| 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 -0.949 Tracking Error 0.184 Treynor Ratio 0 Total Fees $0.00 |
class CalibratedMultidimensionalProcessor(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 6, 1) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.symbol = Symbol.Create("TSLA", SecurityType.Equity, Market.USA)
self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))
self.adjusted_price_by_symbol = {}
def CoarseSelectionFunction(self, coarse):
for c in coarse:
if c.Symbol == self.symbol:
self.adjusted_price_by_symbol[c.Symbol] = c.AdjustedPrice
return [self.symbol]
def FineSelectionFunction(self, fine):
for f in fine:
self.Plot(str(f.Symbol), "Price", f.Price)
self.Plot(str(f.Symbol), "Adjusted Price", self.adjusted_price_by_symbol[f.Symbol])
return []