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Running the following code
import numpy as np
import datetime
from scipy import stats
class Algorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2012,1,2) #Set Start Date
self.SetEndDate(2012,1,5) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.atr_window = 20
self.symbols = ['ABT', 'ACN', 'ACE', 'ADBE','SPY']
self.atrDict = {}
for symbol in self.symbols:
self.AddEquity(symbol, Resolution.Daily)
self.atrDict[symbol]=self.ATR(symbol, self.atr_window )
self.Schedule.On(self.DateRules.MonthStart("SPY"),
self.TimeRules.AfterMarketOpen("SPY", 60),
Action(self.Rebalance))
def Rebalance(self):
for symbol in self.symbols:
averageTrueRange = self.atrDict[symbol].Current.Value
self.Debug(averageTrueRange)I get an ATR value of 0. Why?
Gurumeher Sawhney
Thanks for providing the code! It looks like the algorithm runs for 3 days, however the resolution is set to daily and the ATR window is set to 20. That means that the indicator has not finished warming up is not ready by the time the algorithm is over. Also, since the scheduled event Rebalance() occurs that the start of every month, it is necessary to have a start date and date that have a span of more than one month. There are a few measures taken in the backtest below to make it runs. The length of the backtest was increased to greater than 20 days, and the conditional statement
if not self.atrDict['ABT'].IsReady:was used. The backtest has debug statements to show how the algorithm enters the Rebalance function for additional guidance:
Filib Uster
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