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Data Collection

The data collection process consists of collecting 1-day bars for US stocks and creating a universe of ETFs.

Collect historical data

First, we create a database for collecting 1-day bars.

Then collect the data:

Monitor flightlog for completion:

quantrocket.history: INFO [usstock-1d] Collecting US history from 2007 to present
quantrocket.history: INFO [usstock-1d] Collecting updated US securities listings
quantrocket.history: INFO [usstock-1d] Collecting additional US history from 2020-04 to present
quantrocket.history: INFO [usstock-1d] Collected 160 monthly files in quantrocket.v2.history.usstock-1d.sqlite

Define universe of US ETFs

Next we download a CSV of US ETFs:

Then upload the CSV to create the "us-etf" universe:


Next Up

Part 2: Moonshot Pairs Strategy