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How to speed up in the universe selection

I would like to pick stock based on the simple moving average. In CoarseSelect, I cache the stock data by using History for initialization. There are around 45xx stocks are included in my selection. During the backtest, the time limit error may be triggered. I would like to ask if there is a way to speed up.

Attached a backtest is an example, I just init and update the SimpleMovingAverage. Sometime this test case will hit time limit, somethime this test case has no problem. I hope this is enough to show what is my question.

Thank you very much.

Update Backtest








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Hi Sulfred,

One way to speed the algorithm up is instead of iterating through all securities that have Fundamental data, which can be thousands of securities, we choose to only iterate through the top ones by dollar volume. I’ve shown how to do this in the attached backtest.

Best,
Shile Wen

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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.


Thank you

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Update Backtest





0

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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