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);
}
);
Jack Simonson
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.
Thomas Sheppard
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