Share New Research 
Universe selection, top gappers search
Hi everyone,
some years ago I made a similar post reaching for help in order to build a little Universe selection algorithm. Now I'm in university, studying CS but I find it challenging none the less.
It seems that the scheduling functionality for universe selection was added.
What I'm aiming for here:
- Filtering just stocks and not futures, options etc
- The stocks need to have gapped up from the prev day close between 10% and 30%
- Stocks need to have a current day price between 30 and 60 dollars
- In case of multiple stocks to be filtered, return the biggest gapper
After looking at the documentation I coded a filter that seems to do what it should. By using logs I see that the filter it activates when it should, but it doesn't return stocks even if I can find them on Yahoo Finance applying the same filter logic “by hand”.
Even though I know that universe selection should be done by first calling a coarse selection and then a fine selection, I have not followed this approach because I feel that the filtering logic I am applying here is not so heavy as to require a "filter search" at two levels” (Coarse+Fine selection).
I'll attach the code, I would very much appreciate if someone could give me a hint on why the code doesen't return any stocks.
Best regards.
Mia Alissi
Sources: Momentum And State Of Market Filters, Asset Growth Effect, Piotroski F-Score Investing, January Effect In Stocks, Fundamental Factor Long Short Strategy
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.
Pietro ciarmatori
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!