Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
-1.975
Tracking Error
0.105
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class SleepyBrownChicken(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2024, 1, 1)
        # self.SetEndDate(2020, 1, 1)
        self.SetCash(100000)
        self.SetBenchmark("SPY")
        self.SetWarmUp(1)
        self.UniverseSettings.Resolution = Resolution.Daily
        # self.UniverseSettings.Resolution = Resolution.Monthly
        self.AddUniverse(self.CoarseSelectionFunction, self.SelectFine)
        self.SetBrokerageModel(InteractiveBrokersBrokerageModel())
        self.SetExecution(ImmediateExecutionModel())

        self.SPY = self.AddEquity("SPY",Resolution.Hour).Symbol

        self.rebalence_flag = 0
        self.first_month_trade_flag = 1

        self.Schedule.On(self.DateRules.MonthEnd("SPY", 2), self.TimeRules.At(1, 0), Action(self.monthly_rebalance))
    
    def monthly_rebalance(self):
        self.rebalence_flag = 1
        
    def CoarseSelectionFunction(self, coarse):   
        if not (self.rebalence_flag or self.first_month_trade_flag):
            return Universe.Unchanged

        coarse = [x for x in coarse] 
        self.Log("coarse size: " + str(len(coarse)))     

        coarse = [x for x in coarse if x.HasFundamentalData] 
        self.Log("coarse with fundamental size: " + str(len(coarse)))            

        sortedByDollarVolume = sorted([x for x in coarse if x.HasFundamentalData and x.DollarVolume > 3000000 and x.Price >0],
                                     key = lambda x: x.DollarVolume, reverse=True)[:200]
        return [x.Symbol for x in sortedByDollarVolume]
    
    def SelectFine(self, fine):
        if not (self.rebalence_flag or self.first_month_trade_flag):
            return Universe.Unchanged
            
        self.rebalence_flag = 0
        self.first_month_trade_flag = 0

        return [x.Symbol for x in fine]

    def on_data(self, data: Slice):
        return        
        #pass