Hello,  as Pro Quant Anthony FJ Garner suggested me, I came up with the code for my strategy looking on some other codes in the forum. I have paste it down.

This strategy is really simple: 

1. Filter top 100 stocks with lowest PE ratio

2. Buy top 10 stocks with lowest Price to Sales ratio over the stocks of Step 1.

3. Repeat process each month. 

When backtesting some errors have appeared on console and as much as I try to find a solution I'm stuck:

Error 1: 

Backtest Handled Error: Order Error: id: 3998, Insufficient buying power to complete order (Value:17125.8339), Reason: Id: 3998, Initial Margin: 8591.791968375, Free Margin: 7076.9178954346771965.

Error 2:

Backtest Handled Error: Unable to compute order quantity of AE R735QTJ8XC9X. Reason: The portfolio does not have enough margin available. Returning null.

I don't know why those margin calls, if I hold for a month each and every month the would be updated to some new stocks, are they not being sold or something?

Here is the code:

class MultidimensionalModulatedInterceptor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 11, 1)  # Set Start Date
        self.SetEndDate(2020, 1, 1) #Set End Date
        self.SetCash(100000)  # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Daily # Set Resolution to Daily
        self.AddUniverse(self.CoarseSelection, self.FineSelection)
        
        self.month = -1
        self.symbols= []
        
    def CoarseSelection(self, coarse):
        
        if self.Time.month == self.month:
            return self.symbols
        else:
            self.month = self.Time.month
            # Filter for DollarVolume, Price and Fundamental Data availability
            filtered = [x for x in coarse if x.Price > 2 and x.HasFundamentalData]
            self.symbols=[x.Symbol for x in filtered]
            return [x.Symbol for x in filtered]
        
    def FineSelection(self, fine):
           
        if self.Time.month == self.month:
            return self.symbols
        else:
            self.month = self.Time.month
            # Filter for market cap and profitable company
            filtered = [f for f in fine if f.CompanyProfile.MarketCap > 300000000 and f.ValuationRatios.PERatio > 0]
            
            sortedByPE = sorted(filtered, key = lambda x : x.ValuationRatios.PERatio, reverse = False)
            
            sortedByPS = sorted(sortedByPE[:100], key = lambda x : x.ValuationRatios.PSRatio, reverse = False)
            
            # retrieve 10 lowest positive PS
            self.symbols= [f.Symbol for f in sortedByPS][:10]
            return [f.Symbol for f in sortedByPS][:10]
        
    def OnSecuritiesChanged(self, changes):
    
        for security in changes.RemovedSecurities:
            self.Liquidate(security.Symbol)
            
        for security in changes.AddedSecurities:
            self.SetHoldings(security.Symbol, 0.10)

 

 

I hope someone could help me here.