| 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 -3.942 Tracking Error 0.079 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
from clr import GetClrType
class UglyVioletChicken(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 6, 1)
self.SetEndDate(2021, 7, 1)
self.SetCash(100000)
self.selected = False
self.AddUniverse(self.CoarseFilter)
self.consolidate = True
self.addConsolidatorToSubscriptionManager = True
self.consolidators = {}
def CoarseFilter(self, coarse):
if self.selected:
return Universe.Unchanged
self.selected = True
sortedByDv = list(sorted(coarse, key=lambda c: c.DollarVolume, reverse=True))
return [c.Symbol for c in sortedByDv[:400]]
def OnSecuritiesChanged(self, changes):
for sec in changes.AddedSecurities:
if self.consolidate:
consolidator = self.ResolveConsolidator(sec.Symbol, Resolution.Daily, GetClrType(TradeBar))
self.consolidators[sec.Symbol] = consolidator
if self.addConsolidatorToSubscriptionManager:
self.SubscriptionManager.AddConsolidator(sec.Symbol, consolidator)
def OnData(self, slice):
for symbol, tb in slice.Bars.items():
if symbol in self.consolidators and not self.addConsolidatorToSubscriptionManager:
self.consolidators[symbol].Update(tb)