Competition Template: Technology ETF Universe

Here is the C# version of the demonstration algorithm using the Technology ETF universe!

Hi Jack, 

Thanks for all your help. My Qs: 1). How many ETFs are in the Tech ETF basket? What about other baskets? 2). All I need is all the symbols included in each basket. How to get entire list of symbols in each universe inside the algo? 3). Can you show us how to filter ETFs just like we did in the FineSelection process? e.g. If we need top 20 tech ETFs that have largest AUM and price above $10. And then, need to sort them by Volume (or DollarVolume) or whatever and then, finally get top 10 ETFs from the filtering. Thanks.   

Hi HanByul P the universes have been predefined based on the sponsor criteria and you can see the full implementation of them on Github (Energy, Volatility, Treasuries, Metals, Technology)

Hi Jared, 

Thanks a lot. Just to clarify, I see total 16 ETFs in the TechETF basket on Github. For the competition, we just have to use this basket only, Is this right? Actual number of TechETF is much more than 16 as we all know. We are allowed only to use the baskets pre-defined? Can you clarify this? Thanks. 

Correct HanByul; the ETFs allowed have a history of more than 5 years and significant daily trading volume making them capable of handling significant capital. 

HI, 

I found that the Technology ETF basket has an wrong symbol in it. It has 'FND' (Floor & Decor Holdings, Inc) instead of 'FDN' (First Trust Dow Jones Internet Index). Please correct this. Thanks. 

Fixed thank you HanByul P 

In your example, you are using XLK as your benchmark. Is it possible to use a different benchmark, like the QC500 or SPY, etc? If we AddSecurity("SPY"),.....) will that disqualify our entry?

I'm just wondering about where it says no handpicked universe can be used. Additionally, can we filter/sort to make trade decisions?

You can use other assets as signals and filter-sort the existing universe. The prize categories are just based on trading assets and a declaration for one universe category has to be made at submission time. 

Hi, Can we use individual list of Tech ETFs rather than using 'self.SetUniverseSelection(TechnologyETFUniverse())' ?  Can we do this as below?

/// Universe Selection Model that adds the following Technology ETFs at their inception date

/// 1998-12-22 XLK Technology Select Sector SPDR Fund
/// 1999-03-10 QQQ Invesco QQQ
/// 2001-07-13 SOXX iShares PHLX Semiconductor ETF
/// 2001-07-13 IGV iShares Expanded Tech-Software Sector ETF
/// 2004-01-30 VGT Vanguard Information Technology ETF
/// 2006-04-25 QTEC First Trust NASDAQ 100 Technology
/// 2006-06-23 FDN First Trust Dow Jones Internet Index
/// 2007-05-10 FXL First Trust Technology AlphaDEX Fund
/// 2008-12-17 TECL Direxion Daily Technology Bull 3X Shares
/// 2008-12-17 TECS Direxion Daily Technology Bear 3X Shares
/// 2010-03-11 SOXL Direxion Daily Semiconductor Bull 3x Shares
/// 2010-03-11 SOXS Direxion Daily Semiconductor Bear 3x Shares
/// 2011-07-06 SKYY First Trust ISE Cloud Computing Index Fund
/// 2011-12-21 SMH VanEck Vectors Semiconductor ETF
/// 2013-08-01 KWEB KraneShares CSI China Internet ETF
/// 2013-10-24 FTEC Fidelity MSCI Information Technology Index ETF


def Initialize(self):

    #1. Required: Five years of backtest history
    self.SetStartDate(2014, 1, 1)

    #2. Required: Alpha Streams Models:
    self.SetBrokerageModel(BrokerageName.AlphaStreams)

    #3. Required: Significant AUM Capacity
    self.SetCash(5000000)

    self.tech_etf = ["XLK", "QQQ", "SOXX", "IGV", "VGT", "QTEC", "FDN", "FXL",
    "TECL", "TECS", "SOXL", "SOXS", "SKYY", "SMH", "KWEB", "FTEC"]

    # Add Equity ------------------------------------------------
    for i in range(len(self.tech_etf)):
        self.AddEquity(self.tech_etf[i],Resolution.Minute)

Hey All,

Here's a template version of a Classic algorithm using the skeleton code from HanByul above. If you prefer to work with the Classic style algorithms, just clone the backtest below and start coding!

Here's the C# version!

Hi, 

Please see the attached algo. I've just run the daily 'History' of the Tech basket, and then I see 'TYH' and 'TYP' instead of 'TECL' and 'TECS'. All the symbols in the list in the 'Initialize(self)' are correct. However, after running 'History' function, all of sudden, we see two different symbols in there. Please check this out and if it's wrong, fix this. Thanks.

Hi HanByul P yes this is expected, those are just the symbol-hashes. Please see the Symbols documentation.