Overall Statistics
Total Trades
10
Average Win
0%
Average Loss
0%
Compounding Annual Return
773.182%
Drawdown
1.400%
Expectancy
0
Net Profit
8.667%
Sharpe Ratio
26.39
Probabilistic Sharpe Ratio
97.113%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
4.82
Beta
0.064
Annual Standard Deviation
0.182
Annual Variance
0.033
Information Ratio
25.368
Tracking Error
0.193
Treynor Ratio
75.094
Total Fees
$59.81
 
import numpy as np 
    
class MyCoarseUniverseAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.AddUniverse(self.MyCoarseFilterFunction)
        self.UniverseSettings.Resolution = Resolution.Daily
        self.SetStartDate(2020, 12, 1)
        self.SetCash(100000) 
    
        
    def MyCoarseFilterFunction(self, coarse):
        return [c.Symbol for c in coarse][:10]
        
    def OnData(self, data):
        if not self.Portfolio.Invested:
            for symbol in self.ActiveSecurities.Keys:
                self.SetHoldings(symbol, .1)
                
    def OnSecuritiesChanged(self, changed):
        for security in changed.RemovedSecurities:
            self.Liquidate(security.Symbol)