Back

Do we have access to index composition?

I am wondering if we have access already, or if anyone knows of a good source of index composition (especially over time).

It's valuable to be able to select a list of securities based off of them being in an index and running a backtest on them.

For example, running a backtest on all S&P 500 constituents.

It's doable to build the list of current stocks using google searches, but the challenge is if you use that list for backtesting you will have selection bias, as you are selecting the companies who you know WILL be in an index and therefore probably increased or stayed same in market value, and didn't go out of business.
Update Backtest








It's also handy to be able to access these compositions for some indicators, i.e. Advance/Decline Ration.
0

Index composition would be awesome, we did ask S&P for their lists but they wanted an insane amount of money for it. So we've decided the best way is to come up with our own formula for a "QC500" which closely mirrors the S&P500.

Universe selection should be ready for Monday (and the data processor caught up). Once this is launched we can share a "QC500" algorithm :)
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.


Thanks Jared! You are always one step ahead.
0

Hi,

Was this QC500 ever launched?

0

Seconded, would be really nice to have this!

0

Yes! The QC500 logic can be seen here:

https://github.com/QuantConnect/Lean/blob/de9429320aadd8003031557492d0ec9fda4aa289/Algorithm.Framework/Selection/QC500UniverseSelectionModel.py

It has been implemented as a Universe Selection module in the Alpha Framework! The code can be implemented in the classic algorithms as well.

0

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.


Loading...

This discussion is closed