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Why rolling window did not work as expected

I made a simple test about rollowing window. I set the rollSize=2 which should gave result[0] and result[1] when result is ready.

I set startDate= (2017, 1, 9) and endDate=SetEndDate(2017,1,23)

I expect I should see the rolling result from 2017-1-11 but why the log shows result begins from 2017-1-12.

Any ideas?

2017-01-09 00:00:00 Launching analysis for 66584a798f9a4d9bdb770d20eac50bb4 with LEAN Engine v2.2.0.2.1109
2017-01-12 09:31:00 21.43000000000 21.89000000000
2017-01-13 09:31:00 21.40500000000 21.43000000000
2017-01-17 09:31:00 21.46000000000 21.40500000000
2017-01-18 09:31:00 21.38000000000 21.46000000000
2017-01-19 09:31:00 21.30000000000 21.38000000000
2017-01-20 09:31:00 21.53000000000 21.30000000000
2017-01-23 09:31:00 20.70000000000 21.53000000000
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We have found the source of this behavior and are looking into this issue.
Meanwhile, you can replace IsReady for Samples >= Period logic:

// IsReady condition
if (history.IsReady)
{
//
}

// Samples >= Period condition
// Period = 2
if (history.Samples >= 2)
{
//
}

 

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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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