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How to do this in C#?
def CoarseSelectionFunction(self, coarse):
if self.rebalence_flag or self.first_month_trade_flag:
# drop stocks which have no fundamental data or have too low prices
selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 5)]
# rank the stocks by dollar volume
filtered = sorted(selected, key=lambda x: x.DollarVolume, reverse=True)
return [ x.Symbol for x in filtered[:200]]
else:
return self.symbols
def FineSelectionFunction(self, fine):
if self.rebalence_flag or self.first_month_trade_flag:
hist = self.History([i.Symbol for i in fine], 1, Resolution.Daily)
try:
filtered_fine = [x for x in fine if (x.ValuationRatios.EVToEBITDA > 0)
and (x.EarningReports.BasicAverageShares.ThreeMonths > 0)
and float(x.EarningReports.BasicAverageShares.ThreeMonths) * hist.loc[str(x.Symbol)]['close'][0] > 2e9]
except:
filtered_fine = [x for x in fine if (x.ValuationRatios.EVToEBITDA > 0)
and (x.EarningReports.BasicAverageShares.ThreeMonths > 0)]
top = sorted(filtered_fine, key = lambda x: x.ValuationRatios.EVToEBITDA, reverse=True)[:self.num_screener]
self.symbols = [x.Symbol for x in top]
self.rebalence_flag = 0
self.first_month_trade_flag = 0
self.trade_flag = 1
return self.symbols
else:
return self.symbolsI tried:
public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine)
{
if (!_reSelectUniverse)
return Enumerable.Empty<Symbol>();
var hist = History(fine.Select(x => x.Symbol), 1, Resolution.Daily);
try
{
filtered = from x in fine
where x.SecurityReference.SecurityType == "ST00000001"
where x.SecurityReference.IsPrimaryShare
where x.ValuationRatios.EVToEBITDA > 0
where x.EarningReports.BasicAverageShares.ThreeMonths > 0
where ((float) x.EarningReports.BasicAverageShares.ThreeMonths) * hist ????) > 2 * 1000 * 1000 * 1000)
select x;
filtered_fine = [x for x in fine if (x.ValuationRatios.EVToEBITDA > 0)
and(x.EarningReports.BasicAverageShares.ThreeMonths > 0)
and float(x.EarningReports.BasicAverageShares.ThreeMonths) * hist.loc[str(x.Symbol)]['close'][0] > 2e9]
}
catch
{
except:
filtered_fine = [x for x in fine if (x.ValuationRatios.EVToEBITDA > 0)
and(x.EarningReports.BasicAverageShares.ThreeMonths > 0)]
}
return filtered.OrderByDescending(x => x.ValuationRatios.EVToEBITDA).Select(x => x.Symbol);
}no success so far...
Alexandre Catarino
I have attached a backtest of a simplified C# version of your code.
The key part is the FineSelectionFunction method:
public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine) { if (_reSelectUniverse) { _symbols = fine .Where(x => x.SecurityReference.SecurityType == "ST00000001") .Where(x => x.SecurityReference.IsPrimaryShare) .Where(x => x.ValuationRatios.EVToEBITDA > 0) .Where(x => x.EarningReports.BasicAverageShares.ThreeMonths > 0) .Where(x => { var averageShares = x.EarningReports.BasicAverageShares.ThreeMonths; var history = History(x.Symbol, 1, Resolution.Daily); var close = history.FirstOrDefault()?.Close; // If history is empty, close will be null // In this case, we will not consider the security if (close == null) { return false; } return averageShares * close > 2 * 1000 * 1000 * 1000; }) .OrderByDescending(x => x.ValuationRatios.EVToEBITDA) .Select(x => x.Symbol); } return _symbols; } }Note that we make a history request for a single symbol only if the previsous conditions were met. If the request turns out to return an empty enumerable, that symbol will not be added.
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