Stock Universe Selection on Multiple Timeframes


This is my take on scheduled intraday universe selection, written in Python (LEAN). The attached code is not a tradable strategy, it’s a template for others to use in building their own strategies. Feel free to re-use this, customize it, make it better and re-share.   General ArchitectureThere are three universe selection phases: Coarse, Fine and Intraday (scheduled). In the Fine and...

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