I think my FineSelectionFunction is pretty simple. First, I filter for securities with more than zero shares and then I filter for net net stocks. For some reason, I get the error:
Runtime Error: Algorithm took longer than 10 minutes on a single time loop. CurrentTimeStepElapsed: 10.0 minutes
Why is this happening? My code is below.
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
class NetNet(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1) # Set Start Date
self.SetEndDate(2020, 1, 31)
self.SetCash(100000) # Set Strategy Cash
self.SetAlpha(NetNetAlpha())
self.SetExecution(ImmediateExecutionModel())
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(lambda time: None))
self.Settings.RebalancePortfolioOnInsightChanges = False
self.Settings.RebalancePortfolioOnSecurityChanges = True
self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))
self.UniverseSettings.Resolution = Resolution.Daily
self.SetSecurityInitializer(lambda x: x.SetDataNormalizationMode(DataNormalizationMode.Raw))
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
'''
# if not self.Portfolio.Invested:
# self.SetHoldings("SPY", 1)
# on 15 Jan, filter for securities with fundamental data
def CoarseSelectionFunction(self, coarse):
if self.Time.month == 1 and self.Time.day == 15:
filtered = [ x.Symbol for x in coarse if x.HasFundamentalData ]
return filtered
else:
return Universe.Unchanged
# on 15 Jan, filter first for securities with shares and then filter a second time for net net stocks
def FineSelectionFunction(self, fine):
# filtered = [ x.Symbol for x in fine if (x.FinancialStatements.BalanceSheet.CurrentAssets.ThreeMonths - x.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths) > 0 ]
filtered = [ x.Symbol for x in fine if x.FinancialStatements.BalanceSheet.OrdinarySharesNumber.ThreeMonths > 0 ]
filtered2 = [ x.Symbol for x in filtered if (x.Price / ((x.FinancialStatements.BalanceSheet.CurrentAssets.ThreeMonths - x.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths) / x.FinancialStatements.BalanceSheet.OrdinarySharesNumber.ThreeMonths)) <= 0.66 ]
return filtered2
class NetNetAlpha(AlphaModel):
def __init__(self):
pass
# self.lastMonth = -1
def OnSecuritiesChanged(self, algorithm, changes):
pass
def Update(self, algorithm, data):
insights = []
if algorithm.Time.month == 1 and algorithm.Time.day == 15:
for security in algorithm.ActiveSecurities.Values:
# price = security.Price
# currentAssets = security.Fundamentals.FinancialStatements.BalanceSheet.CurrentAssets.ThreeMonths
# totalLiabilities = security.Fundamentals.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths
# shares = security.Fundamentals.FinancialStatements.BalanceSheet.OrdinarySharesNumber.ThreeMonths
# if ( price / ( (currentAssets - totalLiabilities) / shares ) <= 0.66 ):
# insights.append(Insight.Price(security.Symbol, timedelta(days = 366), InsightDirection.Up))
insights.append(Insight.Price(security.Symbol, timedelta(days=366), InsightDirection.Up))
return insights
else:
return insights
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