STRATEGY USING RETURNS

Hi Ro García G

I think you're missing the instantiation of `self.spread`, I can't find where it was defined, but it seems like you might want to set a RollingWindow:

def Initialize(self):
    self.spread = RollingWindow[float](n)
    
def OnData(self, data):
    ...
    if price1 != 0 and price2 != 0:
        spread = price_1 - price_2
        self.spread.Add(spread)
        
    if self.spread.IsReady:
        if (self.Time.date() - self.Securities[symbol1].GetLastData().Time.date()).days < 5 and (self.Time.date() - self.Securities[symbol2].GetLastData().Time.date()).days < 5:
                
            current_spread = self.spread[0]
    ...

Best
Louis

Ro García G

The attached backtest does exactly the same thing as your strategy, but much simpler.

Ro García G

Did you have a chance to try what I recommended?

Thanks for the answers i just checked the post out