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Hi,
What would be the best way to start with the QC500 universe and apply additional selection criteria based on technical indicators to create a new universe?
I have seen the following example, which I understand, but I'm not sure how this would work with the QC500 universe since it already applies coarse and fine selection functions.
https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/EmaCrossUniverseSelectionAlgorithm.cs
Looking forward to your valuable feedback!
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Varad Kabade
Hi BeachFront,
To apply additional filters to the QC500 universe, we suggest modifying the coarse filter function here to include technical indicators.
Best,
Varad Kabade
BeachFront
Thanks Varad.
If I want to start from the S&P Universe and do additional filtering on it, don't I need to do it at the end after both the coarse and fine filters have been applied? If not, I think we could end up with a filtered list that potentially contains symbols outside the S&P list. But it seems we need to calculate the indicators inside the coarse filter but only make the filtering in the fine filter.
Also, I was hoping I wouldn't have to copy & paste the QC500 universe getter for every strategy and then having to modify its filters based on the needs of each strategy. But, it seems that's the only way?
Does that make sense?
Cheers!
BeachFront
To clarify, what I'm suggesting is:
It would be nice if we could have something like this:
AddUniverse(GetSP500Universe(strategySpecificFilter));
That way, we would avoid having to copy & paste the Sp500 universe then modify the filters for each strategy.
Varad Kabade
Hi BeachFront,
Currently, it is not possible to chain Universe selection to another selector method. Alternatively, the algorithm can subscribe to all QC500 securities and you can set additional rules only trades some of those(Using technical indicators). However, in this case, the algorithm will have 500 subscriptions.
Best,
Varad Kabade
BeachFront
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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