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Hi, can anyone offer help on how to code up a RollingWindow that adds Fundamental Data such as OperationRatios.CurrentRatio.OneYear or any fixed period ratio like ThreeMonths and TwelveMonths so that I can the use the RollingWindow data to compute changes in value.
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Louis Szeto
Hi Hakeem
Unlike ordinary data, Fundamental Data are available as daily slice, but not necessarily change into a new value given fundamental publish usually takes a 3-month separation. It means that we cannot use Consolidated/Updated method to fetch a new value to add to the rolling window.
We suggest using an array or panda series/dataframe to continue the operation after fetching the fundamental data for that day. Please check the backtest in here and here from similar threads.
Best
Louis Szeto
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.
Hakeem
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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