Limitations of possibilities at QuantConnect

Hello, I would like to know a bit about the limitations and if QuantConnect is even right for me. I'm experienced in C# but the coding is not insignificant as I've noticed since 2 days.

1. For example, I would like to pre-filter stocks for US stocks (chg, market cap, indicators etc.) like in TradingView, is it even possible in this way (even if I have to use different universe objects now)?

2. What about the 5000 stock limit on universe filtering as described in the documentation, is that an obstacle?

3. It has been reported on Reddit that there may be performance issues at certain times during trading. In terms of costs, this should of course pay off, I am a private trader. What are your experiences, especially with the costs?

Hi Simone,

In the Quantopian example above, the $value$ factor is determined by ranking the cash return and yield of a security, summing these ranks, then ranking the resulting sum.

We can accomplish the same by using pandas. For example, the code below will return the top 10 securities based on the $value$ feature.

factors_by_security_id = pd.DataFrame()
for f in fine:
    factors_by_security_id.loc[str(f.Symbol), 'cash_return'] = f.ValuationRatios.CashReturn
    factors_by_security_id.loc[str(f.Symbol), 'earnings_yield'] =  f.ValuationRatios.EarningYield

universe = factors_by_security_id.rank().sum(axis=1).sort_values().index[-10:]
return [algorithm.Symbol(security_identifier) for security_identifier in universe]

See the attached backtest for reference. Our Introduction to Financial Python tutorial is a great place to learn pandas.

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.

Platform

Radically Open-Source Algorithmic Trading Engine

Join Our Discord Channel

Quarterly Open-Source Trading Competition

Draft Discussions

Bookmarked Discussions

SEARCH DISCUSSIONS

373,700 Quants.

VOTE FOR UPCOMING FEATURES

JOIN OUR Community MAILING LIST

IN THIS RESEARCH

PARTICIPANTS

Actions

Join QuantConnect for Free