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What is the purpose of a warm up period and how long should it be for a given algorithm?
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Jing Wu
The warm-up period is used for algorithms using the technical indicators.
For example the indicator exponential moving average
When you create the indicator
ema = self.EMA("SPY", 4, resoltuion.Daily)
It needs 4 days to initialize the indicator so that the indicator value is ready to use.
In Initialize(), using the self.SetWarmUp(TimeSpan period) or self.SetWarmUp(int barCount) you can specify a warm-up period for your algorithm which pumps data in before the start date. During the warm-up period, you cannot place the trade. ​
Before trading, you can use the bool self.IsWarmingUp property to determine if the warm-up period has completed.
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.ekz. INVESTOR
If you add multiple securties with different resolutions, say minute, hourly and daily, which of these will warmup use? will a warm up of '60' use 60 minutes? 60 hours? , or will it default to the highest resolution (60 days)?
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.
Derek Melchin
Hi Ikezi,
It defaults to the lowest resolution of all the security data subscriptions. In the example above, this would mean a daily resolution. We can, however, be explicit by passing a resolution argument to the SetWarmup method. For instance:
self.SetWarmup(60, Resolution.Daily)See the attached backtest for reference.
Best,
Derek Melchin
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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