[Research] Is there a way to update universe inside an algo that is running?

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[Research] Is there a way to update universe inside an algo that is running?

posted

Seeking Help Research

Standard code: from tutorials

data = get_pricing(  
    stocks_in_sp500,  
    start_date='2003-08-01',  
    end_date = today,  
    frequency='daily'  
)

algo = TradingAlgorithm(initialize=initialize,  
                        handle_data=handle_data)

results = algo.run(data['price'])

The problem: Survivors Bias (if stocks_in_sp500 = sp500 as of today), due to the fact that the group of securities (stocks_in_sp500) is set for the entirety of the algo.run()

My questions: How can i update stocks_in_sp500 while my algo is running?

2 responses

Hi John Loeber,

Simplified question: Is there a function equivalent to update_universe() in the research environment?

Not really. I think your best bet is to do this in the IDE (i.e. in the algorithm platform), and to then export your backtests to the Research Platform to analyze results.

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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.