Algorithmic Trading Video Series #8

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Algorithmic Trading Video Series #8 | Dyanimc Universes

Last comment by - June 2024

Algorithmic Trading Video Series #8 | Dyanimc Universes

Algorithmic trading course video on dynamic universes using Python and QC platform. Backtest and code available.

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Algorithmic Trading Video Series #8 | Dyanimc Universes

Louis | TradeOptionsWithMe | May 2021

Hi,

Just published the 8th video of my algorithmic trading course using Python and the QC platform. Below you can find the backtest and code from that video. Simply click the “Clone Algorithm” button to copy the code to your own projects.

If you're new to the series, you can get an overview of all the video lessons here.

Let me know if you have any questions or comments.

Cheers,

Louis

Author

Louis

May 2021

Upvote

24 people upvoted this

Log Up INVESTOR

July 2022

Hi Louis Thanks for the video! I have one question: when we execute self.SetHoldings(self.portfolioTargets), what happens to the securities which are already in portfolio and in portfolioTargets too? I suppose if the ratio is same then nothing will happen, but if it's changed then it will be bought/sold according to the ratio specified? Am I interpreting it right? Thanks.

Upvote

Louis Szeto INVESTOR

QuantConnect | July 2022

Hi Log Up

There would be no effect on other existing positions. The SetHoldings method is actually placing MarketOrder in quantity representing a proportion of the portfolio value for an asset.

If you want to rebalance the portfolio, you could consider

1. Liquidate all positions and use SetHoldings with a list of PortfolioTarget

self.SetHoldings([PortfolioTarget("SPY", 0.5), PortfolioTarget("AAPL", 0.5)], 
                 liquidateExistingHoldings=True)

2. using the Framework and InsightWeightingPortfolioConstructionModel. Active insight weights sum up larger than 1 will rebalance when new insight arrives. This could avoid excessive orders when singular order is desired instead of a whole portfolio change.

Best
Louis

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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Log Up INVESTOR

July 2022

HI Louis Szeto , thanks for the reply. Let's say I have SetHoldings with TSLA as 0.1(10%) previously, and in next iteration of OnData I set it to 0.2(20%) of my portfolio, then what will happen in this case?

Upvote

Louis Szeto INVESTOR

QuantConnect | July 2022

Hi Log Up

For the same asset, it would hold the new set ratio (i.e. 20%). The other assets would not change their existing positions although (they will not automatically rebalance/adjust).

Best
Louis

Upvote

Sam von Badan INVESTOR

Omo_Moji | January 2024

Hi Louis,

thank you for the videos.

I am just a beginner and have watched your videos.

Please I have some questions regarding AddUniverse with CoarseSelectionFunction and FineSelectionFunction

In your videos, you have selected

Coarse: Securities with FundamentalData that have DollarVolume > a certain amount.

But I also want the Filter to include: Industry, segment, etc.

Please how can I add those to my CoarseSelectionFunction?

I am inspired by video #8 and the More Advanced Fundamental Investing bot video in your education series.

Thank you.

Samuel

Upvote

Ahmed Jaber INVESTOR

June 2024

Hi Louis,

Thank you for the very helpful videos, indeed this has really allowed me to gain knowledge I previously found to be very difficult, despite trying other tutorials too! Your approach to teaching is outstanding.

I have a question regarding customdata universe, and the use on onSecuritiesChanged function. I am getting this error while backtesting and I am not entirely sure why this is happening:

 Error Message
Runtime Error: Trying to retrieve an element from a collection using a key that does not exist in that collection throws a KeyError exception. To prevent the exception, ensure that the  key exist in the collection and/or that collection is not empty.
  at on_securities_changed
    self.activeSecurities.remove(x.Symbol)
 in main.py: line 27

