Rolling Window Issue indicator Data

Hi Jeremy,

I don't see the attached code. You might want to try to re-attach / copy-and-paste (using the code box from the dropdown menu) it.

Fred

Jeremy123

The best way to get help fast --> attach at least a code snippet.

Here is the code, sorry about that.

import numpy as np
from datetime import timedelta

class ATRconfirmation(QCAlgorithm):

   def Initialize(self):
       self.SetStartDate(2022, 2, 22)  # Set Start Date
       self.SetCash(10000)  # Set Strategy Cash
       self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol
       self.atr_period = 14
       self.SetWarmUp(timedelta(days = 14))
       
       self.ATRconfirm = self.ATR(self.spy, self.atr_period, Resolution.Daily)
       self.ATRvalues = RollingWindow[Decimal](3)
       
   def OnData(self, data):
       # Make sure indicators and rolling windows are ready
       if self.IsWarmingUp: return
       self.ATRvalues.Add(self.ATRconfirm.Current.Value)
       if self.ATRvalues[1] > self.ATRvalues[2]:
           self.MarketOrder(symbol, 1)

Hi Jeremy,

Here is the modified code:

   def OnData(self, data):
       # Make sure indicators and rolling windows are ready
       if self.IsWarmingUp: return
       self.ATRvalues.Add(self.ATRconfirm.Current.Value)
       if not self.ATRvalues.IsReady: return
       # "if the atr of the previous candle is greater than the atr of 2 candles ago"
       # the previous candle is [0] (that's the one that has just passed) and 2 candles ago is [1] (the one before the one that has just passed)
       # so you need a window of only 2 data points not 3
       if self.ATRvalues[0] > self.ATRvalues[1]:
           self.MarketOrder(symbol, 1)

Fred

Jeremy123

Here is another way to implement your strategy 

Trading ATR with Indicator Extensions Delay 

If you are satisfied with my answer, please accept it.