I'm having trouble using set_universe. The first problem appears to be known (stocks you hold stay in the universe), and you'll see that I've coded a workaround by selling all stocks on the last day of the quarter (yuck). But the bigger problem at the moment is that for even a very small universe (~11 stocks) I get a memory exception. I'm doing very little in this algo - basically just trying to debug the problem. Unless I'm missing something, it seems incredible that this tiny universe and almost complete lack of, well, anything except a call to the history function would use much memory.
Is there something I can do to avoid this problem?