Universe Selection

Inception Date Universes

Introduction

The InceptionDataUniverseSelection model creates a universe that contains a set of securities, each added on a the specific date you provide.

var tickersByDate = new Dictionary<string, DateTime> {
    {"GLD", new DateTime(2004, 11, 18)},
    {"SLV", new DateTime(2006, 4, 28)}
};
AddUniverseSelection(new InceptionDateUniverseSelectionModel("inception-universe", tickersByDate));
tickers_by_date = {
    "GLD": datetime(2004, 11, 18),
    "SLV": datetime(2006, 4, 28)
}
self.AddUniverseSelection(InceptionDateUniverseSelectionModel("inception-universe", tickers_by_date))

To view the implementation of this model, see the LEAN GitHub repository.

Energy ETFs

The EnergyETFUniverse adds the following Energy ETFs at their inception date:

TickerNameInception Date (yyyy-mm-dd)
XLEEnergy Select Sector SPDR Fund1998-12-22
IYEiShares U.S. Energy ETF2000-06-16
VDEVanguard Energy ETF2004-09-29
USOUnited States Oil Fund2006-04-10
XESSPDR S&P Oil & Gas Equipment & Services ETF2006-06-22
XOPSPDR S&P Oil & Gas Exploration & Production ETF2006-06-22
UNGUnited States Natural Gas Fund2007-04-18
ICLNiShares Global Clean Energy ETF2008-06-25
ERXDirexion Daily Energy Bull 3X Shares2008-11-06
SCOProShares UltraShort Bloomberg Crude Oil2008-11-25
UCOProShares Ultra Bloomberg Crude Oil2008-11-25
AMJJPMorgan Alerian MLP Index ETN2009-06-02
BNOUnited States Brent Oil Fund2010-06-02
AMLPAlerian MLP ETF2010-08-25
OIHVanEck Vectors Oil Services ETF2011-12-21
DGAZVelocityShares 3x Inverse Natural Gas2012-02-08
UGAZVelocityShares 3x Long Natural Gas2012-02-08
TANInvesco Solar ETF2012-02-15
AddUniverseSelection(new EnergyETFUniverse());
self.AddUniverseSelection(EnergyETFUniverse())

To view the implementation of this model, see the LEAN GitHub repository.

Metal ETFs

The MetalsETFUniverse adds the following Metal ETFs at their inception date:

TickerNameInception Date (yyyy-mm-dd)
GLDSPDR Gold Trust2004-11-18
IAUiShares Gold Trust2005-01-28
SLViShares Silver Trust2006-04-28
GDXVanEck Vectors Gold Miners ETF2006-05-22
AGQProShares Ultra Silver2008-12-04
GDXJVanEck Vectors Junior Gold Miners ETF2009-11-11
PPLTAberdeen Standard Platinum Shares ETF2010-01-08
NUGTDirexion Daily Gold Miners Bull 3X Shares2010-12-08
DUSTDirexion Daily Gold Miners Bear 3X Shares2010-12-08
USLVVelocityShares 3x Long Silver ETN2011-10-17
UGLDVelocityShares 3x Long Gold ETN2011-10-17
JNUGDirexion Daily Junior Gold Miners Index Bull 3x Shares2013-10-03
JDSTDirexion Daily Junior Gold Miners Index Bear 3X Shares2013-10-03
AddUniverseSelection(new MetalsETFUniverse());
self.AddUniverseSelection(MetalsETFUniverse())

To view the implementation of this model, see the LEAN GitHub repository.

SP500 Sector ETFs

The SP500SectorsETFUniverse adds the following S&P500 Sectors ETFs at their inception date:

TickerNameInception Date (yyyy-mm-dd)
XLBMaterials Select Sector SPDR ETF1998-12-22
XLEEnergy Select Sector SPDR Fund1998-12-22
XLFFinancial Select Sector SPDR Fund1998-12-22
XLIIndustrial Select Sector SPDR Fund1998-12-22
XLKTechnology Select Sector SPDR Fund1998-12-22
XLPConsumer Staples Select Sector SPDR Fund1998-12-22
XLUUtilities Select Sector SPDR Fund1998-12-22
XLVHealth Care Select Sector SPDR Fund1998-12-22
XLYConsumer Discretionary Select Sector SPDR Fund1998-12-22
AddUniverseSelection(new SP500SectorsETFUniverse());
self.AddUniverseSelection(SP500SectorsETFUniverse())

To view the implementation of this model, see the LEAN GitHub repository.

