Hello, when I launch this algorithm it returns me an error.However I don't see what can be wrong.Can Someone help me please
Thank You
class DynamicHorizontalChamber(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019, 1, 7)
self.SetEndDate(2019, 4, 1)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction)
self.averages = { }
def SelectionFunction(self, universe):
selected = []
universe = sorted(universe, key=lambda c: c.DollarVolume, reverse=True)
universe = [c for c in universe if c.Price > 100][:100]
for coarse in universe:
symbol = coarse.Symbol
if symbol not in self.averages:
history = self.History(symbol, 200, Resolution.Daily)
self.averages[symbol] = Selection(history)
self.averages[symbol].update(self.Time, coarse.AdjustedPrice)
if self.averages[symbol].is_ready() and self.averages[symbol].stt < 20:
selected.append(symbol)
return selected[100:]
def OnSecuritiesChanged(self, changes):
self.changes = changes
self.Log(f"OnSecuritiesChanged({self.Time}):: {changes}")
for security in self.changes.RemovedSecurities:
if security.Invested:
self.Liquidate(security.Symbol)
for security in self.changes.AddedSecurities:
self.SetHoldings(security.Symbol, 0.10)
class Selection():
def __init__(self,history):
self.stt = StandardDeviation(200)
for bar in history.itertuples():
self.stt.Update(bar.Index[1],bar.close)
def is_ready(self):
return self.stt.IsReady
def update(self, time, price):
self.stt.Update(time,price)
Wawes23
HI, I replaced self.CoarseSelectionFunction by SelectionFunction but it still doesn't work
Rahul Chowdhury
Hey Wawes123,
stt represents the StandardDeviation indicator object and its current value can be found with stt.Current.Value.
This means for a given symbol you can access it's StandardDeviation value with
self.averages[symbol].stt.Current.Value
You also need to slice the selected list from the front rather than the end.
selected[100:] to selected[:100] , this ensures the selected symbols are properly returned by universe selection.
Here is a backtest with the changes.
Wawes23
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