Question on Coarse & Fine Selection Functions

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I have a flag that I'm using to determine when to re-rerun coarse and fine selection functions to rebuild the universe at the end of every month. 

My question is if my CoarseSelectionFunction checks for this flag and immediately returns Universe.Unchanged, will the FineSelectionFunction still run after that? 

In other words, do I have to check for the flag and return Universe.Unchanged from both functions, or will just CoarseSelectionFunction do the trick and skip the FineSelectionFunction because of its return value?

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Hi John,

If Universe.Unchanged is returned during coarse selection, fine selection is not called. This means you only need to return Universe.Unchanged in coarse selection.

Best
Rahul

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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.


Rahul Chowdhury Hi Rahul, is there a way to re-run the Universe coarse and fine filter functions at a specific time say Sometime around market open time 9:20 am eastern time every day rather than currently set to run at midnight? 

I know there is a github issue #3890 for this topic Alexandre Catarino mentioned in a latter post and it doesn't seem to have been touched since February. Though Martin Molinero made a lot of progress on it. Can we increase the priority level for this issue? it just seems like an amazing feature.

I'm new to QuantConnect any suggestion or advice is appreciated, 

My intraday strategy will create a universe 10 mins before the open and does so by tracking the Rate of Change from the previous day close until the open with Vol > 500k  and price > 10. I've thought about creating a data dictionary where I can add symbols from coarse function and track the rate of change and then schedule an event to add a set of symbols at given time. Tracking some thousand symbols for the period until the open seems not so nice performance and workload-wise compared to instantly filtering for price and dollar volume in the morning and track rate of change of fewer than 50 stocks.  

can I do something like this with current functionality?

 

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Hi Tegster,

It is not currently possible to chain or re-call universe selection models. See this related thread for a potential workaround. Note that with this workaround, the algorithm will still be subscribed to all the securities in the initial universe selection model. If the GitHub Issue linked above receives more attention, we will be happy to increase its priority.

Best,
Derek Melchin

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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.


Thank you Derek Melchin  

Can you relink the thread, it's resulting in an error. I did end up subscribing to some 2000 securities and tracking their ROC. Just seems unnecessary to track so many securities. Even if I create a separate dictionary to track the security and potentially remove it from the universe and reduce the universe size, say at 9:20 am. I can't because despite liquidating any position the security still exists in the universe until next universe selection. 

To avoid tracking so many securities for the period. My only option is to import a small set of symbols from an external resource unless I was to re-run Universe Selection at a specific time. This makes Quantconnect rather tough feed for Intraday Traders. 

How can we give this github issue #3890 more attention? I've seen multiple threads asking for this functionality and even mentioned by Alexandre Catarino in a post that this functionality was coming. How can we raise more awareness to this Issue?

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Hi Tegster,

The thread I linked to above should now be visible. Refer to it for more information.

The idea of wanting to reduce the universe size is logical, however, this is not how LEAN is currently designed. There is currently no ETA on when we will return to GitHub Issue #3890. We will return to it as soon as possible.

One metric we use to deem the precedence of functionality to add to LEAN is the number of different users who reference it in our forum threads. If more people ask for it, we'll give the community what they want.

Best,
Derek Melchin

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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.


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