I have tried a few different things but I have not been able to get the AverageDollarVolume factor in pipeline, or a custom factor, to replicate the legacy set_universe functionality.
My understanding was that set_universe was based on the same calculations as the AverageDollarVolume factor, but over a single quarter (63days) and updated at the start of each nominal quarter (jan1, april1, july1, oct1).
I have gotten similar results, but never quite as good wrt to my algorithms. Maybe a result of over-fitting to small irregularities but I'd like to know for sure. Any input greatly appreciated.