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I want to try a strategy like based on ranking on SP500 with a particular stats like trailing sharpe ratio, monthly gain and select 10 from SP500 holds for like three monthes with equal money. And rebalance every three monthes. Is there any example code available like this?
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Michael Handschuh
You should have a look at this example algorithm. It shows how you can use the coarse universe selection which fires daily to define daily indicators and use them in your selection process. For the time being, you'll need to approximate the SP500. The best way is to sort by daily dollar volume and take the top 500. An important note with indicators in universe selection is that the indicators should always be run for every security, not for a filtered set. This ensures they receive every data point and are correct.
Qingpeng Niu
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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