Is there an easy way to exclude all index or ETF stocks with Coarse function for universe selection? by JL Lord

JL Lord INVESTOR

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When using Coarse function for universe selection like this:

IEnumerable<Symbol> MyCoarseFilterFunction(IEnumerable<CoarseFundamental> coarse) {

	var stocks = (from c in coarse

	              where c.DollarVolume > 30000000 &&

	                     c.Price > 30

	              orderby c.DollarVolume descending

	               select c.Symbol).Take(100).ToList();

    return stocks;

}

Is there an easy way to exclude all index or ETF stocks?

Or is there a way to find out if a symbol is actually an index or ETF with code?

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JL Lord

Accepted Answer

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Rahul Chowdhury

39.9k Pro ,

Hey JL Lord,

You can filter out ETFs by picking stocks which have fundamental data. Since ETFs do not have fundamental data, it should filter out all ETFs.

IEnumerable<Symbol> MyCoarseFilterFunction(IEnumerable<CoarseFundamental> coarse) {

	return (from c in coarse

            where c.HasFundamentalData

	        where c.DollarVolume > 30000000 &&

	                     c.Price > 30

	        orderby c.DollarVolume descending

	        select c.Symbol).Take(100);

}

JL Lord

2.5k Pro ,

Thanks for the suggestion. I actually tested it earlier, but it seems filtering out some stocks that have no fundmental data as well, not just ETFs.

Now I manually add all the EFT symbols I could find to be excluded manually. If there is a better way in the future, just let me know here. Thanks.

JL Lord

2.5k Pro ,

There is a good reason to exclude ETF for universal seclection, isn't it? Anyone runs into the same situation?

Rahul Chowdhury

39.9k Pro ,

Hey JL Lord,

Some stocks which don't have fundamental data, like some small cap NASDAQ stocks, may end up being filtered out of the universe. However the vast majority of equities will be available in your universe. In the end, it is your decision whether you wish to make that sacrifice.

JL Lord INVESTOR

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