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How to limit Universes to Forex?

Hello,

There are quite a number interesting number of automatic universe selections, but most of them are tailored for US market, how can we use them on Forex? 

 

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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.


Hi Armin.

Use AddUniverse() in the method Initialize() to add a custom universe:

self.fxPairs = ["EURUSD","GBPUSD","AUDUSD"]
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.fxPairsUniverse)

And define the universe selection function:

def fxPairsUniverse(self, coarse):
return [Symbol.Create(ticker, SecurityType.Forex, Market.FXCM) for ticker in self.fxPairs]

I've attached a backtest where I demonstrate how to create a universe that consists of forex securities for your reference. Check out this documentation section on Universe Selection for further information.

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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.


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.


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