And this is my line of code:

 from AlgorithmImports import *
class CustomDataEMFAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2008, 1, 8)
        self.set_end_date(2014, 7, 25)
        self.set_cash(100000)
        self.activeSecurities = set()
        universe = self.add_universe(MyCustomUniverseDataClass, "myCustomUniverse", self.selector_function)
        self.universe_settings.resolution = Resolution.DAILY
        self.portfolioTargets = []
     # Define the selector function
    def selector_function(self, data):
        sorted_data = sorted([ x for x in data if x["ARO_5YR"] < 33 ],
                            key=lambda x: x.end_time) #,
                            # reverse=True)
        self.Log('Stocks with discount percentile < 33: ' + str(len(sorted_data)))
        return [x.symbol for x in sorted_data]    
    def on_securities_changed(self, changes):
        # close positions in removed securities
        for x in changes.RemovedSecurities:
            self.Liquidate(x.Symbol)
            self.activeSecurities.remove(x.Symbol)      
        # can't open positions here since data might not be added correctly yet
        for x in changes.AddedSecurities:
            self.activeSecurities.add(x.Symbol)
        # adjust targets if universe has changed
        self.portfolioTargets = [PortfolioTarget(symbol, 1/len(self.activeSecurities)) 
                            for symbol in self.activeSecurities]
        
    def OnData(self, data):
        if self.portfolioTargets == []:
            return
        
        # for symbol in self.activeSecurities:
        #     if symbol not in data:
        #         return
        
        self.SetHoldings(self.portfolioTargets)
        
        self.portfolioTargets = []
       
# Example custom universe data; it is virtually identical to other custom data types.
class MyCustomUniverseDataClass(PythonData):		
    def get_source(self, config, date, is_live_mode):
        source = "https://raw.githubusercontent.com/XXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXXX.csv"
        return SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile);
		
    def Reader(self, config, line, date, isLive):
        if not (line.strip() and line[0].isalnum()):
            return None
			
        items = line.split(",")
    
        # Generate required data, then return an instance of your class.
        data = MyCustomUniverseDataClass()
		
        try:
            data.end_time = datetime.strptime(items[1], '%Y-%m-%d')+timedelta(hours=20)
            # define Time as exactly 1 day earlier Time
            data.time = data.end_time - timedelta(1)
            data.symbol = Symbol.create(items[0], SecurityType.EQUITY, Market.USA)
            data.value = float(items[5])
            data["Open"] = float(items[2])
            data["High"] = float(items[3])
            data["Low"] = float(items[4])
            data["Close"] = float(items[5])
            data["Volume"] = int(items[6])
            data["ARO_5YR"] = float(items[7])
        except ValueError:
            return None
        
        return data
+ Expand
- Collapse

My csv data looks like this, with hundreds of tickers…:

Any help is highly appreciated!

Best

Upvote

Andrew Choo INVESTOR

October 2016

nice

Upvote

Mars INVESTOR

November 2016

I tried to test it but I get: "You have exceeded maximum number of orders (10000), for unlimited orders upgrade your account" So looks that strategy keep opening trades.

Upvote

Michael Manus INVESTOR

November 2016

@ Mars,

i think it means: if you didn't upgrade your account to pro you are only allowed to test your strategies with 10 000 Orders max. ..... everything works as expected..... :)

You can see it on the stats below your backtest that it did 10 001 Orders? right?

best regards

Upvote

Stefano Raggi INVESTOR

November 2016

It looks like the Accord.Extensions 3.0.1 library (last updated more than a year ago) is not compatible with the latest Accord.NET 3.3.0.
For this algorithm the problem can be solved by removing the dependency on the Accord.Extensions library (including only the two required source files in the project)

Upvote

5 people upvoted this

Ahmad Lutfi INVESTOR

April 2017

Accor.Extensions is Unknown

Upvote

David Tan INVESTOR

April 2017

just clone this and can't be built properly: how an i solve this? Build Error: File: FractalChannel.cs Line:1 Column:884 - The type or namespace name 'Extensions' does not exist in the namespace 'Accord' how do i add the Accord assembly when doing backtest in the ide?

Upvote

Jared Broad INVESTOR

QuantConnect | April 2017

David Tan Ahmad Lutfi Stefano wrote a new version above which imported the required extensions.

The difference is massive now that we've incorporated spread into the algorithm. Its almost 90% loss!

Upvote

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