Hi!

I've been working on a strategy lately but no matter what I try, the symbols I have in the universe are not the ones I'm expecting. I tried using self.ActiveSecurities.Keys, self.changes.AddedSecurities…but no matter what I try the securities are more than the ones I would expect. I tried reducing the output from the CoarseSelectionFunction, too. But no matter what I do…it seems that the filtering is broken.

class MeanReversionAlgo(QCAlgorithm):

def Initialize(self):
self.SetStartDate(2020, 1, 1) # Set Start Date

self.initialcash = 100000
self.SetCash(self.initialcash) # Set Strategy Cash
# Add SPY to set scheduled events
self.AddEquity("SPY", Resolution.Daily)
# Setting Universe
self.UniverseSettings.Resolution = Resolution.Daily
self.SetUniverseSelection(QC500UniverseSelectionModel())

# this add universe method accepts two parameters:
# - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol>
# - fine selection function: accepts an IEnumerable<FineFundamental> and returns an IEnumerable<Symbol>

self.UniverseSettings.Resolution = Resolution.Daily

self.AddUniverse(self.CoarseSelectionFunction)

self.__numberOfSymbolsFine = 2
self._changes = None

self.AutomaticIndicatorWarmUp=True

self.SetWarmup(200, Resolution.Daily)

self.dataDict = {}
self.verboseLogging = False

# schedule an event to fire every trading day for a security the
# time rule here tells it to fire 10 minutes after SPY's market open
self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.AfterMarketOpen("SPY", 10), self.EveryDayAfterMarketOpen)

def EveryDayAfterMarketOpen(self):
'''
self.Debug(f"EveryDay.SPY 10 min after open: Fired at: {self.Time}")

# if we have no changes, do nothing
if self._changes is None: return

# liquidate removed securities
for security in self._changes.RemovedSecurities:
if security.Invested:
self.Liquidate(security.Symbol)

# we want 20% allocation in each security in our universe
for security in self._changes.AddedSecurities:
self.SetHoldings(security.Symbol, 0.01)

self._changes = None
'''

for i in self.ActiveSecurities.Keys:
self.Debug(i)

# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
def CoarseSelectionFunction(self, coarse):

CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData and x.Price > 5]

for i in CoarseWithFundamental:
if i.Symbol not in self.dataDict:
self.dataDict[i.Symbol] = SymbolData(i.Symbol)

self.dataDict[i.Symbol].update(i.EndTime, i.AdjustedPrice)


values = [x for x in self.dataDict.values()]

values_sharpe_ready = [x for x in values if x.SharpeOK]

values_sharpe_ready.sort(key=lambda x: x.sharpe , reverse=True)

top_100_sharpe = values_sharpe_ready[:100]

if self.verboseLogging:
self.Debug("First filter --------> top 100 by Sharpe")
for i in top_100_sharpe:
self.Debug(str(i.symbol)+" Current Sharpe "+str(i.sharpe))


sma_filtered = [x for x in top_100_sharpe if x.SMA_OK]

if self.verboseLogging:
self.Debug("Second filter --------> SMA filter")
for i in sma_filtered:
self.Debug(str(i.symbol)+" Current SMA Value "+str(i.SMA)+" Current Price "+str(i.currentPrice))


rsi_filtered = [x for x in sma_filtered if x.RSI_OK]

if self.verboseLogging:
self.Debug("Third filter --------> RSI filter")
for i in rsi_filtered:
self.Debug(str(i.symbol)+" Current 2 period RSI "+str(i.RSI))


rsi_filtered.sort(key=lambda x: x.STD, reverse=True)

finally_filtered = rsi_filtered[:10]

if self.verboseLogging:
self.Debug("Fourth filter --------> Top 10 by Standard Deviation")
for i in finally_filtered:
self.Debug(str(i.symbol)+" Current Standard Deviation "+str(i.STD))


# return the symbol objects of the top entries from our sorted collection
return [ x.symbol for x in finally_filtered[:10] ]



'''
def FineSelectionFunction(self, fine):


filteredByMktCap = [x for x in fine if x.MarketCap>500000000]

isPrimaryShare = [x for x in filteredByMktCap if x.SecurityReference.IsPrimaryShare]

# take the top entries from our sorted collection
return [ x.Symbol for x in isPrimaryShare]
'''



def OnData(self, slice):

'''
self.Debug("###### Instruments we are going to buy")
for i in self.ActiveSecurities.Keys:
self.Debug(i.Value)
self.SetHoldings(i.Value,0.1)


#Take profit logic
if self.Portfolio.Invested:
if self.Portfolio.TotalPortfolioValue > self.initialcash* 1.05:# means a 5% take profit target, if the initial portfolio value is 100000 with 1.05 you will take profit when the value of portfolio is greater than 105 000 $.
self.Liquidate()
'''

#Stop loss logic
if self.Portfolio.Invested:
if self.Portfolio.TotalPortfolioValue < self.initialcash*0.90: # means a 10% stop loss. In this case 0.9 means that the portfolio is valued a 90% of the original value, so if the initial value is 100 000 $ it means 90 000$, a 10% stop loss. if you set self.initialcash*0.5 means a 50% stop loss and so on.
self.Liquidate()


# this event fires whenever we have changes to our universe
def OnSecuritiesChanged(self, changes):
self._changes = changes

'''
# this event fires whenever we have changes to our universe
def OnSecuritiesChanged(self, changes):
# liquidate removed securities
for security in changes.RemovedSecurities:
if security.Invested:
self.Liquidate(security.Symbol)


# we want 20% allocation in each security in our universe
for security in changes.AddedSecurities:
self.Debug(security)
self.SetHoldings(security.Symbol, 0.1)


self._changes = changes
self.Log(f"OnSecuritiesChanged({self.UtcTime}):: {changes}")
'''



class SymbolData(object):

def __init__(self, symbol):
self.symbol = symbol
self.History = RollingWindow[float](126)# you can't change this
self.STD = StandardDeviation(126)
self.SMA = SimpleMovingAverage(200)
self.SMA_OK = False
self.riskFreeRate=0.1
self.RSI = RelativeStrengthIndex(2)
self.RSI_OK = False
self.sharpe = 0
self.SharpeOK = False
self.currentPrice = 0


def update(self, time, value):
self.SMA.Update(time,value)
self.History.Add(float(value))
self.STD.Update(time,value)
self.RSI.Update(time, value)
self.currentPrice=value

if self.History.IsReady and self.STD.IsReady and self.STD.Current.Value != 0:
totalReturn = (self.History[10]-self.History[125])/self.History[10]
sharpeRatio = (totalReturn-self.riskFreeRate)/self.STD.Current.Value
self.sharpe = sharpeRatio
self.SharpeOK = sharpeRatio != 0

self.SMA_OK = self.SMA.IsReady and value > self.SMA.Current.Value

self.RSI_OK = self.RSI.IsReady and self.RSI.Current.Value < 10