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Kgmanager INVESTOR

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Hello.

    IEnumerable<Symbol> MyCoarseFilterFunction(IEnumerable<CoarseFundamental> coarse) {

        // Linq makes this a piece of cake;

        var stocks = (from c in coarse

            let avg = _stateData.GetOrAdd(c.Symbol, sym => new SelectionData(200))

            where avg.Update(c.EndTime, c.AdjustedPrice)

            where c.DollarVolume > 1000000000 &&

                  c.Price > avg.Ema

            orderby c.DollarVolume descending

            select c.Symbol).Take(10).ToList();

        return stocks;

    }

I would like to generate an EMA using the high prices for the day as opposed to the adjusted price (adjusted Close?) for use in my coarse filter. How can I pass the high to the Update method? I tried using 'History<TradeBar>(c.Symbol, 1, Resolution.Daily).First().High' in place of 'c.AdjustedPrice', but then I get "Runtime Error: Sequence contains no elements."

Any suggestions? Thanks!

Update Backtest

Kgmanager

Accepted Answer

Update Backtest

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Alexandre Catarino

100.3k ,

Hi kgmanager ,

Since the CoarseFundamental object doesn't have a "High" property with the previous day high, the algorithm will have to make history requests on every MyCoarseFilterFunction call. It's not an issue for backtesting, but making over 9000 historical requests in live mode will probably time out. Consequently, you will need to filter out some securities before the history request call. Here is an example of how this can be implemented:

private IEnumerable<Symbol> MyCoarseFilterFunction(IEnumerable<CoarseFundamental> coarse) {

    var prices = (from c in coarse

        where c.DollarVolume > 1000000000

        orderby c.DollarVolume descending

        select c)

        // We can increase this number to 20k in backtest to include all securities

        .Take(3000)

        .ToDictionary(k => k.Symbol, v => v);



    // Historical data request to warm up the indicator(s) in SelectionData

    // and/or add new item to _stateData

    History(prices.Keys, 200, Resolution.Daily)

        .PushThrough(bar => {

            SelectionData avg;

            if (_stateData.TryGetValue(bar.Symbol, out avg)) {

                avg.Reset();

            }

            else {

                 avg = new SelectionData(200);

                 _stateData[bar.Symbol] = avg;

            }



            avg.Update(bar.EndTime, ((TradeBar)bar).High);   // Update the EMA with High

        });



    // Only consider Adjusted Price above EMA and get the securities with higher dollar volume

    return (from kvp in prices

        let c = kvp.Value

        let avg = _stateData[kvp.Key]

        where c.AdjustedPrice > avg.Ema

        orderby c.DollarVolume descending

        select c.Symbol).Take(10);

}

You will need to implement SelectionData.Reset to reset the EMA in SelectionData before updating with the historical data.

This method can be smarter! For instance, for invested securities, we can make a history request for just one data point and verify whether they should remain invested. If all should remain invested, this method could just return Universe.Unchanged.

Kgmanager INVESTOR

Update Backtest

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