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I'm trying to better understand rolling windows, but experiencing two issues in my algorithm. The issues may be related.
The first issue is I'm unable to warmup the rolling window despite using self.Warmup(). This is shown in the “VIX” chart I've created, which is plotting the VIX from 21 days ago, pulling from the rolling window.
The second issue is that the first value shown on the chart on 3/1/2012 is showing the VIX price from 19 days prior, not 21 days prior. I would think it should be 21 days, not 19. I'm not sure what happened.
Thanks in advance for your help with this.
Bodhi
Here is the backtest.
Varad Kabade
Hi Patrick,
We ran the above backtest we did not encounter the issue. The last close on 2012-03-01 is the same as the current close on 2012-02-02. Note that we can check when our algorithm finishes warming up. In the attached backtest, we can see that it is finished on the StartDate.
Best,
Varad Kabade
Vladimir
Patrick,
You can also use
self.vix_days_ago = IndicatorExtensions.Of(Delay(days_ago), self.vix_price)
Bodhi
Thank you - your use of Delay() here is very helpful. What I don't understand is why VIX price, and also VIX from 21 days ago, doesn't register on the chart until 10 days into trading. Shouldn't those values populate on day 1 due to the warmup?
Vladimir
Patrick,
Try this one.
Bodhi
Thanks!
Bodhi
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