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Weekly universe selection + Trade bar indicator filter

The idea is to call the universe selection once per week and filter the stocks using MFI
The criteria to add a stock to the universe is:

  1. Price > 20
  2. 2 < DividendYield < 15
  3. MFI > 60

As you know, MFI is a tradebar indicator, so I cannot use coarse.
The implementation reasoning is:

  • Add Universe is called every day, but if the week day is not Monday, it’ll return the same universe we have now
  • If the week day is Monday, I let the filter run, return 200 stock as maximum and I set a flag _universeSelectionCalled = true
  • Then in the OnData method if the flag _universeSelectionCalled is true I call the method RemoveStocksDontMeetWeeklyCriteria the applies the MFI filter.

But there is something plain wrong:

  • The RemoveStocksDontMeetWeeklyCriteria is never called.
  • The overridden OnSecuritiesChanged methos isn’t called neither.
  • The algorithm takes too long to run and ends ups throwing
Runtime Error: System.Exception: Execution Security Error: Memory Usage Maxed Out - 11264MB max, with last sample of 12998MB.

Any help will be much appreciated.
As I don’t have any working backtest, there is the code:

namespace QuantConnect
{
public class WeeklyCriteriaUniverse : QCAlgorithm
{
// holds our coarse fundamental indicators by symbol

private SecurityChanges _changes = SecurityChanges.None;
private IEnumerable<Symbol> _actualUniverse = Enumerable.Empty<Symbol>();
private bool _firstTime = true;

private bool _universeSelectionCalled = false;

public override void Initialize()
{
SetStartDate(year: 2013, month: 10, day: 08); //Set Start Date
SetEndDate(year: 2014, month: 10, day: 11); //Set End Date
SetCash(startingCash: 100000); //Set Strategy Cash

UniverseSettings.Resolution = Resolution.Daily;


AddUniverse(coarse =>
{
if (Time.DayOfWeek != DayOfWeek.Monday && !_firstTime) return _actualUniverse;
return coarse.Where(c => c.HasFundamentalData)
.OrderByDescending(c => c.DollarVolume)
.Select(c => c.Symbol)
.Take(200);
},
fine =>
{
if (Time.DayOfWeek != DayOfWeek.Monday && !_firstTime) return _actualUniverse;
Log(Time.ToString("F") + " - AddUniverse Called!");
_universeSelectionCalled = true;
return fine.Where(f => f.Price > 20 &&
f.ValuationRatios.TrailingDividendYield > 2 &&
f.ValuationRatios.TrailingDividendYield < 15)
.Select(f => f.Symbol);
}
);
}

public override void OnData(Slice slice)
{
if (_universeSelectionCalled)
{
// ToDO: Call remove from schelude
Log(Time.ToString("F") + " - RemoveStocksDontMeetWeeklyCriteria called.");
RemoveStocksDontMeetWeeklyCriteria();
}
}

private void RemoveStocksDontMeetWeeklyCriteria()
{
var stocksToRemove = new List<Symbol>();
foreach (var stock in Securities.Values)
{
var mfi = new MoneyFlowIndex(14);
foreach (var bar in History(stock.Symbol, TimeSpan.FromDays(16), Resolution.Daily))
{
mfi.Update(bar);
}
if (mfi < 60) stocksToRemove.Add(stock.Symbol);
}
Log(Time.ToString("F") + " - Stocks in universe: " + Securities.Count);
Log(Time.ToString("F") + " - Stocks to remove: " + stocksToRemove.Count);
Log(Time.ToString("F") + " - Stocks after removing : " + Securities.Count);
foreach (var symbol in stocksToRemove)
{
UniverseManager.Remove(symbol);
}
_firstTime = false;
_universeSelectionCalled = false;
_actualUniverse = Securities.Keys;
}


public override void OnSecuritiesChanged(SecurityChanges changes)
{
_changes = changes;
//TODO: check if changes is none.
Log(Time.ToString("F") + " - Stocks added to universe: " + changes.AddedSecurities.Count.ToString());
Log(Time.ToString("F") + " - Stocks removed from universe: " + changes.RemovedSecurities.Count.ToString());
}
}
}
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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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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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