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I have a strategy I'm working on that pulls in a list of crypto pairs from GDAX as the universe. My backtest window spans longer than some of those coins were on Coinbase/GDAX. If I have a warmup wait (so my indicator has enough history) prior to my backtest start, but some of those coins don't yet exist, how is this handled? Is it on a ticker-by-ticker basis or does it wait until all tickers in the universe are warmed up?
The reason I ask is that if I use a small subset of coins that have long history (i.e. BTC, ETH, LTC) the backtests runs fine, but when I use the full universe of supported coins (some with very little history) my backtest is just $0/unchanged for a long period of time and then starts producing data.
Vladimir
Ryan H Miller
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Ryan H Miller
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