Hi
I'm trying to use a RollingWindow to look back on previous day's volatilities, so I have the following:
#...
for tickers in self.tickers:
self.volWindows[symbol] = RollingWindow[IndicatorDataPoint](5)
self.volatilities[symbol].Updated += (lambda sender, updated: self.OnVolUpdated(sender, symbol, updated))
#...
def OnVolUpdated(self, sender, symbol, updated):
if self.volatilities[symbol].IsReady:
self.volWindows[symbol].Add(updated)
To trigger a signal, I have the following:
if self.volWindows[symbol][1].Value > x:
# ...
I've noticed that I'd frequently encountered the error: Runtime Error: Rolling window is empty (Parameter 'i') in RollingWindow.
I read that the readiness of `self.volWindows[symbol]` should be checked. But if I have
if self.volWindows[symbol].IsReady and self.volWindows[symbol][1].Value > x:
# ...
Quite a few signals are omitted/skipped. Does anyone know how this could be rectified?
Thanks
John Munro
I should add that if I do a check on all windows, I'd simply get no signal:
Louis Szeto
Hi John
The method are over complicated. Refer to this doc for correct implementation. Don't forget to warm up the indicator first with historical data of size (indicator window + rolling window size - 1)
Best
Louis
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John Munro
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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