Overall Statistics
Total Trades
2113
Average Win
1.09%
Average Loss
-1.28%
Compounding Annual Return
-5.560%
Drawdown
89.800%
Expectancy
-0.084
Net Profit
-61.309%
Sharpe Ratio
0.046
Probabilistic Sharpe Ratio
0.002%
Loss Rate
50%
Win Rate
50%
Profit-Loss Ratio
0.85
Alpha
-0.031
Beta
0.836
Annual Standard Deviation
0.261
Annual Variance
0.068
Information Ratio
-0.182
Tracking Error
0.216
Treynor Ratio
0.014
Total Fees
$2188.16
 
class SwimmingFluorescentYellowLemur(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2000, 1, 1)  # Set Start Date
        self.SetEndDate(2020,1,1)
        self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        self.month = None
        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
    def CoarseSelectionFunction(self, coarse):
        highdollarvol = [x.Symbol for x in coarse if x.Price > 10 and x.DollarVolume > 2000000]
        return highdollarvol
    def FineSelectionFunction(self, fine):    
        Tech_stocks = [x for x in fine if x.AssetClassification.MorningstarSectorCode == MorningstarSectorCode.Technology]
        nonprofitable = sorted([x for x in fine if x.FinancialStatements.IncomeStatement.NormalizedIncome.OneMonth <= 0], key = lambda x: x.FinancialStatements.IncomeStatement.TotalRevenue.OneMonth, reverse = True)
        return [x.Symbol for x in nonprofitable[:50]]
    # def OnData(self, data):
        
        
        
    #     stocks = data.Keys
    #     num_stocks = len(stocks)
        
    #     for s in stocks:
    #         if self.Portfolio[s].IsInvested:
    #             self.SetHoldings(s, 1/num_stocks)
    def OnSecuritiesChanged(self, changes):
            if self.month == self.Time.month:
                return
            self.month = self.Time.month
            
            self.changes = changes
            self.Log(f"OnSecuritiesChanged({self.Time}):: {changes}")
            
            for security in self.changes.RemovedSecurities:
                if security.Invested:
                    self.Liquidate(security.Symbol)
            
            for security in self.changes.AddedSecurities:
                #2. Leave a cash buffer by setting the allocation to 0.18 instead of 0.2 
                self.SetHoldings(security.Symbol, 0.01)