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Remove ETF from algorithm

How would one adapt the sample mean reversion algorithm to remove ETFs from the bought securities. Any help is much appreciated!

3 responses

Hi Max,

The sample mean revision algo uses set_universe to create the list of securities to trade. This function screens all securities and ranks them by their dollar volume traded (liquidity). The example uses the top 1% liquid stocks.

If you only want to trade stocks, there are a few options:

  1. use the Pipeline API to create your own custom screeners:
  2. use fundamental data to choose which stocks to trade:
  3. manually hard-code a list of stocks:
  4. create a custom "do-not-order" list that keeps a list of ETFs you don't want to trade



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Thank you for all of your help!

Hi, what happens if i only want to trade etfs? Thanks