QUANTCONNECT COMMUNITY
Hello,
I am trying to create a rolling data frame of OHLCV data. I am having some trouble with initializing the data frame. I am building it with the EmaCrossAlphaModel to make sure it compiling correctly. It seems to take a long time to run, I imagine I am doing something wrong. Any help would be greatly appreciated.
Thank you,
Keith
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.
QuantConnect™ 2024. All Rights Reserved
|
|
Share New Research 
Derek Melchin
Hi Keith,
To speed up the algorithm, we can reduce the data resolution from minute (default) to daily.
self.UniverseSettings.Resolution = Resolution.DailyAdditionally, the algorithm above experiences issues with the index on the DataFrame. To fix this, we should replace
symbolData.rolling_window = algorithm.History(added.Symbol, self.window_size)with
symbolData.rolling_window = algorithm.History(added.Symbol, self.window_size) if not symbolData.rolling_window.empty and 'close' in symbolData.rolling_window): symbolData.rolling_window = symbolData.rolling_window.loc[added.Symbol]See the attached backtest for reference.
Continuing the development of this algorithm, consider warming up the DataFrame during the OnSecuritiesChanged method.
Best,
Derek Melchin
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.
Keith Forward
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!