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Hello I would like to hear your suggestions. An example we have a SMA of 5. Is it always recommendable to set warmup(5)? Or is it better to put higher values for the model to “start working faster”. Would it be okay if instead of warm up (5) I put warm up (7), (10) ?? Have you tried this, is it better??
THANKS
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Vladimir
Ro García G
There is no straight answer to your questions.
If you use only SMA with period 5 then you need
self.SetWarmUp(5, Resolution)
If you use SMA with period 9 of another SMA with period 26
(what is implemented in MACD indicator with MovingAverageType.Simple)
then you need
self.SetWarmUp(9 + 26, Resolution)
But if you use the same MACD indicator with MovingAverageType.Exponential, which is
in terms of digital signal processing Infinite Impulse Response Filter (IIR)
then you need 5-6 times more warm-up to mature EMA's
self.SetWarmUp(5*(9 + 26), Resolution)
The same applied to any indicator using Exponential, Wilders, DoubleExponential,
TripleExponential, T3... or other recursive moving averages.
If you use such indicators as ROC, ROCP, MOM, MOMP or others using them such as RSI,
you need to add + 1 to momentum period in warm-up
self.mom = self.ROCP(self.stock, PERIOD, Resolution.Daily)
self.SetWarmUp(PERIOD + 1, Resolution.Daily)
Vladimir
Ro García G,
Are you happy with my answer?
Ro García G
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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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