Hello All,

I have been trying to learn how to use rolling windows using Quant Connect's RSI Alpha Model as a starting point. When I try to run the code shown below, I receive the following error:

Runtime Error: AttributeError : 'NoneType' object has no attribute 'Close' AttributeError : 'NoneType' object has no attribute 'Close' (Open Stacktrace)

I believe the error comes from line 35 in my code, but I thought that the preceding "if" statement on line 34 should have prevented this error. If anyone happens to know how to fix this problem, I would greatly appreciate some advice.

As a separate question, I'm not sure how to load my historical data in the rolling window. Any advice on this question would also be appreciated.

from Execution.ImmediateExecutionModel import ImmediateExecutionModel from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel from Risk.MaximumDrawdownPercentPerSecurity import MaximumDrawdownPercentPerSecurity from Selection.QC500UniverseSelectionModel import QC500UniverseSelectionModel class SimpleRSITestQC500Universe(QCAlgorithm): def Initialize(self): self.SetStartDate(2010, 1, 1) # Set Start Date self.SetEndDate(2010, 2, 28) # Set End Date self.SetCash(100000) # Set Strategy Cash self.SetExecution(ImmediateExecutionModel()) self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel()) self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.05)) symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA), Symbol.Create("GE", SecurityType.Equity, Market.USA), Symbol.Create("BA", SecurityType.Equity, Market.USA) ] self.SetUniverseSelection(ManualUniverseSelectionModel(symbols)) self.AddAlpha(RsiAlphaModelTest()) class RsiAlphaModelTest(AlphaModel): def __init__(self, period = 14, resolution = Resolution.Daily): self.period = period self.resolution = resolution self.insightPeriod = Time.Multiply(Extensions.ToTimeSpan(resolution), period) self.symbolDataBySymbol = {} self.closeWindows = {} resolutionString = Extensions.GetEnumString(resolution, Resolution) self.Name = '{}({},{})'.format(self.__class__.__name__, period, resolutionString) def Update(self, algorithm, data): insights = [] for symbol, symbolData in self.symbolDataBySymbol.items(): if data.ContainsKey(symbol): self.closeWindows[symbol].Add(data[symbol].Close) if self.closeWindows[symbol].Count>2: algorithm.Debug(self.closeWindows[symbol][2]) rsi = symbolData.RSI previous_state = symbolData.State state = self.GetState(rsi, previous_state) if state != previous_state and rsi.IsReady: if state == State.TrippedLow: insights.append(Insight.Price(symbol, self.insightPeriod, InsightDirection.Up)) if state == State.TrippedHigh: insights.append(Insight.Price(symbol, self.insightPeriod, InsightDirection.Down)) symbolData.State = state return insights def OnSecuritiesChanged(self, algorithm, changes): # clean up data for removed securities symbols = [ x.Symbol for x in changes.RemovedSecurities ] if len(symbols) > 0: for subscription in algorithm.SubscriptionManager.Subscriptions: if subscription.Symbol in symbols: self.symbolDataBySymbol.pop(subscription.Symbol, None) subscription.Consolidators.Clear() # initialize data for added securities addedSymbols = [ x.Symbol for x in changes.AddedSecurities if x.Symbol not in self.symbolDataBySymbol] if len(addedSymbols) == 0: return history = algorithm.History(addedSymbols, self.period, self.resolution) for symbol in addedSymbols: rsi = algorithm.RSI(symbol, self.period, MovingAverageType.Wilders, self.resolution) self.closeWindows[symbol] = RollingWindow[float](4) # need to figure out how to load historical data into rolling window if not history.empty: ticker = SymbolCache.GetTicker(symbol) if ticker not in history.index.levels[0]: Log.Trace(f'RsiAlphaModel.OnSecuritiesChanged: {ticker} not found in history data frame.') continue for tuple in history.loc[ticker].itertuples(): rsi.Update(tuple.Index, tuple.close) self.symbolDataBySymbol[symbol] = SymbolData(symbol, rsi) def GetState(self, rsi, previous): if rsi.Current.Value > 70: return State.TrippedHigh if rsi.Current.Value < 30: return State.TrippedLow if previous == State.TrippedLow: if rsi.Current.Value > 35: return State.Middle if previous == State.TrippedHigh: if rsi.Current.Value < 65: return State.Middle return previous class SymbolData: def __init__(self, symbol, rsi): self.Symbol = symbol self.RSI = rsi self.State = State.Middle class State(Enum): '''Defines the state. This is used to prevent signal spamming and aid in bounce detection.''' TrippedLow = 0 Middle = 1 TrippedHigh = 2