Dynamic Lookback Windows in BigQuant Feature Expressions

Summary

This BigQuant user question concerns a feature expression that calculates how many days have elapsed since a limit-up event within a recent window. The example marks sessions where return exceeds a threshold and the close equals the high, then uses a rolling argmax operation to locate the event. The stated failure is that the window argument must be an integer, while the user wants its length to come from another feature and therefore vary.

The material is useful as a platform-specific feature-engineering problem: rolling time-series functions often require a compile-time or fixed integer window, which prevents supplying a per-row value as the window length. However, the document contains only the question and error message. It gives no answer, workaround, platform documentation, or comparison of alternatives, so it does not establish whether BigQuant supports dynamic windows through another expression or requires a different calculation design.

Key ideas

• The question uses a rolling argmax to locate a recent limit-up event.
• The reported extraction error says the rolling window must be an integer.
• The user needs a window length that can vary based on another feature.
• No solution or platform-specific workaround is included in the document.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.