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
-2.398
Tracking Error
0.148
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
 
from QuantConnect.Data.Shortable import AtreyuShortableProvider

class UpgradedFluorescentPinkDragonfly(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 22)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.shortable = AtreyuShortableProvider(SecurityType.Equity, Market.USA)
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.CoarseSelection)

    def CoarseSelection(self, coarse):
        quantityBySymbol = self.shortable.AllShortableSymbols(self.Time)
        shortable = []
        for cf in coarse:
            if not quantityBySymbol.ContainsKey(cf.Symbol):
                continue
            if quantityBySymbol[cf.Symbol] != 0:
                shortable.append(cf)
        sorted_by_dollar_volume = sorted(shortable, key=lambda x: x.DollarVolume, reverse=True)
        return [cf.Symbol for cf in sorted_by_dollar_volume[:100] ]
    
    def OnData(self, data):
        self.Plot("Custom", "Universe Size", len(self.ActiveSecurities))