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 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 $0.00 |
from statistics import mean class UncoupledNadionSplitter(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 3, 16) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.AddEquity("M", Resolution.Minute) self.__numberOfSymbols = 100 self.__numberOfSymbolsFine = 5 self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None)) self.average_PE_consumer_cyclical = None self.average_PE_consumer_defensive = None def OnData(self, data): '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. Arguments: data: Slice object keyed by symbol containing the stock data ''' self.Log(f'Average Forward PE for Consumer Cyclical Sector: {self.average_PE_consumer_cyclical}') self.Log(f'Average Forward PE for Consumer Defensive Sector: {self.average_PE_consumer_defensive}') # sort the data by daily dollar volume and take the top 'NumberOfSymbols' def CoarseSelectionFunction(self, coarse): # sort descending by daily dollar volume sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True) # return the symbol objects of the top entries from our sorted collection return [ x.Symbol for x in sortedByDollarVolume[:self.__numberOfSymbols] ] # sort the data by P/E ratio and take the top 'NumberOfSymbolsFine' def FineSelectionFunction(self, fine): # get the average forward PE ratio in Consumer Cyclical sector filtered_cyclical = [x for x in fine if x.AssetClassification.MorningstarSectorCode == MorningstarSectorCode.ConsumerCyclical] pe_cyclical = [x.ValuationRatios.ForwardPERatio for x in filtered_cyclical] self.average_PE_consumer_cyclical = sum(pe_cyclical)/len(pe_cyclical) # get the average forward PE ratio in Consumer Defensive sector filtered_defensive = [x for x in fine if x.AssetClassification.MorningstarSectorCode == MorningstarSectorCode.ConsumerDefensive] pe_defensive = [x.ValuationRatios.ForwardPERatio for x in filtered_defensive] self.average_PE_consumer_defensive = sum(pe_defensive)/len(pe_defensive) return [x.Symbol for x in fine]