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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.
Shile Wen
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
Sulfred
Thank you
Sulfred
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