Overall Statistics
Total Trades
3
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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$8.92
Estimated Strategy Capacity
$9600000.00
Lowest Capacity Asset
OXBRU VP83T1ZUHROL
 
from AlgorithmImports import *

class SelectionData():
    #3. Update the constructor to accept a history array
    def __init__(self, history, algo):
        self.slow = SimpleMovingAverage(algo.slow)
        self.fast = SimpleMovingAverage(algo.fast)
        self.vol = SimpleMovingAverage(algo.vol)
        #4. Loop over the history data and update the indicators
        for bar in history.itertuples():
            self.fast.Update(bar.Index[1], bar.close)
            self.slow.Update(bar.Index[1], bar.close)
        for bar in (history.drop(index=history.index[-1],axis=0,inplace=False)).itertuples():
            self.vol.Update(bar.Index[1], bar.volume)
    
    def is_ready(self):
        return self.slow.IsReady and self.fast.IsReady and self.vol.IsReady
    
    def update(self, time, price, volume):
        self.fast.Update(time, price)
        self.slow.Update(time, price)
        self.vol.Update(time, volume)
from AlgorithmImports import *


from indicator import *

class Vol01(QCAlgorithm):
    def Initialize(self):

        self.SetStartDate(2021, 1, 28)
        self.SetEndDate(2021, 1, 29)


        self.SetCash(100000)  # Set Strategy Cash

        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.TestFilter)


    def TestFilter(self, universe):
        selected = []
        universe = [c for c in universe if c.HasFundamentalData]
        for coarse in universe:            
            symbol = coarse.Symbol
            if str(symbol).startswith("CRTX ") or \
                str(symbol).startswith("CTL ") or \
                str(symbol).startswith("OXBRU "):
            
                selected.append(symbol)
        return selected

    def OnSecuritiesChanged(self, changes):
        self.changes = changes
        
        #1. Liquidate removed securities
        for security in changes.RemovedSecurities:
            self.Liquidate(security.Symbol)
        #2. We want 10% allocation in each security in our universe
        for security in changes.AddedSecurities:
            self.SetHoldings(security.Symbol, 0.05)