Bootcamp - Universe Selection by Andrew martin czeizler

Andrew martin czeizler INVESTOR

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love the platform.

In the latest bootcamp, indicators are used to create a selection criteria.

My question are:

- if I was to use different indicotrs, ones i have made my self (ie a neural network) would I need the lines

for bar in history.itertuples(): self.fast.Update(bar.Index[1], bar.close) self.slow.Update(bar.Index[1], bar.close) def is_ready(self): return self.slow.IsReady and self.fast.IsReady def update(self, time, price): self.fast.Update(time, price) self.slow.Update(time, price)

if I was to create my own indicators do I need the above lines and if yes how is this possible to implement?

- If I wanted to update the universe weekly and have the algorithm trade hourly where in the code would i do this. I am not sure where the universe rebalances and the resolution of the trades made.

Sincere thanks in advance for your help! Im a still learning how to use the platform.

Many thanks,

Best,

Andrew

Update Backtest

Andrew martin czeizler

Accepted Answer

Update Backtest

Notebook

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Andrew martin czeizler

624 ,

Alexandre Catarino

Hi andrew martin czeizler,

Please check out the CustomIndicatorAlgorithm.py. It is an example of how to create custom indicators.

If we want the universe to update weekly, we can check out whether the week number has changed:

def CoarseSelectionFunction(self, coarse):

    ## If it isn't a new week, return Universe.Unchanged

    current_week = self.Time.isocalendar()[1]

    if current_week == self.week:

        return Universe.Unchanged

    self.week = current_week



    ## Code to select symbols when week has changed below:

If the algorithm is also using FineFundamental data, when CoarseSelectionFunction returns Universe.Unchanged, FineSelectionFunction will not be called.

Finally, we can select hourly data with self.UniverseSettings.Resolution = Resolution.Hour.

For more details on Universes, please check out the docs.

Andrew martin czeizler

624 ,

Hi Alex!

Thank you! sincerly appreciate your help with this.

My confusion is that in the neural network example there is no update function?

QuantConnect/Lean/blob/master/Algorithm.Python/PytorchNeuralNetworkAlgorithm.py

I am wondering why the indicator doucmentiation suggests an update fuction but there is non in the above example?

Best,

Andrew

Andrew martin czeizler

624 ,

Alexandre Catarino

Hi andrew martin czeizler

We only need an Update function if the indicator is intended to be automatically updated by the engine. If not, like in the PytorchNeuralNetworkAlgorithm.py, we can simply process the computations using the available functions.

Andrew martin czeizler INVESTOR

Update Backtest

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