Hi, is there a plan to expand the set_universe function? I would like to set universe to S&P500 and Russell2000.
Thank you.
Hi Chee,
If you use set_universe then you can initialize 2% (~160 stocks) in minute mode or 10% (~800 stocks) in daily mode. At the moment, there are not any plans to expand this setting, but have you tried using Fetcher? Specifically, you can use the universe_func call to screen up to 200 stocks and have them dynamically enter your algorithm. Here's an overview of the feature where Jess shares an example to call the financial sector stocks of the SP500: https://www.quantopian.com/posts/define-custom-universe-via-fetcher-using-the-new-universe-func-callback
Expanding the universe size may take a performance hit, slowing down backtests and the debugging process, so we approach this cautiously. We want to make algo discovery easier, so we recently increased the universe size of manually entered SIDs from 100 to 200 without a major performance impact, so its a possibility for the future.
Alisa
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Hello Alisa,
Any idea why there would be a performance hit versus the number of sids? Naively, I would expect a linear scaling (e.g. 2X the number of sids would take 2X as long to backtest). If the scaling is roughly linear then why not just open it up to allow all of the sids in the database (and perhaps add an indicator/estimate of how long the backtest will take)? Or are there other limitations?
Grant
Grant, if your strategy requires comparing a set of stocks then the complexity grows at the square of the increase of the universe. O(n^2) for computer science speak.
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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.