So every day at 9:50 a.m. EST, I scan all U.S. equities to find tickers that meet a preset list of criteria (price, volume, % change since open, etc…) and then for about the next hour I watch the 10 or so stocks that this scan returns for a certain TA setup. Been running this strategy for about a year now and it has been very profitable. I would like to refine this strategy and backtest it even further than the past year to see if it continues to be profitable or if any adjustments can be made to make it more efficient. So, what I need is:
The ability for quantconnect to run a historical scan on all US equities at a certain time on days in the past and look for certain criteria (price, volume, % change, etc…) then return the stock tickers that matched those criteria at that time on that day in the past. Is this possible with any current tools that quantconnect provides?
.ekz.
Yes, this is possible.Â
You can take a first pass to filter down the universe at midnight, then at 9:50 am, run your TA filter on the filtered stocks. Would that work? Â I've had to do this before in some prior research , will share if i can dig up the code.Â
Varad Kabade
Hi Drew Shire and .ekz.,
Thank you .ekz. for your response. What you described above is possible with QuantConnect. We recommend the following docs and algorithms to get you started; the following are based on Universe selection, Indicators [1, 2, 3].Â
Best,
Varad Kabade
Drew Shire
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