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Hi - I am wondering how i might include momentum (e.g., 12-1, sector relative, etc.), or include technical indicators (e.g., RSI, ADX, SMAs) for each individual stock within the fine universe (i.e., other than the ValuationRatios.PriceChange1M which is included in the fine universe).
A good example may be the following tutorial from the strategy library:
Say I wanted to add a filter that further cuts the 'fine' universe by only taking stocks with 20d SMA > 100d SMA. How might I append the attached code to implement this (clone the notebook from within the tutorial)?
Thank you and apologies if this is obvious to some!
Jing Wu
The price data which used to generate the indicator is available in Coarse Universe so you can add the indicator filter in CoarseUniverseFunction.
Please refer to this example EmaCrossUniverseSelectionAlgorithm. The algorithm should spend a few days (the period of indicator) to initialize before it starts to trade.
Tom M
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