Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Guidelines on universe selection for Long/Short strategy

Hi all!

I am working on my first strategy, shorting the bottom and buying the top of the market.
So far I am ranking the whole universe of US tradable stocks.

Do you have any suggestions for further narrowing the universe. For example I am thinking of:

  1. Removing penny stocks (price >= 2$ ??)
  2. Low volume stocks (what should be a low volume for buys of size around 10k $)
  3. Any other stocks to exclude?

Thanks!
Hans

1 response

Hi Hans,

Have a look at John Ma's notebook on this post. The NB is attempting to replicate the QTSUS universe, which is basically Q's base universe that they believe is 'tradable.' If you're only trading US stocks, this universe might be the best one to start with (or Q500US or Q1500US).