| 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 9.59 Tracking Error 0.029 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 |
class OptimizedHorizontalAutosequencers(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 2, 17) # Set Start Date
self.SetEndDate(2020, 2, 18)
self.SetCash(100000) # Set Strategy Cash
self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))
def OnData(self, data):
pass
def CoarseSelectionFunction(self, coarse):
sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
return [ x.Symbol for x in sortedByDollarVolume[:10] ]
def FineSelectionFunction(self, fine):
for f in fine:
self.Log(f"{f.Symbol} EV: {f.CompanyProfile.SharesOutstanding}")
return [ x.Symbol for x in fine ]