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ATR Issues

Relatively new here, I was looking into utilizing the ATR indicator in an algorithm and but I can't seem to get the implementation to work. My code looks like this:

import pandas  
import talib

def initialize(context):  
    set_symbol_lookup_date('2015-06-01')  
    # define the portfolio of stocks to watch:  
    context.stocks = {symbol('AAPL'),  
                      symbol('GOOG'),  
                      symbol('AMZN')}

# called before the start of each trading day  
def before_trading_start(context):  
    # calculate the average range for the past 25 days  
    for stock in context.stocks :  
        # load historical data for the stock  
        highs = history(25, '1d', 'high')[stock]  
        lows = history(25, '1d', 'low')[stock]  
        closes = history(25, '1d', 'close_price')[stock]  
        # calculate the ATR for the stock  
        atr = talib.ATR(highs, lows, closes, timeperiod=25)[-1]  
# called on every trade event for the securities you specify.  
def handle_data(context, data):  
    return  

For some reason I always receive a line 20 error:

Runtime exception: KeyError: Security(24, symbol='AAPL', security_name='APPLE INC', exchange='NASDAQ GLOBAL SELECT MARKET', start_date=Timestamp('1993-01-04 00:00:00+0000', tz='UTC'), end_date=Timestamp('2015-06-09 00:00:00+0000', tz='UTC'), first_traded=None)

If someone could explain what is going wrong here I would greatly appreciate it.

2 responses

Hi,

I switched to scheduling the function call to be 1ce per day after market open. The ATR function in talib needs a longer history passed into it, so here I'm using 50days of history to calculate 25 day ATR. The ATR is recorded per stock per day.

thanks,
fawce

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 55779e8adf00dd10ef2ad674
There was a runtime error.
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Thanks that worked perfectly!