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Liquid ETF Competition Helper Classes

As you may have noticed, we rolled into November with a brand-new Alpha Streams development contest: the Liquid ETF Competition! We took community feedback from Alpha Five and created a single universe of high AUM ETFs that are uncorrelated with the broader market. The universe combines ETFs covering S&P 500 sectors, metals, volatility, energy, US treasury bonds, and technology.

To join, set the universe in your algorithm.

C#:

SetUniverseSelection(new LiquidETFUniverse())

Python:

self.SetUniverseSelection(LiquidETFUniverse())

We have also created helpers that group the ETFs by Sector:

C#

var energy = LiquidETFUniverse.Energy;
var metals = LiquidETFUniverse.Metals;
var technology = LiquidETFUniverse.Technology;
var treasuries = LiquidETFUniverse.Treasuries;
var volatility = LiquidETFUniverse.Volatility;
var sp500Sectors = LiquidETFUniverse.SP500Sectors;

Python:

energy = LiquidETFUniverse.Energy
metals = LiquidETFUniverse.Metals
technology = LiquidETFUniverse.Technology
treasuries = LiquidETFUniverse.Treasuries
volatility = LiquidETFUniverse.Volatility
sp500Sectors = LiquidETFUniverse.SP500Sectors

and Direction (Long or Inverse ETFs):

// C# Example for Energy
var energyLong = LiquidETFUniverse.Energy.Long;
var energyInverse = LiquidETFUniverse.Energy.Inverse;
# Python Example for Energy
energyLong = LiquidETFUniverse.Energy.Long
energyInverse = LiquidETFUniverse.Energy.Inverse

Please note that all those variables are list of Symbol object.

Alphas submitted must use the above universe. Read the rest of the acceptance criteria on the competition home page.

Submissions are open through December 20. Remember, only one submission is allowed per day. Good luck and happy coding!

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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.



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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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