Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe 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
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class MultidimensionalModulatedShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 9, 9)  # Set Start Date
        self.SetEndDate(2019, 9, 10)
        self.SetCash(100000)  # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Hour
        
        self.AddEquity("AMZN", Resolution.Hour)
        
        self.AddUniverse(self.SelectCoarse)
        
    
    def SelectCoarse(self, coarse):
        sortedCoarse = sorted(coarse, key=lambda c:c.DollarVolume, reverse=True)
        selected = [c.Symbol for c in sortedCoarse][:3]
        self.Debug([s.Value for s in selected])
        return selected
        

    def OnData(self, data):
        
        for symbol in data.Keys:
            self.Debug(symbol)