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Building an AlphaModel using a custom indicator, based on different time frames

I am currently stuck trying to get symbol bars for different time windows, using the AlphaModel class from the Algorithm Framework.

The Update-method of my AlphaModel class is defined as follows:

def Update(self, algorithm, data):
        ''' Determines an insight for each security based on two annualized slopes
        Args:
            algorithm: The algorithm instance
            data: The new data available
        Returns:
            The new insights generated'''
        insights = []
        
        #shortTermBars = GetDailyClosesForAllSymbolsInUniverse(self.shortTermMomentumWindow,self.resolution)
        #longTermBars = GetDailyClosesForAllSymbolsInUniverse(self.longTermMomentumWindow,self.resolution)
        
        #...
        
        return insights

How can I get the shortTermBars and the longTermBars for all symbols with the defined windows sizes resolutions, based on the data parameter?

Here is the complete code:

 

Update Backtest








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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.


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