Hi, I'm new to quantconnect and migrating from quantopian. I have some troubles understanding the API; I am not sure how to use indicators and especially the coase universe selection in python. I am trying create a str-list of equities based on their 30 day momentum and then fire a scheduled event that uses an updated list every time it fires:

class MyAlgo(QCAlgorithm): def Initialize(self): self.SetCash(10000) self.SetStartDate(2017,1,1) self.SetEndDate(2017,12,14) self.AddEquity("SPY") self.AddUniverse(self.CoarseSelectionFunction) self.Schedule.On(self.DateRules.MonthStart(),self.TimeRules.At(12, 35), Action(self.momentum)) def CoarseSelectionFunction(self, coarse): #so far I have tried this sortedByDollarVolume = sorted(coarse, key=lambda x: x.Volume, reverse=True) vol_asset = [x.Symbol for x in sortedByDollarVolume[:100]] slice1 = self.History(vol_asset, 30, Resolution.Daily) price_history1 = slice1["close"].unstack(level=0) pre_return = price_history1.pct_change() search = pre_return.sort_values(axis=0, ascending=False, inplace=False, kind='quicksort', na_position='last') global c_asset c_asset = list(search.index[0:50]) return c_asset def OnData(self, slice): pass def momentum(self): global c_asset asset = c_asset number = len(asset)#asset should be a python list

I have tried to define helper classes as well but without success - does anybody know how I could go about it? Thanks

Author