Share New Research 
Assume I want to screen for both low volatility and low PE versus history stocks. My universe is the top 500 by liquidity.
To calculate historical volatility, I would need the prices / my self.History call to be split & div adjusted.
But to calculate historical PE - e.g., a stock's current PE versus its average over the last n days - I would need Raw prices to compare to raw EPS figures. I know that QC fundamentals have a PERatio field, but this is not updated for daily price moves. I am looking to create this series.
Is there a way to make two history requests for said 500 stocks in the algo - one for raw, and one for adjusted prices? Thanks
Alexandre Catarino
Hi Tom MÂ

Unfortunatuantely it's not possible to request historical data with different data normalization modes. We have an open GitHub issue to add this feature:
Add a Data Normalization Parameter to the History Method #4882
Please note that we just need the closing price to calculate the volatility and the Coarse Fundamental object has both raw and adjusted prices:
so you can subscribe to Raw prices:
and use cf.AdjustedPrice to calculate the volatility.
Since we have fixed the warm-up feature and not it is triggered during the warm-up, you can collect the adjusted prices for the volatility during the warm-up.
Best regards,
Alex
Yuri Lopukhov
Hi, Alexandre Catarino could you elaborate a bit about this:
Since we have fixed the warm-up feature and not it is triggered during the warm-up, you can collect the adjusted prices for the volatility during the warm-up.
what was fixed about warm-up feature?
p.s. hmm, I can see quotation when I edit message, but it disappears after publishing…
Louis Szeto
Hi Yuri
The warm-up now doesn't start from the start date of the algorithm and leave the beginning of the backtest in warm-up state, it counts backward to get subscription and universe data before the start date for warm-up, such that warm-up is already done at start date and live-trading will not be delayed. You may refer to this PR for details.
Best
Louis
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.
Jose David Delgado Mosquera
Hi There, i find myself a similar problem where i need to use both Raw and Adjusted data. However i'd need the Adjusted data in the fine filter rather than coarse
currently using the coarse for price/volume filters and i m running sector and cointegration tests filters in the ‘fine’ part…
how can i do that?
Tom M
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!