With today's release, you now have access to a stable, robust stock universe as the foundation for your algorithm. We recommend that you use the Quantopian Tradable Universe as the first step of every strategy you write. The convenient built-in has been migrated from the experimental namespace to the general Quantopian API. We released this universe a few months ago in experimental mode, heard your feedback, ran further analyses, and incorporated some changes.
In addition to adjusting several of the existing filters, a new filter was added: removing any securities marked as M&A targets. When a security becomes an acquisition target, its behavior can significantly deviate from its regular trading regime, and your strategy may falsely detect an opportunity without knowing about the external event. This premium dataset is available for your free usage within the built-in universe, helping to remove idiosyncratic risk.
Here are the filters that were improved:
|Filter||Previous Requirement||Current Requirement||Rationale for Adjustment|
|Market cap minimum||$500m||$350M over a 20-day simple moving average||A single-value threshold creates additional jitter. We adjusted to be a moving average.|
|Trailing close price||Must have close price every day for previous 200 days||Must have close price for 180 out of last 200 days AND in each of last 20 days||The security must have enough trailing history and still be actively trading.|
|Trailing volume||Must have volume every day for previous 60 days||N/A||Redundant with trailing price window and liquidity filter.|
|$5 minimum price||Stock’s previous close price must be above $5||N/A||Price is not an adequate proxy for bid-ask spread. Liquidity is already measured via average daily volume filter.|
|Remove M&A targets||N/A||Equities with
||Securities that are marked as M&A targets experience severe movements outside of expected price and fundamental data inputs.|
We appreciate your feedback in the forums and carefully reviewed all the suggestions. Some were not included in this iteration and may be included in a future version.
To use the universe in your strategy, you can import
from quantopian.pipeline.filters import QTradableStocksUS. You can read the full criteria in the API documentation and can start working on your contest entry using this tutorial. Enjoy!