Is there a way to pass indicators from Universe Selection Model to Alpha Model? by Fishstoryyy

Fishstoryyy

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Hi,

In my Universe Selection Model, I used EMA as a criteria to select stocks. In my Alpha Model, I wanted to use the same EMA on the stocks I selected to set insight weight.

I was wondering if there is a way to pass indicators from Universe Selection Model to Alpha Model. Or there is a better way to tackle this problem in general?

Moreover, I noticed there is a EmaCrossUniverseSelectionModel and also a EmaCrossAlphaModel as a demo. Aren't they somewhat contradicting the idea of algorithm framework, which is to delegate different work to different module?

Thanks!

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Fishstoryyy

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Fishstoryyy

630 Pro ,

Can someone please help? Thanks.

Varad Kabade

STAFF Pro ,

Hi Fishstoryyy,

I was wondering if there is a way to pass indicators from Universe Selection Model to Alpha Model. Or there is a better way to tackle this problem in general?

We generally don't advise sharing information across framework modules as it violates the separation of concerns principle.

Aren't they somewhat contradicting the idea of algorithm framework, which is to delegate different work to different module?

Not exactly, because EmaCrossUniverseSelectionModel is used to select the Universe of our model, and EmaCrossAlphaModel is used to generate insight using EMA indicator both can be different (different periods, moving average, and Resolution).
Best,
Varad Kabade

Fishstoryyy

630 Pro ,

Hi Varad,

Thanks for getting back to me. Really appreciate your answer.

“We generally don't advise sharing information across framework modules as it violates the separation of concerns principle.” - if that's the case, do you advise I warmup the same indicators both in universe selection and alpha model even though they are meant to be used in both modules? Or is there a better way to accomplish this. Thank you.

Louis Szeto

STAFF Pro ,

How about use a list/dict to save it and put into the alpha model as variable?

Shile Wen

63.4k Pro ,

Hi Fishstoryyy,

Your interpretation of Varade's comment is correct, so I'd suggest implementing it in this manner.

However, while the following suggestion isn't ideal, it can come in handy if performance is an issue: you can declare an empty dictionary in Initialize of the algorithm then pass that same dictionary to both the Alpha model and Universe selection.

I've shown an example in the attached backtest.Best,
Shile Wen

Fishstoryyy

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