Technology ETFs

The TechnologyETFUniverse adds the following Technology ETFs at their inception date:

TickerNameInception Date (yyyy-mm-dd)
XLKTechnology Select Sector SPDR Fund1998-12-22
QQQInvesco QQQ1999-03-10
SOXXiShares PHLX Semiconductor ETF2001-07-13
IGViShares Expanded Tech-Software Sector ETF2001-07-13
VGTVanguard Information Technology ETF2004-01-30
QTECFirst Trust NASDAQ 100 Technology2006-04-25
FDNFirst Trust Dow Jones Internet Index2006-06-23
FXLFirst Trust Technology AlphaDEX Fund2007-05-10
TECLDirexion Daily Technology Bull 3X Shares2008-12-17
TECSDirexion Daily Technology Bear 3X Shares2008-12-17
SOXLDirexion Daily Semiconductor Bull 3x Shares2010-03-11
SOXSDirexion Daily Semiconductor Bear 3x Shares2010-03-11
SKYYFirst Trust ISE Cloud Computing Index Fund2011-07-06
SMHVanEck Vectors Semiconductor ETF2011-12-21
KWEBKraneShares CSI China Internet ETF2013-08-01
FTECFidelity MSCI Information Technology Index ETF2013-10-24
AddUniverseSelection(new TechnologyETFUniverse());
self.AddUniverseSelection(TechnologyETFUniverse())

US Treasury ETFs

The USTreasuriesETFUniverse adds the following US Treasuries ETFs at their inception date:

TickerNameInception Date (yyyy-mm-dd)
IEFiShares 7-10 Year Treasury Bond ETF2002-07-26
SHYiShares 1-3 Year Treasury Bond ETF2002-07-26
TLTiShares 20+ Year Treasury Bond ETF2002-07-26
SHViShares Short Treasury Bond ETF2007-01-11
IEIiShares 3-7 Year Treasury Bond ETF2007-01-11
TLHiShares 10-20 Year Treasury Bond ETF2007-01-11
EDVVanguard Ext Duration Treasury ETF2007-12-10
BILSPDR Barclays 1-3 Month T-Bill ETF2007-05-30
SPTLSPDR Portfolio Long Term Treasury ETF2007-05-30
TBTUltraShort Barclays 20+ Year Treasury2008-05-01
TMFDirexion Daily 20-Year Treasury Bull 3X2009-04-16
TMVDirexion Daily 20-Year Treasury Bear 3X2009-04-16
TBFProShares Short 20+ Year Treasury2009-08-20
VGSHVanguard Short-Term Treasury ETF2009-11-23
VGITVanguard Intermediate-Term Treasury ETF2009-11-23
VGLTVanguard Long-Term Treasury ETF2009-11-24
SCHOSchwab Short-Term U.S. Treasury ETF2010-08-06
SCHRSchwab Intermediate-Term U.S. Treasury ETF2010-08-06
SPTSSPDR Portfolio Short Term Treasury ETF2011-12-01
GOVTiShares U.S. Treasury Bond ETF2012-02-24
AddUniverseSelection(new USTreasuriesETFUniverse());
self.AddUniverseSelection(USTreasuriesETFUniverse())

To view the implementation of this model, see the LEAN GitHub repository.

Volatility ETFs

The VolatilityETFUniverse adds the following Volatility ETFs at their inception date:

TickerNameInception Date (yyyy-mm-dd)
SQQQProShares UltraPro ShortQQQ2010-02-11
TQQQProShares UltraProQQQ2010-02-11
TVIXVelocityShares Daily 2x VIX Short Term ETN2010-11-30
VIXYProShares VIX Short-Term Futures ETF2011-01-04
SPLVInvesco S&P 500® Low Volatility ETF2011-05-05
SVXYProShares Short VIX Short-Term Futures2011-10-04
UVXYProShares Ultra VIX Short-Term Futures2011-10-04
EEMViShares Edge MSCI Min Vol Emerging Markets ETF2011-10-20
EFAViShares Edge MSCI Min Vol EAFE ETF2011-10-20
USMViShares Edge MSCI Min Vol USA ETF2011-10-20
AddUniverseSelection(new VolatilityETFUniverse());
self.AddUniverseSelection(VolatilityETFUniverse())

To view the implementation of this model, see the LEAN GitHub repository.

Liquid ETFs

The LiquidETFUniverse adds the most liquid preceding ETFs at their inception date.

AddUniverseSelection(new LiquidETFUniverse());
self.AddUniverseSelection(LiquidETFUniverse())

To view the implementation of this model, see the LEAN GitHub repository.

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