Raw Data

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I'm trying to back test an intraday strategy. Since the strategy holds no overnights, dividend and split adjusted price changes the results somewhat. Especially when using fixed shares per trade.

How do I configure a strategy to run on raw data?
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Yes its possible: after you AddSecurity in the Initialize method use the SetDataNormalizationMode setter. I've added a new QC University algorithm for you just now "How Do I Use Raw (Unadjusted) Data?"

AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);

//Set raw mode to pass in raw ticks on this asset.
Securities["SPY"].SetDataNormalizationMode(DataNormalizationMode.Raw);

//Supported modes are:
// DataNormalizationMode.Raw
// DataNormalizationMode.Adjusted
// DataNormalizationMode.SplitAdjusted
// DataNormalizationMode.TotalReturn
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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.


Worked. Thanks!
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Update Backtest






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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