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Lecture 28

Universe Selection

Introduction

The process of implementing a trading algorithm removes a large human element from trading, but still requires some intelligent setting of conditions and parameters. Your algorithm will follow a set of criteria, to the letter, to trade upon your chosen signals. Without properly defining a universe of tradeable assets for your algorithm, you may end up trying to execute trades that you either do not want to be a part of or will not be able to complete. A trading universe provides a whitelist for your algorithm based on criteria that you control. In this lecture, we cover the rationale for defining a trading universe as well as an introduction to creating your own.

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