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...

Look Ma, a Workflow


A few months ago someone on reddit asked about my workflow for strategy research. I thought about it and realized how far I’d come on this exciting and humbling journey. From indicator soup to some semblance of evidence based strategy validation. I’m not quite using this exact process any more, but thought it worth documenting for posterity. Here’s my reply, paraphrased and formatted...

Automate everything.