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I'm trying to append the daily range to a list everyday I can't figure it out. I need this for my custom ATR indicator that analyzes the list and gives an atr value. if someone could help me fix my code you'd save from the final stages of insanity
class CalibratedDynamicInterceptor(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 6, 1)
self.SetCash(100000)
self.atrLength = 14
self.trList = []
self.AddEquity("SPY", Resolution.Minute)
history = self.History(["SPY"], 2, Resolution.Daily)
self.currentSymbolData = history
self.yesterdayhigh = (self.currentSymbolData["high"][0])
self.yesterdaylow = (self.currentSymbolData["low"][0])
self.tr = abs(self.yesterdayhigh - self.yesterdaylow)
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(18, 1), self.newTR)
def newTR(self):
self.trList.append(self.tr)
def GetATRW(self):
self.trLen = 0
self.atrV = 5
self.old = 0
self.newer = 1
self.new = 2
self.adjList = []
self.WTRS = 0
for i in self.trList:
self.trLen += 1
if self.trLen > 3:
for num in self.trList:
self.WTRS += num
self.atrV = self.WTRS / self.trLen
elif self.trLen <= 3 and self.trLen < self.atrLength:
while self.new < self.trLen:
self.newNum = (self.trList[old]*.2) + (self.trList[newer]*.3) + (self.trList[new]*.5)
self.adjList.append(newNum)
self.old += 1
self.newer += 1
self.new += 1
for numbers in self.adjList:
self.WTRS += numbers
self.atrV = self.WTRS / (self.trLen - 2)
elif self.trLen < self.atrLength or self.trLen == self.atrLength:
while self.trLen > self.atrLength:
self.trList.pop(0)
self.trLen -= 1
while self.new < self.atrLength:
self.newNum = (self.trList[old]*.2) + (self.trList[newer]*.3) + (self.trList[new]*.5)
self.adjList.append(newNum)
self.old += 1
self.newer += 1
self.new += 1
for numbers in self.adjList:
self.WTRS += numbers
self.atrV = self.WTRS / (self.atrLength - 2)
return self.atrV
# self.SetWarmUp(timedelta(days=self.atrLength))
def OnData(self, data):
# if self.IsWarmingUp: return
self.atr = self.GetATRW()
self.Debug("wtrs " + str(self.WTRS) + " " + "trLen " + str(self.trLen))
self.Debug("ATR: " + str(self.atr))
self.Debug("trList: " + str(self.trList))
self.Debug("yesHigh: " + str(self.yesterdayhigh))
self.Debug("yesHigh: " + str(self.yesterdaylow))
Shile Wen
Hi Michael,
I suggest using our built-in AverageTrueRange class and updating it with the current bar with self.CurrentSlice[symbol]. I’ve shown how to do this in the attached backtest.
Best,
Shile Wen
Michael L
Thank you Shile Wen for your respose. The reason I made a custom ATR indicator vs using the built in one is, I need it to use a weighted average. And when I try and use that weighted I get the error saying thats not an availible type. Is there a way to set the built in ATR to Weighted?
Shile Wen
Hi Michael,
I am unsure what kind of weighted moving average you’d like, but I’ve reimplemented the strategy with EMA in the attached backtest. For a full list of moving average types, please see these docs.
Best,
Shile Wen
Michael L
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