Overall Statistics
Total Orders
9
Average Win
0%
Average Loss
0%
Compounding Annual Return
-60.975%
Drawdown
0.700%
Expectancy
0
Start Equity
20000
End Equity
19880.06
Net Profit
-0.600%
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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$9.00
Estimated Strategy Capacity
$580000.00
Lowest Capacity Asset
LECO R735QTJ8XC9X
Portfolio Turnover
28.40%
 
from AlgorithmImports import *
from QuantConnect.DataSource import *
import pandas as pd

class PrinsBrainMLAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2024, 4, 1)
        self.SetEndDate(2024, 4, 3)
        self.SetCash(20000)
        
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin)
        self.Settings.DataSubscriptionLimit = 1000
        self.universe = self.AddUniverse(BrainStockRankingUniverse, self.UniverseSelection)
        self.UniverseSettings.Resolution = Resolution.Hour

        # Set the custom security initializer
        self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

        self.SetWarmup(200)

    def UniverseSelection(self, alt_coarse: List[BrainStockRankingUniverse]) -> List[Symbol]:
        filtered_symbols = [x for x in alt_coarse if x.Rank21Days > 0 and not str(x.Symbol.ID).endswith('2T')]
        
        # Filter symbols with a positive rank and sort them by their rank in descending order
        ranked_symbols = sorted(filtered_symbols, key=lambda x: x.Rank21Days, reverse=True)

        self.selections = [x.Symbol for x in ranked_symbols[:10]]

        return self.selections

    def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
        for x in changes.RemovedSecurities:
            pass
                
        for x in changes.AddedSecurities:
            pass 

    def OnData(self, slice: Slice) -> None:
        if self.IsWarmingUp:
            self.Debug(str("Warming up"))
            return

        if not self.Portfolio.Invested:
            for symbol in self.selections:
                self.SetHoldings(symbol, 0.10)