Lowest capacity Asset in a fine selection Universe´s backtest Overview

Hi Pau

Your attached backtest suggested a 700M capacity which is large already, while you already included some of the biggest dollar volume stocks. I don't get your concern?! Anyway my suggestion on the above algo is to sort out only the ones with fundamentals as largest equities are usually ETFs. So you can include more equities to increase the capacity.

# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
    def CoarseSelectionFunction(self, coarse):
        # include only stocks has fundamentals for PE ratio
        hasFundamentals = [x for x in coarse if x.HasFundamentalData]
        
        # sort descending by daily dollar volume
        sortedByDollarVolume = sorted(hasFundamentals, key=lambda x: x.DollarVolume, reverse=True)

        # return the symbol objects of the top entries from our sorted collection
        return [ x.Symbol for x in sortedByDollarVolume[:self.__numberOfSymbols] ]