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SMA/EMA in algos with Fundametlal universes

Hi All,

 

If we have an algorithm using coars/fine universe selection, how do we implement the idea of e.g.: price of a security from the universe is above its moving average?

It will be greately apprciated if somebody can point/give an example.

Thanks

Nik

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Please checkout the EmaCrossUniverseSelectionAlgorithm below.
In this example, we are working only with Coarse Universe Selection:

// In Initialize:
AddUniverse(CoarseUniverseFunction);

public IEnumerable<Symbol> CoarseSelectionFunction(
IEnumerable<CoarseFundamental> coarse)
{
return (from cf in coarse
// grab th SelectionData instance for this symbol
let avg = _averages.GetOrAdd(cf.Symbol,
sym => new SelectionData())
// Update returns true when the indicators are ready,
// so don't accept until they are
where avg.Update(cf.EndTime, cf.Price)
// only pick symbols who have their 50 day ema
// over their 100 day ema
where avg.Fast > avg.Slow*(1 + Tolerance)
// prefer symbols with a larger delta by
// percentage between the two averages
orderby avg.ScaledDelta descending
// we only need to return the symbol and
// return 'Count' symbols
select cf.Symbol).Take(Count);
}

To include a Fine Universe Selection to the mix, we can use:

// In Initialize:
AddUniverse(CoarseUniverseFunction, FineSelectionFunction);

// For example, pick 2 stocks with highest P/E ratio
public IEnumerable<Symbol> FineSelectionFunction(
IEnumerable<FineFundamental> fine)
{
// sort descending by P/E ratio
var sortedByPeRatio = fine
.OrderByDescending(x => x.ValuationRatios.PERatio);

// take the top 2 entries from our sorted collection
var topFine = sortedByPeRatio.Take(2);

// we need to return only the symbol objects
return topFine.Select(x => x.Symbol);
}

Each day, we will hold the 2 stocks with the highest P/E ratio from an universe of stocks that are trending upwards (EMA.Fast > EMA.Slow).

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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.


Alexandre, thanks!

Appreciate your quick respond :)

0

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0

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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