Hello All,
Sorry in advance for this newbie question. If I want my algorithm to use data from a previous a candle, is a rolling window the only way to do do that? For example, if I want my algorithm to buy when the RSI close two candles prior was < 30 and the most recent RSI close bounced by at least 5, what would be the most efficient way to code that?
Rahul Chowdhury
Hey Garret,
Although rolling windows aren't the only way to accomplish what you want, they are the most efficient way.
I've written up an example for you to see rolling windows work. In this algorithm, I created a SymbolData class, which can hold any indicators and rolling windows we need for each symbol. An event handler method, which is called every time our RSI indicator is updated, will also add values to our rolling window.
Check out the comments for more details on how it works!
Garrett Grow
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