Contents
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:
| Ticker | Name | Inception Date (yyyy-mm-dd) |
|---|---|---|
| XLE | Energy Select Sector SPDR Fund | 1998-12-22 |
| IYE | iShares U.S. Energy ETF | 2000-06-16 |
| VDE | Vanguard Energy ETF | 2004-09-29 |
| USO | United States Oil Fund | 2006-04-10 |
| XES | SPDR S&P Oil & Gas Equipment & Services ETF | 2006-06-22 |
| XOP | SPDR S&P Oil & Gas Exploration & Production ETF | 2006-06-22 |
| UNG | United States Natural Gas Fund | 2007-04-18 |
| ICLN | iShares Global Clean Energy ETF | 2008-06-25 |
| ERX | Direxion Daily Energy Bull 3X Shares | 2008-11-06 |
| SCO | ProShares UltraShort Bloomberg Crude Oil | 2008-11-25 |
| UCO | ProShares Ultra Bloomberg Crude Oil | 2008-11-25 |
| AMJ | JPMorgan Alerian MLP Index ETN | 2009-06-02 |
| BNO | United States Brent Oil Fund | 2010-06-02 |
| AMLP | Alerian MLP ETF | 2010-08-25 |
| OIH | VanEck Vectors Oil Services ETF | 2011-12-21 |
| DGAZ | VelocityShares 3x Inverse Natural Gas | 2012-02-08 |
| UGAZ | VelocityShares 3x Long Natural Gas | 2012-02-08 |
| TAN | Invesco Solar ETF | 2012-02-15 |
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:
| Ticker | Name | Inception Date (yyyy-mm-dd) |
|---|---|---|
| GLD | SPDR Gold Trust | 2004-11-18 |
| IAU | iShares Gold Trust | 2005-01-28 |
| SLV | iShares Silver Trust | 2006-04-28 |
| GDX | VanEck Vectors Gold Miners ETF | 2006-05-22 |
| AGQ | ProShares Ultra Silver | 2008-12-04 |
| GDXJ | VanEck Vectors Junior Gold Miners ETF | 2009-11-11 |
| PPLT | Aberdeen Standard Platinum Shares ETF | 2010-01-08 |
| NUGT | Direxion Daily Gold Miners Bull 3X Shares | 2010-12-08 |
| DUST | Direxion Daily Gold Miners Bear 3X Shares | 2010-12-08 |
| USLV | VelocityShares 3x Long Silver ETN | 2011-10-17 |
| UGLD | VelocityShares 3x Long Gold ETN | 2011-10-17 |
| JNUG | Direxion Daily Junior Gold Miners Index Bull 3x Shares | 2013-10-03 |
| JDST | Direxion Daily Junior Gold Miners Index Bear 3X Shares | 2013-10-03 |
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:
| Ticker | Name | Inception Date (yyyy-mm-dd) |
|---|---|---|
| XLB | Materials Select Sector SPDR ETF | 1998-12-22 |
| XLE | Energy Select Sector SPDR Fund | 1998-12-22 |
| XLF | Financial Select Sector SPDR Fund | 1998-12-22 |
| XLI | Industrial Select Sector SPDR Fund | 1998-12-22 |
| XLK | Technology Select Sector SPDR Fund | 1998-12-22 |
| XLP | Consumer Staples Select Sector SPDR Fund | 1998-12-22 |
| XLU | Utilities Select Sector SPDR Fund | 1998-12-22 |
| XLV | Health Care Select Sector SPDR Fund | 1998-12-22 |
| XLY | Consumer Discretionary Select Sector SPDR Fund | 1998-12-22 |
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:
| Ticker | Name | Inception Date (yyyy-mm-dd) |
|---|---|---|
| XLK | Technology Select Sector SPDR Fund | 1998-12-22 |
| QQQ | Invesco QQQ | 1999-03-10 |
| SOXX | iShares PHLX Semiconductor ETF | 2001-07-13 |
| IGV | iShares Expanded Tech-Software Sector ETF | 2001-07-13 |
| VGT | Vanguard Information Technology ETF | 2004-01-30 |
