Hi Vidal,

You're correct that the RSI calculation requires a warm-up period before it can be used. This is because the RSI calculation involves a moving average, which requires a certain amount of historical data to calculate.

In your code, you've set the warm-up period to 200 days, which should be sufficient for an RSI with a period of 10. However, if you're finding that the RSI values are not accurate, you might want to increase the warm-up period.

Here's how you can modify your code to increase the warm-up period:

from AlgorithmImports import *
class TQQQRSI(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetCash(10000) 
        self.VOLA = 200
        res = Resolution.Daily
        self.SPY = self.AddEquity('SPY', Resolution.Minute).Symbol
        self.UVXY = self.AddEquity('UVXY', Resolution.Minute).Symbol
        self.TQQQ = self.AddEquity('TQQQ', Resolution.Minute).Symbol
        self.Securities["SPY"].SetDataNormalizationMode(DataNormalizationMode.Raw);
        self.Securities["UVXY"].SetDataNormalizationMode(DataNormalizationMode.Raw);
        self.Securities["TQQQ"].SetDataNormalizationMode(DataNormalizationMode.Raw);
        self.spySMA = self.SMA("SPY", 200, res)
        self.tqqqRSI = self.RSI("TQQQ", 10, MovingAverageType.Wilders, res)
        self.SetWarmUp(300, res)  # Increase the warm-up period to 300 days
    def OnData(self, data):
        if not (self.Time.hour == 9 and self.Time.minute == 31): return  
        if not self.spySMA.IsReady:
            return
        if data.ContainsKey(self.SPY):
            spyclose = data[self.SPY].Close
            if spyclose > self.spySMA.Current.Value:
                if self.tqqqRSI.Current.Value > 79:
                    self.SetHoldings(self.TQQQ, 0.0)
                    self.SetHoldings(self.UVXY, 1.0)
                else:
                    self.SetHoldings(self.UVXY, 0.0)
                    self.SetHoldings(self.TQQQ, 1.0)
            else:
                    self.SetHoldings(self.UVXY, 0.0)
                    self.SetHoldings(self.TECL, 0.0)
+ Expand
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This should help ensure that the RSI calculation has enough historical data to be accurate.

Remember, the warm-up period should be at least as long as the longest period used in any of your indicators. In this case, since you're using a 200-day SMA and a 10-day RSI, a warm-up period of 200 days should be sufficient. However, if you're still seeing inaccuracies, increasing the warm-up period may help.

Sources:

• Forum Discussion: RSI Value incorrect 5 minute timeframe
• Forum Discussion: Accessing index value in RSI

Yes, Mia. I find that the RSI calculated is correct and the period is sufficient to warm up. 

It just calculate the RSI based on yesterday's close. How could I modify the code if I want to execute the trade between 3pm and 4pm, calculate the RSI at that time and execute the trade based on the new RSI.