Good day Everyone,
Please, is there a way to index a RollinWindow? For lists, it's, say, Dlist[ : ], if ‘Dlist’ is a list. Thus, for six trading day's before now, I expect something like Roll[:6], where ‘Roll’ is a RollingWindow object. However, I'm finding it difficult, as I can only access Roll[0], Roll[1], etc.
I have attached a backtest for anyone who wants to render some help.
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Hi Micheal
The abstract data structure of the Rolling Window is queue (but using first-in-last-out). Thus, accessing all data at once like a hash table is not possible as they need to be called one-by-one under this structure. However, it is possible to create a custom panda series/dataframe to achieve the same goal:
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df = pd.Series(self.rolling_window)
# if you need to re-order the data by time from up to down
df = df[::-1].reset_index(drop=True)
# access continuous slice
df.iloc[2:6]Best
Louis Szeto
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.
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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