I noticed that quant connect already has capabilities to calculate alpha, beta, sharpe ratio, probabilistic sharpe ratio etc. These are currently calculated at the portfolio level and displayed in the back testing results area. The same logic can be used to calculate this for individual stocks, in other words the portfolio consists of just one stock.
Is there a way to leverage this capability to create a few different universes as follows:
- First one being a combination of alpha and beta that is high alpha and low beta stocks for the given duration such as 1 month, 1 year etc.
- The second one being an universe of stocks based on quant connects proprietary PSR?
- the last but not the least being an universe of stocks based on sharpe ratio.
Thanks.
Shile Wen
Hi Manoj,
We don't have alpha, beta, Sharpe, and PSR as indicators, so these indicators will have to be implemented by the user to use for Universe Selection.
Best,
Shile Wen
Manoj Agarwala
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