Overall Statistics |
Total Trades 608 Average Win 0.03% Average Loss -0.03% Compounding Annual Return -4.961% Drawdown 1.700% Expectancy -0.190 Net Profit -0.820% Sharpe Ratio -0.218 Probabilistic Sharpe Ratio 29.594% Loss Rate 61% Win Rate 39% Profit-Loss Ratio 1.09 Alpha -0.182 Beta 0.742 Annual Standard Deviation 0.049 Annual Variance 0.002 Information Ratio -7.63 Tracking Error 0.032 Treynor Ratio -0.014 Total Fees $608.00 |
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from clr import AddReference AddReference("System.Core") AddReference("System.Collections") AddReference("QuantConnect.Common") AddReference("QuantConnect.Algorithm") from System import * from System.Collections.Generic import List from QuantConnect import * from QuantConnect.Algorithm import QCAlgorithm from QuantConnect.Data.UniverseSelection import * class CoarseFineUniverseSelectionBenchmark(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 11, 1) self.SetEndDate(2018, 1, 1) self.SetCash(50000) self.UniverseSettings.Resolution = Resolution.Minute self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction) self.numberOfSymbols = 150 self.numberOfSymbolsFine = 40 self._changes = None # sort the data by daily dollar volume and take the top 'NumberOfSymbols' def CoarseSelectionFunction(self, coarse): selected = [x for x in coarse if (x.HasFundamentalData)] # sort descending by daily dollar volume sortedByDollarVolume = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) # return the symbol objects of the top entries from our sorted collection return [ x.Symbol for x in sortedByDollarVolume[:self.numberOfSymbols] ] # sort the data by P/E ratio and take the top 'NumberOfSymbolsFine' def FineSelectionFunction(self, fine): # sort descending by P/E ratio sortedByPeRatio = sorted(fine, key=lambda x: x.OperationRatios.ROIC.Value, reverse=True) # sortedByPeRatio = sorted(fine, key=lambda x: x.OperationRatios.ROIC.OneYear, reverse=True) # sortedByPeRatio = sorted(fine, key=lambda x: x.OperationRatios.ROIC.SixMonths, reverse=True) # sortedByPeRatio = sorted(fine, key=lambda x: x.OperationRatios.ROIC.ThreeMonths, reverse=True) # take the top entries from our sorted collection return [ x.Symbol for x in sortedByPeRatio[:self.numberOfSymbolsFine] ] def OnData(self, data): # if we have no changes, do nothing if self._changes is None: return # liquidate removed securities for security in self._changes.RemovedSecurities: if security.Invested: self.Liquidate(security.Symbol) for security in self._changes.AddedSecurities: self.SetHoldings(security.Symbol, 0.02) self._changes = None; def OnSecuritiesChanged(self, changes): self._changes = changes