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As you may have noticed, we rolled into November with a brand-new Alpha Streams development contest: the Liquid ETF Competition! We took community feedback from Alpha Five and created a single universe of high AUM ETFs that are uncorrelated with the broader market. The universe combines ETFs covering S&P 500 sectors, metals, volatility, energy, US treasury bonds, and technology.
To join, set the universe in your algorithm.
C#:
SetUniverseSelection(new LiquidETFUniverse())Python:
self.SetUniverseSelection(LiquidETFUniverse())We have also created helpers that group the ETFs by Sector:
C#
var energy = LiquidETFUniverse.Energy;
var metals = LiquidETFUniverse.Metals;
var technology = LiquidETFUniverse.Technology;
var treasuries = LiquidETFUniverse.Treasuries;
var volatility = LiquidETFUniverse.Volatility;
var sp500Sectors = LiquidETFUniverse.SP500Sectors;Python:
energy = LiquidETFUniverse.Energy
metals = LiquidETFUniverse.Metals
technology = LiquidETFUniverse.Technology
treasuries = LiquidETFUniverse.Treasuries
volatility = LiquidETFUniverse.Volatility
sp500Sectors = LiquidETFUniverse.SP500Sectorsand Direction (Long or Inverse ETFs):
// C# Example for Energy
var energyLong = LiquidETFUniverse.Energy.Long;
var energyInverse = LiquidETFUniverse.Energy.Inverse;# Python Example for Energy
energyLong = LiquidETFUniverse.Energy.Long
energyInverse = LiquidETFUniverse.Energy.Inverse
Please note that all those variables are list of Symbol object.
Alphas submitted must use the above universe. Read the rest of the acceptance criteria on the competition home page.
Submissions are open through December 20. Remember, only one submission is allowed per day. Good luck and happy coding!
Alfred Aita
Alex yhere returning mixed classes
xxx = LIquidETFUniverse.Energy.Long
returns gold minersÂ
Alexandre Catarino
Hi Alfred Aita ,
We couldn't reproduce it. Inspecting the Symbol.Value from that Energy.Long, GDX cannot be found
msg = ','.join([x.Value for x in LiquidETFUniverse.Energy.Long]) # msg = VDE,USO,XES,XOP,UNG,ICLN,ERX,UCO,AMJ,BNO,AMLP,UGAZ,TANOn the other hand, GDX is present in Metals.Long.
msg = ','.join([x.Value for x in LiquidETFUniverse.Metals.Long]) # msg = GLD,IAU,SLV,GDX,AGQ,PPLT,NUGT,USLV,UGLD,JNUGAlfred Aita
Thanks Alexandre.
Originally I captured the objec and then parsed it out schedule on function ( several days out ).
Apparently it captured the original Universe for several days.
Thanks Â
Alex Otsu
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