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replicating set_universe with pipeline in Quantopian 2

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.

2 responses

If you run pipeline once per quarter, it should end up very similar to the old set_universe. It's not going to be exact. One big difference is that our data quality has improved since we first created the old set_universe, and the improved data will lead to some percentile membership changes.

Are you looking at high dollar volume percentiles, or lower? The lower you are looking at the more variance I'd expect.

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Was looking at high dollar volumes but I was still never able to get the results to match as close as I wanted. But in trying I got a better appreciation of pipepline and now I am getting better results with it.

After dollar-volume, is there a next most popular primary factor for universe selection?