How does the MIN indicator work? by Sachinahj

Sachinahj INVESTOR

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Hello! I am using the MIN indicator like this:

#Initialize



spy = self.AddEquity('SPY', Resolution.Hour)

self.minimum = self.MIN('SPY', 50, Resolution.Daily, Field.Low)

In my OnData function I have these asserts:

#OnData



if data["SPY"] == None: return

if not self.minimum.IsReady: return

During the backtest it seems like the minimum indicator isn't ready until 50 days after the algorithm is started. WIll this happen when I live trade as well? Is there a way to backfill an indicator?

Thanks!

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Sachinahj

Accepted Answer

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Derek Melchin

STAFF Pro ,

Hi Sachinahj,

We can specify a warm up period in Initialize to backfill the indicator.

lookback = 50

self.AddEquity("SPY", Resolution.Hour)

self.minimum = self.MIN('SPY', lookback, Resolution.Daily, Field.Low)

self.SetWarmUp(lookback, Resolution.Daily)

While the algorithm is warming up, we just need to ensure we stop it from sending orders in OnData with

if self.IsWarmingUp or not data.ContainsKey("SPY"):

    return

See the attached backtest for a full example algorithm.

Best,
Derek Melchin

Sachinahj INVESTOR

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