Is there any pipeline method for filtering targets by inclusion in an index such as Dow30, SPY500, QQQ, SPY400 mid cap, etc ?
For example, if I wanted to run a backtest from 1/1/2010 - today on only the constituents of the SPY500 at that time, is there way to do that with pipeline?
If not, I'm officially requesting it as a feature. It would make more algos qualify for things around here since it removes the need to fetch CSVs.
Thanks for posting. We're working on an example for using Pipeline to construct indexes. It's close to done, and we hope to release it next week, so keep an eye open for it.
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See https://www.quantopian.com/posts/the-tradeable500us-is-almost-here. However, it is not exactly point-in-time index constituents, as requested. I don't think Q has those data.
Maybe there is another project, since Nathan says "We're working on an example for using Pipeline to construct indexes" suggesting point-in-time index data?
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 Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.
