Lookback period in MFT

General
1

Course Name: [Trading in Milliseconds: MFT Strategies]

For the Capstone Project Solution,
indices_within_lookback_bars = [j for j in indices if j >= start_index and j < current_index]

Should we use j <= current_index instead of j < current_index? As current _index should also be included in the lookback period?

Thanks !

2

Hi H.E.R Cheung, we are looking into this. We will get back to you.

3

Hi H.E.R Cheung,

Thank you for brining this to light. The part of the code that you mentioned and some other necessary changes, have been made to the solution. Please check the updated Notebook on the platform.

Thank you