Hi guys!

I am trying to create a strategy, which would sort stocks by their market cap, by choosing only top 20% of them. I've been following a simmilar code which I found in tutorials, regarding the “book-to-Market Value Anomaly”, by adjusting it to my strategy.
https://www.quantconnect.com/tutorials/strategy-library/book-to-market-value-anomaly
Unfortunately after running my code i get this error "

  1. Runtime Error: property is read-only
  2.   at FineSelectionFunction
  3.     i.MarketCap = float(i.MarketCap)
  4.    at Python.Runtime.PythonException.ThrowLastAsClrException()
  5.    at Python.Runtime.Dispatcher.TrueDispatch(Object[] args)
  6.    at Python.Runtime.Dispatcher.Dispatch(Object[] args)
  7.    at __System_Func`2\[\[System_Collections_Generic_IEnumerable`1\[\[QuantConnect_Data_Fundamental_FineFundamental\ in main.py: line 40

Do you know what could be causing this? And do you see any other issues in my code, which I could be facing in the near future?

  1.      def CoarseSelectionFunction(self, coarse):
  2.         ''' Drop stocks which have no fundamental data or have low price '''
  3.         return [x.Symbol for x in coarse if x.HasFundamentalData and x.Price > 5]
  5.     def FineSelectionFunction(self, fine):
  6.         ''' Selects the stocks by lowest market cap '''
  7.         sorted_market_cap = sorted([x for x in fine if x.MarketCap > 0],
  8.             key=lambda x: x.MarketCap)
  10.         for i in fine:
  11.             i.MarketCap = float(i.MarketCap)
  12.         top_market_cap = sorted(fine, key = lambda x:x.MarketCap, reverse=True)[:int(len(fine)*0.2)]
  13.         self.sorted_by_mc = [i.Symbol for i in top_market_cap] 
  14.         total_market_cap = np.sum([i.MarketCap for i in top_market_cap])
  15.         self.weights = {}
  16.         for i in top_market_cap:
  17.             self.weights[str(i.Symbol)] = i.MarketCap/total_market_cap
  18.         return self.sorted_by_mc
+ Expand

Author

Sebastian Wozniczka

October 2022