| QTEC | First Trust NASDAQ 100 Technology | 2006-04-25 |
| FDN | First Trust Dow Jones Internet Index | 2006-06-23 |
| FXL | First Trust Technology AlphaDEX Fund | 2007-05-10 |
| TECL | Direxion Daily Technology Bull 3X Shares | 2008-12-17 |
| TECS | Direxion Daily Technology Bear 3X Shares | 2008-12-17 |
| SOXL | Direxion Daily Semiconductor Bull 3x Shares | 2010-03-11 |
| SOXS | Direxion Daily Semiconductor Bear 3x Shares | 2010-03-11 |
| SKYY | First Trust ISE Cloud Computing Index Fund | 2011-07-06 |
| SMH | VanEck Vectors Semiconductor ETF | 2011-12-21 |
| KWEB | KraneShares CSI China Internet ETF | 2013-08-01 |
| FTEC | Fidelity MSCI Information Technology Index ETF | 2013-10-24 |
AddUniverseSelection(new TechnologyETFUniverse());
self.AddUniverseSelection(TechnologyETFUniverse())
US Treasury ETFs
The USTreasuriesETFUniverse adds the following US Treasuries ETFs at their inception date:
| Ticker | Name | Inception Date (yyyy-mm-dd) |
|---|---|---|
| IEF | iShares 7-10 Year Treasury Bond ETF | 2002-07-26 |
| SHY | iShares 1-3 Year Treasury Bond ETF | 2002-07-26 |
| TLT | iShares 20+ Year Treasury Bond ETF | 2002-07-26 |
| SHV | iShares Short Treasury Bond ETF | 2007-01-11 |
| IEI | iShares 3-7 Year Treasury Bond ETF | 2007-01-11 |
| TLH | iShares 10-20 Year Treasury Bond ETF | 2007-01-11 |
| EDV | Vanguard Ext Duration Treasury ETF | 2007-12-10 |
| BIL | SPDR Barclays 1-3 Month T-Bill ETF | 2007-05-30 |
| SPTL | SPDR Portfolio Long Term Treasury ETF | 2007-05-30 |
| TBT | UltraShort Barclays 20+ Year Treasury | 2008-05-01 |
| TMF | Direxion Daily 20-Year Treasury Bull 3X | 2009-04-16 |
| TMV | Direxion Daily 20-Year Treasury Bear 3X | 2009-04-16 |
| TBF | ProShares Short 20+ Year Treasury | 2009-08-20 |
| VGSH | Vanguard Short-Term Treasury ETF | 2009-11-23 |
| VGIT | Vanguard Intermediate-Term Treasury ETF | 2009-11-23 |
| VGLT | Vanguard Long-Term Treasury ETF | 2009-11-24 |
| SCHO | Schwab Short-Term U.S. Treasury ETF | 2010-08-06 |
| SCHR | Schwab Intermediate-Term U.S. Treasury ETF | 2010-08-06 |
| SPTS | SPDR Portfolio Short Term Treasury ETF | 2011-12-01 |
| GOVT | iShares U.S. Treasury Bond ETF | 2012-02-24 |
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:
| Ticker | Name | Inception Date (yyyy-mm-dd) |
|---|---|---|
| SQQQ | ProShares UltraPro ShortQQQ | 2010-02-11 |
| TQQQ | ProShares UltraProQQQ | 2010-02-11 |
| TVIX | VelocityShares Daily 2x VIX Short Term ETN | 2010-11-30 |
| VIXY | ProShares VIX Short-Term Futures ETF | 2011-01-04 |
| SPLV | Invesco S&P 500® Low Volatility ETF | 2011-05-05 |
| SVXY | ProShares Short VIX Short-Term Futures | 2011-10-04 |
| UVXY | ProShares Ultra VIX Short-Term Futures | 2011-10-04 |
| EEMV | iShares Edge MSCI Min Vol Emerging Markets ETF | 2011-10-20 |
| EFAV | iShares Edge MSCI Min Vol EAFE ETF | 2011-10-20 |
| USMV | iShares Edge MSCI Min Vol USA ETF | 2011-10-20 |
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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