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Currently I have an alg that through the framework filters down to 25 equities, creates insights, and computes portfolio construction. I am looking to use options on my equities as risk management and I am having trouble adding such options to a separate universe. I used the Option Universe Selection Model on GitHub as a template, however, I was wondering
1). Is it possible to have two separate universes using QuantConenct's framework?
2). If so, would it be advised to create separate universes( one for equities one for options )?
3). If I wanted to filter down my options( based on insights, portfolio construction, etc. that I compute off my equities) later in the framework, would it be possible to filter down the separate options universe?
Derek Melchin
Hi Jason,
We can add multiple universes to an algorithm by calling the `AddUniverseSelection` method multiple times in Initialize. Although by doing so, the alpha model will have to emit insights for both the equities and options. The portfolio construction and risk management models will need to be written to handle all these insights. In the Algorithm Framework, it is not possible to perform universe selection inside a risk management model.
Best,
Derek Melchin
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Jason
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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