Hello, 

after hours of searching through google, the forums etc., i'm still unable to figure out how to get historical values for indicators. Could you help me out? 

What I am trying to do is to access the ATR values of the past 20 days for each symbol in the universe and calculate the 95% percentile of it to compare it with the actual value. 

I think i managed to save data in the rolling window object but when i try to access it, it throws an error for an unrecognized method. 

Could you help me to figure out what I am doing wrong?

Thank you for your effort. 

Sadly, I am unable to attach a backtest, as the backtest always fails in the first second with the error below.

class ATRMomentumUniverse(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 1, 7) self.SetEndDate(2020, 4, 1) self.SetCash(100000) self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseSelectionFunction) self.atrscan = { } def CoarseSelectionFunction(self, universe): selected = [] universe = sorted(universe, key=lambda c: c.DollarVolume, reverse=True) universe = [c for c in universe if c.Price > 10][:100] for coarse in universe: symbol = coarse.Symbol if symbol not in self.atrscan: history = self.History(symbol, 20, Resolution.Daily) self.atrscan[symbol] = SelectionData(symbol, history) atr_quantile = self.atrscan[symbol].atr_container[0:15].quantile(0.25) if self.atrscan[symbol].is_ready() and self.atrscan[symbol].atr_container[0] < atr_quantile: selected.append(symbol) return selected[:10] def OnSecuritiesChanged(self, changes): for security in changes.AddedSecurities: self.SetHoldings(security.Symbol, 0.1) def OnData(self, data): for symbol, selectionData in self.atrscan.items(): if data.Bars.ContainsKey(symbol): selectionData.update(data.Bars[symbol]) if self.Portfolio[symbol].Invested and selectionData.atr.Current.Value > 100: self.Liquidate(symbol) class SelectionData(): def __init__(self, symbol, history): self.symbol = symbol self.atr = AverageTrueRange(1) self.atr.Updated += self.container_update self.atr_container = RollingWindow[IndicatorDataPoint](20) for bar in history.itertuples(): tbar = TradeBar(bar.Index[1], self.symbol, bar.open, bar.high, bar.low, bar.close, bar.volume) self.atr.Update(tbar) def is_ready(self): return self.atr_container.IsReady def update(self, bar): self.atr.Update(bar) def container_update(self, sender, updated): self.atr_container.Add(updated)Runtime Error: Trying to dynamically access a method that does not exist throws a TypeError exception. To prevent the exception, ensure each parameter type matches those required by the arguments method. Please checkout the API documentation. at CoarseSelectionFunction in main.py:line 23 :: atr_quantile = self.atrscan[symbol].atr_container[0:15].quantile(0.25) TypeError : No method matches given arguments (Open Stacktrace)