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 -17.327 Tracking Error 0.073 Treynor Ratio 0 Total Fees $0.00 |
class VentralResistanceThrustAssembly(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 8, 27) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseFilter) self.tickers = ['AAPL', 'MSFT'] def CoarseFilter(self, coarse): coarseMyTickers = [c for c in coarse if c.Symbol.Value in self.tickers] # do futher filtering/sorting (optional) coarseFiltered = [c for c in coarseMyTickers if c.Price > 1] coarseSorted = sorted(coarseFiltered, key=lambda x: x.DollarVolume) return [c.Symbol for c in coarseSorted] def OnSecuritiesChanged(self, changed): for security in changed.AddedSecurities: self.Log(security.Symbol)