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 9.54 Tracking Error 0.03 Treynor Ratio 0 Total Fees $0.00 |
class OptimizedHorizontalAutosequencers(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 2, 17) # Set Start Date self.SetEndDate(2020, 2, 18) self.SetCash(100000) # Set Strategy Cash self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None)) def OnData(self, data): pass def CoarseSelectionFunction(self, coarse): sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True) return [ x.Symbol for x in sortedByDollarVolume[:10] ] def FineSelectionFunction(self, fine): for f in fine: self.Log(f"{f.Symbol} EV: {f.CompanyProfile.EnterpriseValue}") return [ x.Symbol for x in fine ]