Hello,

Im quite new to Quantconnect and I was asking myself if there’s a possibility to use let’s say a year of historical data to calculate the volatility for every stock of the universe on earnings day. Also would it be possible to go from that date a few days back(T-7) and use the data of Q1/2/3 and 4(volatility).

Idea: Filter stocks with universe, use one year of historical data to calculate the mean of days to enter with a straddle for each stock.

calculation: find lowest volatility point of Q1 / 2 /3 and 4 within a week to month and calculate the mean of days for one stock.

 

Thanks,

Nico