Liquid Crypto Universe Builder

WHY IT EXISTS. Every screener needs a set to screen. That set is not neutral: it determines what CAN be found, so any result is conditional on it. A screener that never sees an asset can never rank it, and no downstream sophistication recovers what the universe excluded.

THE FILTERS AND WHAT EACH ONE IS FOR. Size, dollar volume and a minimum price are all INVESTABILITY constraints rather than quality judgements. Size and volume determine whether a position can be established and exited without moving the price - the liquidity reasoning set out in the execution analyses. A minimum price filter removes assets whose quoted price is so small that tick granularity and rounding distort percentage returns.

SURVIVORSHIP BIAS IS THE CLASSICAL HAZARD HERE, and it is worth stating exactly, because the same construction is right for one purpose and fatal for another. A universe built from assets that EXIST TODAY excludes everything that failed, was delisted, or went to zero. For a universe of what is tradable today, that is correct - a dead asset cannot be bought. For measuring how a strategy WOULD HAVE performed, it is disastrous: the losers have been removed from the sample, so any historical result computed on a current universe is biased upward, sometimes enormously. In crypto the effect is severe, because the failure rate of listed assets has been very high. Ask of any backtest which universe it ran on and whether that universe was reconstructed as it stood at the time.

LOOK-AHEAD BIAS is the sibling error: using information that was not available at the moment being modelled. Filtering a historical period by today's market capitalisation embeds knowledge of what grew.

THIS UNIVERSE APPLIES NO LISTING-AGE FILTER. That absence matters: newly listed assets have unstable prices, thin history and distinctive early dynamics, so they can clear a volume filter on launch activity and behave nothing like the established assets around them.

TIERING BY MARKET CAP is a size classification, and note that market capitalisation in crypto is price times CIRCULATING supply - so a low float makes an asset look smaller than its eventual size implies.