For some reason this lesson https://www.quantconnect.com/learning/task/158/Preparing-Indicators-with-History does not make real backtest, in fact there is no results.

I've tried to copy the code from the ‘solution' - the same, no results

serhii_3_1732699465.jpg

 

In video there are immediately results on backtest. What can be the reason?

 

Full code:

  1. # region imports
  2. from AlgorithmImports import *
  3. # endregion
  4. from AlgorithmImports import *
  6. class EMAMomentumUniverse(QCAlgorithm):
  7.     
  8.     def Initialize(self):
  9.         self.set_start_date(2019, 1, 7)
  10.         self.set_end_date(2019, 4, 1)
  11.         self.set_cash(100000)
  12.         self.universe_settings.resolution = Resolution.DAILY
  13.         self.add_universe(self.coarse_selection_function) 
  14.         self.averages = { }
  15.     
  16.     def coarse_selection_function(self, universe):  
  17.         selected = []
  18.         universe = sorted(universe, key=lambda c: c.dollar_volume, reverse=True)  
  19.         universe = [c for c in universe if c.price > 10][:100]
  21.         for coarse in universe:  
  22.             symbol = coarse.symbol
  23.             
  24.             if symbol not in self.averages:
  25.                 # 1. Call history to get an array of 200 days of history data
  26.                 history = self.history(symbol, 200, Resolution.DAILY)
  27.                 
  28.                 #2. Adjust SelectionData to pass in the history result
  29.                 self.averages[symbol] = SelectionData(history) 
  31.             self.averages[symbol].update(self.time, coarse.adjusted_price)
  32.             
  33.             if  self.averages[symbol].is_ready() and self.averages[symbol].fast > self.averages[symbol].slow:
  34.                 selected.append(symbol)
  35.         
  36.         return selected[:10]
  37.         
  38.     def on_securities_changed(self, changes):
  39.         for security in changes.removed_securities:
  40.             self.liquidate(security.symbol)
  41.        
  42.         for security in changes.added_securities:
  43.             self.set_holdings(security.symbol, 0.10)
  44.             
  45. class SelectionData():
  46.     #3. Update the constructor to accept a history array
  47.     def __init__(self, history):
  48.         self.slow = ExponentialMovingAverage(200)
  49.         self.fast = ExponentialMovingAverage(50)
  50.     
  51.         #4. Loop over the history data and update the indicators
  52.         for bar in history.itertuples():
  53.             self.update(bar.Index[1], bar.close)
  54.     
  55.     def is_ready(self):
  56.         return self.slow.is_ready and self.fast.is_ready
  57.     
  58.     def update(self, time, price):
  59.         self.fast.update(time, price)
  60.         self.slow.update(time, price)
+ Expand

Author

Serhii

November 2024