I am new here so apologies if this is very simple. I couldn't find a direct answer in the forum. Thank you in advance

 

I'm really confused with how to correctly use the rolling windows. I want to use it to get the following: 

  • most recent high and low
  • previous day's high and low
  • and day before previous high and low 
import numpy as np class algo(QCAlgorithm): def Initialize(self): self.SetStartDate(2016, 1, 1) # Set Start Date self.SetCash(10000) # Set Strategy Cash self.AddCrypto("BTCUSD", Resolution.Daily, Market.GDAX) self.SetWarmup(3) self.window = RollingWindow[TradeBar](2) self.lowwindow.Add(data["BTCUSD"].Low) self.highwindow.Add(data["BTCUSD"].High) def OnData(self, data): bar = data["BTCUSD"] high = bar.High low = bar.Low prevdayhigh= self.highWindow[1] prevdaylow = self.lowwindow[1] prev2dayhigh = self.highWindow[2] prev2daylow = self.lowwindow[2] nextdayhigh = self.highWindow[self.highWindow.Count-1] nextdaylow = self.lowWindow[self.lowWindow.Count-1] insideday = np.where((( prevdaylow < low ) & (prevdayhigh > high)),1, np.where(prevdaylow == 0.0, np.nan,np.nan )) short_termlow=np.where(((low<prevdaylow) & (low<nextdaylow) & (high<nextdayhigh) & (np.isnan(inside_day.shift(1)))),low, np.where(prevdaylow == 0.0,np.nan,np.nan)) short_termlow_outsideday=np.where(((low<prevdaylow) & (low<nextdaylow) &( low < prevdaylow ) & (high >prevdayhigh) & (high<nextdayhigh) & (np.isnan(inside_day.shift(1)))),1, np.where(prevdaylow == 0.0,np.nan,np.nan))