Overall Statistics |
Total Trades 11 Average Win 0.36% Average Loss -0.11% Compounding Annual Return 56.867% Drawdown 4.300% Expectancy 1.591 Net Profit 2.624% Sharpe Ratio 1.952 Probabilistic Sharpe Ratio 55.718% Loss Rate 40% Win Rate 60% Profit-Loss Ratio 3.32 Alpha 0.544 Beta -0.052 Annual Standard Deviation 0.265 Annual Variance 0.07 Information Ratio 0.046 Tracking Error 0.274 Treynor Ratio -9.974 Total Fees $12.88 Estimated Strategy Capacity $700000000.00 Lowest Capacity Asset NVDA RHM8UTD8DT2D |
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 * ### <summary> ### Demonstration of using coarse and fine universe selection together to filter down a smaller universe of stocks. ### </summary> ### <meta name="tag" content="using data" /> ### <meta name="tag" content="universes" /> ### <meta name="tag" content="coarse universes" /> ### <meta name="tag" content="fine universes" /> class CoarseFineFundamentalComboAlgorithm(QCAlgorithm): def Initialize(self): '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.''' self.SetStartDate(2021,5,19) #Set Start Date #self.SetEndDate(2014,4,7) #Set End Date self.SetCash(50000) #Set Strategy Cash # what resolution should the data *added* to the universe be? self.UniverseSettings.Resolution = Resolution.Daily # this add universe method accepts two parameters: # - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol> # - fine selection function: accepts an IEnumerable<FineFundamental> and returns an IEnumerable<Symbol> self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction) self.__numberOfSymbols = 5 self.__numberOfSymbolsFine = 2 self._changes = None # sort the data by daily dollar volume and take the top 'NumberOfSymbols' def CoarseSelectionFunction(self, coarse): # sort descending by daily dollar volume sortedByDollarVolume = sorted(coarse, 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.ValuationRatios.PERatio, 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) # we want 20% allocation in each security in our universe for security in self._changes.AddedSecurities: self.SetHoldings(security.Symbol, 0.2) self._changes = None # this event fires whenever we have changes to our universe def OnSecuritiesChanged(self, changes): self._changes = changes