Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
-0.88
Tracking Error
0.126
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
Drawdown Recovery
0
 
# region imports
from AlgorithmImports import *
from time import time
# endregion
class MeasuredYellowDog(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2009, 1, 1)
        self.set_end_date(2015, 1, 1)
        self.universe_settings.resolution = Resolution.DAILY
        self._universe = self.add_universe(self.universe.etf("SPY"))
        self.schedule.on(self.date_rules.every_day("SPY"), self.time_rules.midnight, self._plot)

    def _plot(self):
        if not self._universe.selected:
            return
        t0 = time()
        for symbol in self._universe.selected:
            if symbol not in self.securities:
                continue
            code = self.securities[symbol].fundamentals.asset_classification.morningstar_sector_code
        self.plot('DT','milliseconds', (time()-t0)*1000)