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I am currently stuck trying to get symbol bars for different time windows, using the AlphaModel class from the Algorithm Framework.
The Update-method of my AlphaModel class is defined as follows:
def Update(self, algorithm, data):
''' Determines an insight for each security based on two annualized slopes
Args:
algorithm: The algorithm instance
data: The new data available
Returns:
The new insights generated'''
insights = []
#shortTermBars = GetDailyClosesForAllSymbolsInUniverse(self.shortTermMomentumWindow,self.resolution)
#longTermBars = GetDailyClosesForAllSymbolsInUniverse(self.longTermMomentumWindow,self.resolution)
#...
return insights
How can I get the shortTermBars and the longTermBars for all symbols with the defined windows sizes resolutions, based on the data parameter?
Here is the complete code:
Jack Simonson
Hi Filib,
I've attached a backtest that demonstrates how this can be accomplished. The way I've done it is to create a new class that stores information and the Rolling Windows for each security (one for each defined length). This object has an update method that is called in the Update() method which adds the most recent bar from data to each window and has properties that return each window. Additionally, I have included the necessary code to ensure that the Alpha Model's Update() method only gets called with a user-defined frequency, per your other forum posts. Have a look at the backtest below and hopefully this will help you implement the rest of your algorithm.
Filib Uster
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