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My trading universe will be limited to USDCAD, EURUSD, AUDUSD, USOIL and XAUUSD.
I want to be able scan these pairs to see if the previous day was a new high compared against previous minus one. ie. the day before the previous.
Once we have identified these pairs it will be available for a 15 min day strategy. My problem is that since im looking at minute data for my strategy how do i look at daily data from the previous todays to fullfill my first daily criteria
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Derek Melchin
Hi Lakith Lankaputhra,
To compare the previous day's high with the high of the day before, we recommend using a RollingWindow. The attached backtest demonstrates how to warm it up and set up a daily consolidator to keep it updated. To place trades on a 15 minute basis, consider adding a Scheduled Event.
Best,
Derek Melchin
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Lakith Lankaputhra
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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