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.
