Quantacula - Forum Topic - Request for new Premium Universe of Stocks

Q Merlin wrote on 1/13/2019, and edited on 1/13/2019 ...

Have a feature request for a new premium universe. For a few years, I've been trading a universe with US IPO stocks (currently 175). With the help of iposcoop.com, I'm re-balancing them manually every 3 months. IPO's older than 3 years, I throw out. Biotech IPO's are excluded at all. The advantage of an IPO universe is the volatility, which is often higher than that of large caps index listed stocks. This in turn means that many signals are more profitable because it often comes to extremes. The disadvantage is the Max Drawdown which is on average 10% -15% higher.

Would that be possible?

Published a simple RM using a subset of the past 3 years IPO's...

https://www.quantacula.com/Model/OpenModel/91

Q Atmosfear posted on 1/13/2019

I like your idea. To elaborate on it, such UniverseProvider might periodically rebalance the IPO universe automatically by querying a web-based list of recent IPOs. Glitch will correct me if I'm wrong.

Q Glitch posted on 1/13/2019

This has my vote :) I think the only trick would be making sure to have a historical data provider that can provide the data for the symbols that eventually are delisted, to keep the integrity of the universe.

W bitfool posted on 1/13/2019

I'm not yet familiar with everything available in QStudio (vs QWeb, which I'm using so far), but is there (or soon to be) some sort of Stock Screening method, that effectively could create such a premium universe, or an infinite variety of such universes?

This particular universe seems a bit difficult to implement automatically, because of the exclusion of biotech IPOs, since biotech is likely not a measurable fundamental quality of the stock... but I'm happy to be wrong (if some data provider provides an accurate assessment of such a classification for each stock).

I'm not yet familiar with everything available in QStudio (vs QWeb, which I'm using so far), but is there (or soon to be) some sort of Stock Screening method, that effectively could create such a premium universe, or an infinite variety of such universes? This particular universe seems a bit difficult to implement automatically, because of the exclusion of biotech IPOs, since biotech is likely not a measurable fundamental quality of the stock... but I'm happy to be wrong (if some data provider provides an accurate assessment of such a classification for each stock).

Q Glitch posted on 1/13/2019

Classification such as GICS is provided by most brokers, we'll have to see if we can find a public source of GICS or similar data for automated classification. I see NASDAQ seems to offer a comprehensive list, albeit in HTML format:

https://www.nasdaq.com/screening/companies-by-industry.aspx?industry=Health+Care

Classification such as GICS is provided by most brokers, we'll have to see if we can find a public source of GICS or similar data for automated classification. I see NASDAQ seems to offer a comprehensive list, albeit in HTML format: [https://www.nasdaq.com/screening/companies-by-industry.aspx?industry=Health+Care](https://www.nasdaq.com/screening/companies-by-industry.aspx?industry=Health+Care)

Q Atmosfear posted 28 days ago, and edited 28 days ago

Merlin, your feature request is implemented: meet IPO Universes extension!

The first two Universes ('IPOs Last 12 months' and 'IPOs Rebalanced every 3 months') are taken from the site you referred to.
The 'Historical IPOs' universe covers over 5K IPOs starting from 1996. One thing about it to keep in mind: as IPO symbols sometimes get reused over time, only one such symbol entry is left in the universe.

The lists will be updated on a monthly basis when Quantacula Studio starts up.

Merlin, your feature request is implemented: meet [IPO Universes](https://www.quantacula.com/Marketplace/Extension/IPOUniverse) extension! 1. The first two Universes ('IPOs Last 12 months' and 'IPOs Rebalanced every 3 months') are taken from the site you referred to. 2. The 'Historical IPOs' universe covers over 5K IPOs starting from 1996. One thing about it to keep in mind: as IPO symbols sometimes get reused over time, only one such symbol entry is left in the universe. The lists will be updated on a monthly basis when Quantacula Studio starts up.

Q Merlin posted 22 days ago

Thanks. Will have a first look by next week

Q Atmosfear posted 7 days ago, and edited 6 days ago

New version is out now. Requires Q172. Two Dynamic universes will be added to "IPO Universes":

"Last year's IPOs (during lockup period)"
"Historical IPOs (during lockup period)". Unlike "Historical IPOs", it contains duplicate symbols to help test a case when different IPOs were reusing the same ticker in different years

When this simple code is run on the "Last Year's IPO (lockup)" universe, Quantacula Studio automatically closes the position when the 90-day lock-up period ends (usually after 63 bars):

if (!HasOpenPosition(bars, PositionType.Long))
   PlaceTrade(bars, TransactionType.Buy, OrderType.Market);

New version is out now. Requires **Q172**. Two Dynamic universes will be added to "IPO Universes": * "Last year's IPOs (during lockup period)" * "Historical IPOs (during lockup period)". Unlike "Historical IPOs", it contains duplicate symbols to help test a case when different IPOs were reusing the same ticker in different years When this simple code is run on the "Last Year's IPO (lockup)" universe, Quantacula Studio automatically closes the position when the 90-day lock-up period ends (usually after 63 bars): [CODE] if (!HasOpenPosition(bars, PositionType.Long)) PlaceTrade(bars, TransactionType.Buy, OrderType.Market); [/CODE]