Is there any function available to get AdanceDeclineRatio for all tradable US stocks  ? If function is not available, Is below method is correct implementation ?

 

  1. # Selecting the universe. This example uses CoarseSelectionFunction for simplicity
  2.         self.UniverseSettings.Resolution = Resolution.Daily
  3.         self.AddUniverse(self.CoarseSelectionFunction)
  4.         self.yesterdayPrices = {}
  5. def CoarseSelectionFunction(self, coarse):
  6.         # Filtering criteria can be adjusted as needed
  7.         filtered = [c.Symbol for c in coarse if c.Price > 10 and c.DollarVolume > 10000000]
  8.         return filtered
  10.     def OnData(self, data):
  11.         advancers = 0
  12.         decliners = 0
  13.         
  14.         for symbol in self.yesterdayPrices:
  15.             if symbol in data and data[symbol] is not None:
  16.                 today_price = data[symbol].Close
  17.                 yesterday_price = self.yesterdayPrices[symbol]
  18.                 
  19.                 if today_price > yesterday_price:
  20.                     advancers += 1
  21.                 elif today_price < yesterday_price:
  22.                     decliners += 1
  24.         # Calculate and log the difference
  25.         difference = advancers - decliners
  26.         self.Log(f"Advance-Decline Difference: {difference}")
  28.         # Update yesterday's prices
  29.         for symbol in data.Keys:
  30.             self.yesterdayPrices[symbol] = data[symbol].Close        
+ Expand

 

Author

Dharmesh Khalasi

January 2024