This might turn out to be a dumb question, but I was wondering if there's a simple way to simulate the functionality provided by Quantopian's Pipeline API within the QuantConnect framework? For anyone who isn't familiar, Quantopian provides the following generalized description in their documentation of what Pipeline does:

  1. For each asset in a known (large) universe, compute N scalar values for the asset based on a trailing window of data.
  2. Select a smaller “tradeable universe” of assets based on the values computed in (1).
  3. Calculate desired portfolio weights on the trading universe computed in (2).
  4. Place orders to move the algorithm’s current portfolio allocations to the desired weights computed in (3).

I've been attempting to do something like this in QuantConnect by calling History while simultaneously using Coarse Universe Selection, but haven't had much success thus far.