol)
  89.                         self.Log(f"{self.Time} Short Position Stop Loss at {current_price}")
  90.             
  91.             
  92.             
  93.             if not self.Portfolio[symbol].Invested:
  94.                 PriceEqual2Slow = (current_price - slowEMA) == 0.0000 
  95.                 SlowEqual2Price = (current_price - slowEMA) == 100.0000
  96.                 PEMABelowPreviousP = previousEMA < previous_price 
  97.                 PEMA2BelowPreviousP2 = previous2EMA < previous2_price 
  98.                 PEMA3BelowPreviousP3 = previous3EMA < previous3_price 
  99.                 PEMA4BelowPreviousP4 = previous4EMA < previous4_price 
  100.                 
  101.                 PEMAOverPreviousP = previousEMA > previous_price 
  102.                 PEMA2OverPreviousP2 = previous2EMA > previous2_price
  103.                 PEMA3OverPreviousP3 = previous3EMA > previous3_price
  104.                 PEMA4OverPreviousP4 = previous4EMA > previous4_price
  105.                 
  106.               
  107.                 
  108.                 if PriceEqual2Slow and PEMAOverPreviousP and PEMA2OverPreviousP2 and PEMA3OverPreviousP3 and PEMA4OverPreviousP4:
  109.                     self.SetHoldings(symbol, 1)
  110.                     # get buy-in price for trailing stop loss/profit
  111.                     self.buyInPrice = current_price
  112.                     # entered long position
  113.                     self.isLong = True
  114.                     self.Log(f"{self.Time} Entered Long Position at {current_price}")
  115.                         
  116.                 if SlowEqual2Price and PEMABelowPreviousP and PEMA2BelowPreviousP2 and PEMA3BelowPreviousP3 and PEMA4BelowPreviousP4: 
  117.                     self.SetHoldings(symbol, -1)
  118.                     # get sell-in price for trailing stop loss/profit
  119.                     self.sellInPrice = current_price
  120.                     # entered short position
  121.                     self.isLong = False
  122.                     self.Log(f"{self.Time} Entered Short Position at {current_price}")
  123.                         
  124.                     
  125. class SymbolData:
  126.     def __init__(self, algorithm, symbol):
  127.         self.slowema= ExponentialMovingAverage(200)
  128.         
  129.         self.slowWindow = RollingWindow[IndicatorDataPoint](10)   #setting the Rolling Window for the fast MACD indicator, takes two values
  130.         algorithm.RegisterIndicator(symbol, self.slowema, timedelta(hours=1))
  131.         self.slowema.Updated += self.SlowEMAUpdated                    #Updating those two values
  132.         
  133.         self.closeWindow = RollingWindow[float](10)
  134.         
  135.         # Add consolidator to track rolling close prices
  136.         self.consolidator = QuoteBarConsolidator(1)
  137.         self.consolidator.DataConsolidated += self.CloseUpdated
  138.         algorithm.SubscriptionManager.AddConsolidator(symbol, self.consolidator)
  139.         
  140.        
  141.     def SlowEMAUpdated (self, sender, updated):
  142.         '''Event holder to update the MACD Rolling Window values.'''
  143.         if self.slowema.IsReady:
  144.             self.slowWindow.Add(updated)
  145.             
  146.     def CloseUpdated(self, sender, bar):
  147.         '''Event holder to update the close Rolling Window values'''
  148.         self.closeWindow.Add(bar.Close)
  149.        
  150.        
  151.        
  152.     @property 
  153.     def IsReady(self):
  154.         return self.slowWindow.IsReady and self.closeWindow.IsReady
  155.   
  156.     
+ Expand

Author

Samwel Kibet

February 2022