Say I want to trade only the top 10 holdings of QQQ.  Can this be done via a Coarse/Fine universal selection?

Anyone have an example of this?


I would be envisioning something like the following, but specific to an ETF rather than a sector.

  2.     def Coarse(self, coarse):
  3.        if self.Time.month == self.lastMonth:
  4.            return Universe.Unchanged
  5.        self.lastMonth = self.Time.month
  6.        
  7.        allCoarse = [x for x in coarse if x.HasFundamentalData and x.Price > 1 and x.Volume > 1]
  8.        finalCoarse = sorted(allCoarse, key = lambda x: x.DollarVolume, reverse = True)
  9.        
  10.        return [x.Symbol for x in finalCoarse][:1]
  11.    
  12.    def Fine(self, fine):
  13.        
  14.        filteredSymbols = []
  15.        sortedBySector = [x for x in fine]
  16.        for code, g in groupby(sortedBySector, lambda x: x.AssetClassification.MorningstarSectorCode):
  17.            for x in sorted(g, key = lambda x: x.ValuationRatios.PERatio, reverse = True)[:1]:
  18.                filteredSymbols.append(x.Symbol)
  19.            
  20.        return filteredSymbols[:10]
+ Expand

Author

Axist

July 2021