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Suggestion for set_universe

Hi, is there a plan to expand the set_universe function? I would like to set universe to S&P500 and Russell2000.

Thank you.

4 responses

Hi Chee,

If you use set_universe then you can initialize 2% (~160 stocks) in minute mode or 10% (~800 stocks) in daily mode. At the moment, there are not any plans to expand this setting, but have you tried using Fetcher? Specifically, you can use the universe_func call to screen up to 200 stocks and have them dynamically enter your algorithm. Here's an overview of the feature where Jess shares an example to call the financial sector stocks of the SP500: https://www.quantopian.com/posts/define-custom-universe-via-fetcher-using-the-new-universe-func-callback

Expanding the universe size may take a performance hit, slowing down backtests and the debugging process, so we approach this cautiously. We want to make algo discovery easier, so we recently increased the universe size of manually entered SIDs from 100 to 200 without a major performance impact, so its a possibility for the future.

Alisa

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Hello Alisa,

Any idea why there would be a performance hit versus the number of sids? Naively, I would expect a linear scaling (e.g. 2X the number of sids would take 2X as long to backtest). If the scaling is roughly linear then why not just open it up to allow all of the sids in the database (and perhaps add an indicator/estimate of how long the backtest will take)? Or are there other limitations?

Grant

Grant, if your strategy requires comparing a set of stocks then the complexity grows at the square of the increase of the universe. O(n^2) for computer science speak.

Yep...I was thinking more of the overhead involved in processing N orders, for example. --Grant