| Overall Statistics |
|
Total Trades 0 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 5.529 Tracking Error 0.088 Treynor Ratio 0 Total Fees $0.00 |
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
class VentralNadionCircuit(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 22) # Set Start Date
self.SetEndDate(2020, 1, 26)
self.SetCash(100000) # Set Strategy Cash
self.SetUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseSelectionFunction))
self.UniverseSettings.ExtendedMarketHours = True
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.logged = False
def OnData(self, data):
if not self.logged:
self.logged = True
self.Log(f"{data.Time}")
def CoarseSelectionFunction(self, coarse):
sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
return [ x.Symbol for x in sortedByDollarVolume[:1] ]