Scan for Stocks Instead Adding a List of Them? by Jhon molano

Jhon molano

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Hello Community, i'm new in quantconnect, but i have used other similar backtesting sites, where you can scan for stocks that meets certain parameters.
But looking to quantconnect way to add data, i see that the only way is to add a list of predefined equities or a single security, but the problem is that for my code i don't have the list of equities, instead of that i scan for stocks with the next criteria:

Gap Up = +15%
Price= Under $30
Volume = Above 500000

And then use the results of the scan for backtesting.
Is possible to do this?

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Jhon molano

, ,

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Tobias Fischer

1.1k ,

I found some promising things in the documentation, apparently there is a kind of interface for that.

However I am not very familiar with LEAN and C#, so maybe someone could provide a quick example on usage of said interface? Since there are around 16k different symbols available it would be very comfortable to filter out anything that does not fit one's algorithms requirements (e.g. the price you mentioned).

Michael Handschuh

STAFF ,

The feature you mention is *mostly* ready for prime time. We're still working out some issues however, so we haven't publicly announced it. If you're keen, you can fork the github and play with it locally.

The long term goal is to be able to import any data source for use in universe selection. The sky's the limit!

I'm curious about your use case. What time of day would you want to perform this filtering, say 9:30:01am each day, a second after market open when the open price is available? And then you would be able to trade on those gap up symbols?

Yingzhong Xu

13 ,

I'd love this scanning feature too.

Ryan Rayfield

10 ,

Agreed! The one specific idea I came here to fiddle with requires the ability to run an initial scan to determine an entry point for the scanned securities. I suppose I could make it work with an initial scan each day and provide the securities individually. Probably better this way initially but long term would think this ability a necessity! Good luck with the feature QC. Love what you're doing!

Jared Broad

Thank you @Ryan, @Yingzhong! Just a note we have launched this feature - you can see more information about it here: Universe Selection

Jim Lawson

203 ,

Jhon,

I'm lookin to do something similar to what you described above, however I'm very new to this platform and I'm having trouble finding an algorithm to clone as a working example of where I need to start. Do you mind sharing an algorithm that performs the scanning and alert feature you described above?

Bryan Wang

3.6k ,

Hey Jim,

I have been playing around with the Universe Selection, and created an algorithm that scans the universe of stocks, and selected the top 100 by dollar volume each day. It also records their prices each day into a rolling window of 20 days, and then selects the top 10 stocks with the largest positive price change, and the top 10 stocks with the largest negative price change. The algorithm is very profitable, but it is very interesting to see the power of the universe selection and the potential it has for future algorithms.

Let me know if you have any questions about my algo.

Jhon molano

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