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Warmup Universe Standard Deviation

Could anyone help me with how I would warm up the universe below such that I don't need to wait 10 days before it makes its first trade?

AddUniverse( coarse =>
                    {
                        return
                        (     
                            from cf in coarse
                            let std = _symbolsData.GetOrAdd(cf.Symbol, sym => new StandardDeviation(10))
                            where std.Update(cf.EndTime,cf.Price)
                            where cf.Price > 1.0m
                            orderby cf.DollarVolume descending
                            select cf.Symbol
                        ).Take(10);
                    }
                );
            

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Hi Thomas,

Have you tried using a Warm-Up period? Calling SetWarmUp(10) in the Initialize() method will pass 10-periods of data through the algorithm so that the indicators have a full sample before any trading takes place. If you have tried this and it didn't work, you can also look into using a historical data warm-up -- you can find a demo algorithm of this here.

0

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.


Update Backtest





0

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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