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

Filib Uster INVESTOR

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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

Filib Uster

Accepted Answer

Update Backtest

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Jack Simonson

Pro ,

Hi Filib,

I've attached a backtest that demonstrates how this can be accomplished. The way I've done it is to create a new class that stores information and the Rolling Windows for each security (one for each defined length). This object has an update method that is called in the Update() method which adds the most recent bar from data to each window and has properties that return each window. Additionally, I have included the necessary code to ensure that the Alpha Model's Update() method only gets called with a user-defined frequency, per your other forum posts. Have a look at the backtest below and hopefully this will help you implement the rest of your algorithm.

Filib Uster INVESTOR

Update Backtest

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