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Weekly Universe selection - algorithm

Hi All,

So I got the algorithm to run with out any errors but it is not making any trades.

I was wondering if I could ge some asscistance with it.

Best,

Andrew

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I have tried to make the universe selection weekly.

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So it looks like I got the algorithm to work, but does not seem to be making any trades.

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Hi andrew martin czeizler ,

There are a couple of issues in the algorithm. First, it doesn't set self.week after the if-condition is not met. Also, since the averages are updated by the CoarseFundamental.AdjustedPrice, we cannot return when the if-condition is met, so we need to move it down in that method:

def CoarseSelectionFunction(self, coarse):
for cf in coarse:
if cf.Symbol not in self.averages:
self.averages[cf.Symbol] = SymbolData(cf.Symbol)

avg = self.averages[cf.Symbol]
avg.update(cf.EndTime, cf.AdjustedPrice)

current_week = self.Time.isocalendar()[1]
if current_week == self.week:
return Universe.Unchanged
self.week = current_week

values = list(filter(lambda x: x.is_uptrend, self.averages.values()))
values.sort(key=lambda x: x.scale, reverse=True)

return [ x.symbol for x in values[:self.coarse_count] ]

Please note that we need, at least, 300 trading days to warm up the indicators, so the StartDate-EndDate range should be greater than 300 trading days.
 

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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 Alexandre Catarino sincere thanks for help with the above.

Given more serious thought with this algorithm, I now think that universe selection based on time and indicator strength does not really make much sense in this context. The strength of algorithm lies in the indicator ability to predict a trend. hence the time when the universe is rebalanced is, in turn irrelevant.

Thank you for your help again, I will now close this discussion.

Best,

Andrew

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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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