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Window length limit

Hi:

I have done a simple notebook with a pipeline and a custom factor. I have computed the median of a valuation ratio. If I execute the notebook with a window length greater than 1400, the kernel answers with this message: "The kernel appears to have died. It will restart automatically."
Can I overcome this window length limit? Is there a better strategy to implement the pipeline?

Thanks a lot

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3 responses

Hi Carlos,

While there's no strict window limit, there is a limit dependent on a combination of window_length and the amount of data that you're importing. It's important to remember that your pipeline is recalculated every day in before_trading_start() so if you look back 1300 days for 8000+ securities, this will be done every day over the course of the simulation, which isn't really practical. Are you trying to construct a 5-year history for all stocks?

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In a backtest, is the pipeline window_length always in days, even if the backtest is done in minute mode?

Thanks

Correct. Daily data only in pipeline.

Disclaimer

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 Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.