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I've perused the documentation and am aware that, with a static universe, the following line in initialize(self) does the trick:
self.Securities[symbol].SetDataNormalizationMode(DataNormalizationMode.TotalReturn)However, what about when one uses fine universe selection? Obviously I can't place this in the initialize because the universe is selected dynamically after initialize, by FineSelectionFunction(self, fine).
Attempting to iterature through the symbols with the following line in FineSelectionFunction produces an error.
for i in self.filtered_fine:
self.Securities[i.Symbol.Value].SetDataNormalizationMode(DataNormalizationMode.TotalReturn)
This asset symbol ( ) was not found in your security list.
Mike HU
I was just reading universe reference and there is a separate function to set normalization mode for universes:
https://www.quantconnect.com/docs/algorithm-reference/universes#Universes-Configuring-Universe-SecuritiesBenjamin Ettinger
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