I used QTradeablestocksUS in my algo's screen but the backtest still said I did not meet the structural requirement . If I set a restriction of trading leveraged ETFs, I did see a degradation of performance so I suspect leveraged ETFs are in the QTradablestocksUS. Any one confirms this?
Fimmu,
Please visit this link to see the breakdown of the QTradablestocksUS, it explicitly states that no ETFs are included.
I see that QTS has no ETFs. I am still puzzled with the backtest result that I did not use QTS as the universe even though I did
Hi Fimmu this post from Dan helped me to figure out whether my universe was a subset of the QTS (by the way I like that abbreviation) in good old fashioned non Pythonic way https://www.quantopian.com/posts/display-a-list-of-stock-symbols
fimmu --
Are you rebalancing daily? QTradeableStocksUS is not static, so it's possible you are not selling securities as they drop out of the universe.
Otherwise, there's a known and longstanding bug with Quantopian's optimizer with either TargetWeights or MaximizeAlpha (I forgot which) where this can happen. Try using the other method and see if that fixes the problem.
It's TargetWeights that has this bug unfortunately, unless they've fixed it (I haven't seen it announced). See this thread for a long discussion on it, including a 'force close' fix from James.
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