Back

Dictionary of rolling windows of data?

I am trying to create a dictionary. The key will be a ticker and correspond to a rolling window of data of a specific size. I am not sure how to tackle this. Any help would be greatly appreciated.

Update Backtest








Dictionary<Symbol, RollingWindow<double>> _myDictionary = new Dictionary<Symbol, RollingWindow<double>>();

_myDictionary["SPY"] = new RollingWindow<double>(windowSize); //relies on implicit conversion from string to Symbol and is bad practice, try to store Security references and use their symbols instead

You mean like the above? What specific aspect of it is troublesome? Maintaining the data structure?

1

Just one addition to Peter's comment: you should do it in a class structure (general programming rule: anytime you have a bunch of parallel arrays indexed by something it is an indicatation you need a class.

class StrategyData {
Symbol symbol;
RollingWindow window;
}

List<StrategyData> _data;

 

0

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.


Update Backtest





0

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.


Loading...

This discussion is closed