maximum of  previous two days' high.How can refer daily data in minute data mode?  Thanks. Michael ">  maximum of  previous two days' high.How can refer daily data in minute data mode?  Thanks. Michael "> How to Refer to Previous Two Days' High? by Micheal Wu - QuantConnect.com
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How to Refer to Previous Two Days' High?

I want to implement below strategy for "SPY":

Buy @9:40am if  'spy' price >  maximum of  previous two days' high.

How can refer daily data in minute data mode? 

 

Thanks.

 

Michael 

Update Backtest








Can some experts provide a clue on this?

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You could use a daily consolidator -- create daily trade bars, and then save them into a rolling window. You can see how to use consolidators in the QC University.

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It seems the question is similar to below post:

https://www.quantconnect.com/forum/discussion/495/about-the-timeframe

 

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Update Backtest





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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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