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Here is my attempt at creating a Custom Average Dollar Volume Indicator.
It would be nice to have something like this in the built-in QC arsenal.
I am also wondering how to correctly implement it in the classic CoarseFilter
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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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Hi Vladimir
Thank you for creating this awesome tool. The attached backtest demonstrated how to implement it within a coarse universe selection model.
Best
Louis Szeto
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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.
Louis Szeto,
Thanks a lot.
This is exactly what I was looking for.
The only problem I am facing is speed.
On a static list of 7 symbols, a 5-year backtest completed in 29.46 seconds.
A dynamic list of 5 symbols out of 50, filtered by dollar volume,
runs 30 times slower (965.50 seconds).
I can call CoarseUniverseSelection once a week or once a month.
Are there other ways to improve efficiency?
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Hi Vladimir,
a few suggestions to speed up the backtests:
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Hi Vladimir
This is the sample requested. Enjoy and happy researching!
Best
Louis
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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.
Many thanks to Arthur Asenheimer for the suggestions and Louis Szeto for their implementation.
This almost doubled the speed and, together with other algorithm settings, brought it to a reasonable level.
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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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