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High and Low of a Rolling Window

I am trying to get the High and Low of a 20 period rolling window. Does anyone know if this is possible and how to do it in python?

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Hi Nicholas,

You can set up MIN and MAX indicators to get the high low in a rolling window. Please see the attached backtest on how to do that. In addition, it might be helpful to check out the Reference Table to see what indicators are available in QC. We have plenty of them!

Hope this helps!

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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.


The only thing is that I want the period of the window or max/min of the window to be a daily item not a minute item.

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Hi Nicholas,

You can read this in the documentation. Change the Resolution to Daily. Both of the code below will work.

self.UniverseSettings.Resolution = Resolution.Dailyself.AAPL = self.AddEquity("AAPL", Resolution.Daily)

Please also check out the new Bootcamp "Momentum-Based Tactical Allocation".

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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.


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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