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replicating set_universe with pipeline in Quantopian 2
Robby F
posted Apr 28, 2016

I have tried a few different things but I have not been able to get the AverageDollarVolume factor in pipeline, or a custom factor, to replicate the legacy set_universe functionality.

My understanding was that set_universe was based on the same calculations as the AverageDollarVolume factor, but over a single quarter (63days) and updated at the start of each nominal quarter (jan1, april1, july1, oct1).

I have gotten similar results, but never quite as good wrt to my algorithms. Maybe a result of over-fitting to small irregularities but I'd like to know for sure. Any input greatly appreciated.

2 responses
Dan Dunn
Apr 28, 2016

If you run pipeline once per quarter, it should end up very similar to the old set_universe. It's not going to be exact. One big difference is that our data quality has improved since we first created the old set_universe, and the improved data will lead to some percentile membership changes.

Are you looking at high dollar volume percentiles, or lower? The lower you are looking at the more variance I'd expect.

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Robby F
May 1, 2016

Was looking at high dollar volumes but I was still never able to get the results to match as close as I wanted. But in trying I got a better appreciation of pipepline and now I am getting better results with it.

After dollar-volume, is there a next most popular primary factor for universe selection?

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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.