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I'd like to try out a pairs trading strategy and clearly an important part of such a strategy is to select good pairs. How would one go about creating a universe selection filter based on price history? Would it be possible to subscribe to two assets, compare their histories, and then unsubscribe from them if they are poor candidates? Or do I need to do such comparisons outside of quantconnect and then feed the results to my running algorithm?
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Avery Uslaner
Ok, I ended up finding the answer to the heart of my question. I thought it was necessary to first use the AddEquity method before you could get price data, which is why I thought I would need to then unsubscribe from the data if it didn't meet my universe criteria.
I now realize I can just request the price data with the History method so that takes care of that obstacle.
Avery Uslaner
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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