Help with error on 1st algorithm

Thanks to Grant, Dan and Dennis for helping me get this far.

I have an error on line 38 that I cannot quite figure out.

I want my algorithm to buy if the current price is between open + .10 and open + .20. Then sell if price is below open - .20 or the start of a new day.

def initialize(context):
context.nflx =sid(23709)

context.initialize = True
context.event_day = 0
context.first_day = False
context.new_day = False
context.day_counter = 0
context.bought = False
# setup list of stocks to trade (or call set_universe)
context.stocks = [sid(23709), sid(24791)] #NFLX, CSTR
#set_universe(universe.DollarVolumeUniverse(98.0,99.0))
def handle_data(context, data):
event_datetime = data[context.stocks[0]].datetime
event_day = data[context.stocks[0]].datetime.day
if context.initialize:
context.event_day = event_day
context.initialize = False
context.first_day = True
if event_day != context.event_day:
context.new_day = True
order(context.nflx,-100)
context.bought = False
else:
context.new_day = False
if context.first_day or context.new_day:
context.day_counter = context.day_counter + 1
price = data[context.nflx].price
if price + .10 <= data[context.nflx].price <= price + .20:
order(context.nflx,100)
context.bought = True
print event_datetime
print 'Order submitted'
if context.bought = True
if data[context.nflx].price <= price - .20:
order(context.nflx,-100)
context.bought = False

context.first_day = False
context.event_day = event_day

6 responses

Hi Chuck,

I don't have time now to tinker with it, but perhaps you could try commenting out sections of code until you can get it to run. Then you can run a full backtest and post the code here (with the "Add Backtest" button). It'll make it easier to debug, especially any problem with nesting of if statements.

Also, which line is causing an error? Please copy it here, rather than referring to the line number.

Grant

Hi Chuck,

Not entirely sure how your algorithm is supposed to work, but on this section:

    if context.first_day or context.new_day:
context.day_counter = context.day_counter + 1
price = data[context.nflx].price
if price + .10 <= data[context.nflx].price <= price + .20:
order(context.nflx,100)
context.bought = True


If "context.first_day or context.new_day" is false, then "price" is never initialized, so the next statement ("if price + .10...") will be checking an uninitialized variable. If the "price = data[context.nflx].price..." assignment happens outside of the if block, then the error seems to go away.

Also, this section:
 if context.bought = True if data[context.nflx].price <= price - .20: order(context.nflx,-100) 

"if context.bought = True" is kind of floating in the ether - either it needs a colon (and a statement to execute), or you should combine it with the following if statement using "and".

Hope that helps!

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Thanks John and Grant,

I noticed both these errors as I was commenting out the errors.

I am going to give it another go from scratch line by line.

How would I test for my openp variable?

Seem to be getting an error on the line where I am comparing that value to price before openp is assigned a value.

13
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
 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

def initialize(context):

context.stocks = [sid(23709)] #NFLX

context.initialize = True
context.event_day = 0
context.first_day = False
context.new_day = False
context.day_counter = 0

def handle_data(context, data):

event_datetime = data[context.stocks[0]].datetime
event_day = data[context.stocks[0]].datetime.day

if context.initialize:
context.event_day = event_day
context.initialize = False
context.first_day = True

if event_day != context.event_day:
context.new_day = True
else:
context.new_day = False

if context.first_day or context.new_day:
context.day_counter = context.day_counter + 1

print event_datetime

openp = data[context.stocks[0]].price

print openp
log.info("New day, open price:  {p} ".format(p=openp))
else:
price = data[context.stocks[0]].price

log.info("Current time {t}, price:  {p} ".format(t=event_datetime, p=price))

if price > openp + .10:
context.first_day = False
context.event_day = event_day
There was a runtime error.

Try this - I moved "openp" from a local variable (which was getting lost on each successive call to handle_data) to stuffing it into the more persistent "context" object. This preserves it for every iteration.

def handle_data(context, data):

event_datetime = data[context.stocks[0]].datetime
event_day = data[context.stocks[0]].datetime.day
# Called only on the very first run.
if context.initialize:
context.event_day = event_day
context.initialize = False
context.first_day = True
# True at the turn of each new trading day.
if event_day != context.event_day:
context.new_day = True
else:
context.new_day = False
# If this is the very first event of the day,
# mark the open price
if context.first_day or context.new_day:
context.day_counter = context.day_counter + 1
print event_datetime
context.openp = data[context.stocks[0]].price
print context.openp
log.info("New day, open price:  {p} ".format(p=context.openp))
else:
price = data[context.stocks[0]].price
log.info("Current time {t}, price:  {p} ".format(t=event_datetime, p=price))
if price > context.openp + .10:
context.first_day = False
context.event_day = event_day


Thanks John.

That put me on the right track! Now to add more conditions to this algorithm!