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
-2.917
Tracking Error
0.188
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# https://www.quantconnect.com/forum/discussion/12180/crypto-universe/p1

class AlertRedOrangeMule(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 3, 1)
        self.SetEndDate(2022, 4, 2)
        self.SetCash(100000)
        self.volumeBySymbol = {}
        cryptos = ["BTCUSD", "LTCUSD", "LTCBTC", "ETHUSD", "ETHBTC", "ETCBTC", "ETCUSD", "RRTUSD", 
                    "ZECUSD", "ZECBTC", "XMRUSD", "XMRBTC", "DASHBTC", "BTCEUR", "BTCJPY", "XRPUSD", 
                    "XRPBTC", "IOTAUSD", "IOTABTC", "IOTAETH", "EOSUSD", "EOSETH", "SANUSD", "SANBTC", 
                    "SANETH", "OMGUSD", "OMGBTC", "OMGETH", "BCHABCUSD"]
        self.cryptos =  [self.AddCrypto(ticker, Resolution.Daily, Market.Bitfinex).Symbol for ticker in cryptos]
        for crypto in self.cryptos:
            bband = self.BB(crypto, 21, 2,  MovingAverageType.Simple, Resolution.Daily)
            price = self.Securities[crypto].Price
            lower_band = bband.LowerBand.Current.Value
            upper_band = bband.UpperBand.Current.Value
            if price < lower_band or price > upper_band: continue
            self.volumeBySymbol[crypto] = self.SMA(crypto, 21, Resolution.Daily, Field.Volume)
        self.SetWarmUp(42, Resolution.Daily)
        self.Schedule.On(self.DateRules.EveryDay("BTCUSD"), self.TimeRules.At(0, 1), self.HighestVolumeFilter)
        

    def HighestVolumeFilter(self):
        if self.IsWarmingUp: return 
   
        sort_ = sorted(self.volumeBySymbol.items(), key=lambda x: x[1].Current.Value, reverse=True)[:5]
        self.customUniverse = [x[0] for x in sort_]
        self.Log(f"Selected universe contains {[x.Value for x in self.customUniverse]}.")