Say hello to the Q500US and Q1500US: our two brand new universes. These universes are implemented as regular pipeline Filters, so they can be added to any algorithm in a single line of code. To import the Q1500US to your algo or notebook, all you need is:
from quantopian.pipeline.filters import Q1500US
There are two main benefits of the Q500US and Q1500US. Firstly, they greatly reduce the risk of an order not being filled. Secondly, they allow for more meaningful comparisons between strategies as now they will be used as the standard universes for algorithms.
It was clear that the community would also like a parameterized function that can be used to generate any universe. We heard this and have also added
make_us_equity_universe to the Quantopian product.
In the workflow of producing a strong alpha factor, selecting a base universe is a quant's first job. Different strategies will perform better or worse based on the pool of stocks from which it can choose. We hope that the Q500US and Q1500US provide good bases for any strategy. We also hope
make_us_equity_universe gives you the flexibility and power to create custom universes that can express subtle and incisive opinions on the market.
Check out the notebook below for an in-depth look at the Q500US, Q1500US and
make_us_equity_universe. For a look at the original post outlining the methodology, have a look at this previous thread. Also, see the filtering criteria in the help docs.
Hope you enjoy!