Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 |
from System import * from QuantConnect import * from QuantConnect.Algorithm import QCAlgorithm from QuantConnect.Data.UniverseSelection import * import base64 ### <summary> ### In this algortihm we show how you can easily use the universe selection feature to fetch symbols ### to be traded using the BaseData custom data system in combination with the AddUniverse{T} method. ### AddUniverse{T} requires a function that will return the symbols to be traded. ### </summary> ### <meta name="tag" content="using data" /> ### <meta name="tag" content="universes" /> ### <meta name="tag" content="custom universes" /> class DropboxUniverseSelectionAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2013,1,1) self.SetEndDate(2013,12,31) self.backtestSymbolsPerDay = {} self.current_universe = [] self.Log(self.current_universe) self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse("my-dropbox-universe", self.selector) def selector(self, date): if len(self.backtestSymbolsPerDay) == 0: str = self.Download("https://www.dropbox.com/s/ua6ff99r75hby2j/poc.csv?dl=0")#, headers) self.Log(str) for line in str.splitlines(): data = line.split(';') self.backtestSymbolsPerDay[data[0]] = data[1:] index = date.strftime("%Y%m%d") self.current_universe = self.backtestSymbolsPerDay.get(index, self.current_universe) return self.current_universe def OnData(self, slice): if slice.Bars.Count == 0: return if self.changes is None: return # start fresh self.Liquidate() percentage = 1 / slice.Bars.Count for tradeBar in slice.Bars.Values: self.SetHoldings(tradeBar.Symbol, percentage) # reset changes self.changes = None self.Log(self.current_universe) def OnSecuritiesChanged(self, changes): self.changes = changes