Back to Community
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):  
    # define the portfolio of stocks to watch:  
    context.stocks = {symbol('AAPL'),  

# 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):  

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


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.


Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
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.

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Thanks that worked perfectly!