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I already checked that using the algorithm framework the same algo can have multiple alpha models. Now I'm interested to learn if it would be also possible to have multiple universe selection models feeding different alpha models, all within the same algo?
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Shile Wen
Hi Leoandro,
If the Universes are from different classes, we can iterate through the UniverseManager and extract the class information inside the alpha model to see which Universe the securities are from. I've shown this in the attached backtest. If the Universes are from the same class, then I'd suggest performing two filters for each Universe inside the same class, and return the combined list, and check which list a security is from in the Alpha model.
Best,
Shile Wen
Papa Bear
Hi Shile, what about chained universes within the algorithm framework?
Louis Szeto
Hi Papa Bear
You can take a look at this doc. Although classical approach was used there, it can be easily modified into framework with ”AddUniverseSelection” method.
Best
Louis
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.
Leandro Maia
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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