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 Probabilistic 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 -5.809 Tracking Error 0.114 Treynor Ratio 0 Total Fees $0.00 |
from universe_selection_model import MyUniverseModel class TestAlgo(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 5, 28) self.SetEndDate(2018, 6, 9) self.SetWarmUp(10) self.SetCash(10000) # Universe selection settings self.UniverseSettings.Resolution = Resolution.Daily self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Adjusted self.UniverseSettings.ExtendedMarketHours = False self.SetUniverseSelection(MyUniverseModel()) # Other initialization code def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data '''
from Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel class MyUniverseModel(FundamentalUniverseSelectionModel): def __init__(self): super().__init__(False) def SelectCoarse(self, algorithm, coarse): return Universe.Unchanged def SelectFine(self, algorithm, coarse): return self.symbols