Back

Any way to filter Universe Selection by Beta?

Beta is a pretty big deal with stocks. Just curious if there is any way to do coarse or fine selection on beta ? 

Update Backtest







Unfortunately, there is not a quick way to do coarse or fine selection on beta. That being said, beta is calculated using the expected return of the stock, expected return of the market and the risk-free rate. During universe selection, the data needed can be retrieved and beta can be calculated for the necessary analysis. One idea would be to make a rolling window of SPY as a benchmark and then calculate the beta of each asset.

0

Thanks. This is basically what I ended up doing. Had to use Accord .NET etc to do the calculations and ensure that SPY was always selected in my universe, which was another trick. 

0

Update Backtest





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.


Loading...

This discussion is closed