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Hi,
New to Quant Connect and am trying to add daily bars for a small test universe of 4 stocks to a rolling in and out of sample window.
Where I would have say 100 days in-sample and 5 days out-of-sample. This window would then roll forward by 5 days at a time for say 20 rolls.
I can see that there is a ‘RollingWindow’ function for in-sample but how would I then test out of sample for 5 days and then roll forward?
Could some let me know if this is possible in QuantConnect please? And if so how would you do it?
Thanks
Aaron Janeiro Stone
While there is no way to manipulate time in a backtest, you can always consolidate data to fit into a rolling window.
Cole S
Hi Simon,
RollingWindow is just a datatype that will allow you to add whatever you want to it. To do what you are wanting I would create two rolling windows.
Then in OnData you call:
If you want to roll 5 at a time you would need to add some additional code as the above just rolls each bar.
Simon Coleman
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