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I'm working on calculating the Historical Volatility as an indicator, using the IndicatorExtension class:
self.logr1 = LogReturn(1)
self.hvol100 = IndicatorExtensions.Of(StandardDeviation(100), self.logr1)Question - I am manually warming up and updating the LogReturn. Does the IndicatorExtension warmup and update automatically, or do I need to feed it the current value of self.logr1?
For example, do I need to run the following? Or is it not neccessary? --
self.hvol100.Update(self.Time, self.logr1.Current.Value)
Thanks,
Chetan
Derek Melchin
Hi Chetan,
It's not necessary to update self.hvol100. We just need to update self.logr1. See the attached backtest for reference.
Best,
Derek Melchin
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Chetan Prabhu
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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