Lets say I have the following.  How would I best go about being able to keep track of rolling windows for multiple stocks?  Ultimately I want to be able to check from a list of stocks, if a stock's price is higher than it was in the past 30 and 180 days

 

  1. from QuantConnect.Data.Market import TradeBar
  4. class RollingWindowAlgorithm(QCAlgorithm):
  5.     '''Example on how to use Rolling Window with bar and indicator'''
  7.     def Initialize(self):
  8.         '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
  9.         
  10.         self.SetStartDate(2013,10,1)  #Set Start Date
  11.         self.SetEndDate(2013,11,1)    #Set End Date
  12.         self.SetCash(100000)           #Set Strategy Cash
  13.         # Find more symbols here: http://quantconnect.com/data
  14.         self.AddEquity("SPY", Resolution.Daily)
  16.         # Creates a Rolling Window indicator to keep the 2 TradeBar
  17.         self.window = RollingWindow[TradeBar](2)    # For other security types, use QuoteBar
  19.         # Creates an indicator and adds to a rolling window when it is updated		
  20.         self.SMA("SPY", 5).Updated += self.SmaUpdated
  21.         self.smaWin = RollingWindow[IndicatorDataPoint](5)
  24.     def SmaUpdated(self, sender, updated):
  25.         '''Adds updated values to rolling window'''
  26.         self.smaWin.Add(updated)
  29.     def OnData(self, data):
  30.         '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
  31.         
  32.         # Add SPY TradeBar in rollling window
  33.         self.window.Add(data["SPY"])
  35.         # Wait for windows to be ready.
  36.         if not (self.window.IsReady and self.smaWin.IsReady): return
  38.         currBar = self.window[0]                     # Current bar had index zero.
  39.         pastBar = self.window[1]                     # Past bar has index one.
  40.         self.Log("Price: {0} -> {1} ... {2} -> {3}".format(pastBar.Time, pastBar.Close, currBar.Time, currBar.Close))
  42.         currSma = self.smaWin[0]                     # Current SMA had index zero.
  43.         pastSma = self.smaWin[self.smaWin.Count-1]   # Oldest SMA has index of window count minus 1.
  44.         self.Log("SMA:   {0} -> {1} ... {2} -> {3}".format(pastSma.Time, pastSma.Value, currSma.Time, currSma.Value))
  46.         if not self.Portfolio.Invested and currSma.Value > pastSma.Value:
  47.             self.SetHoldings("SPY", 1)
+ Expand

Author

Axist

March 2023