Overall Statistics
Total Trades
4480
Average Win
0%
Average Loss
0%
Compounding Annual Return
-99.999%
Drawdown
6.500%
Expectancy
0
Net Profit
-6.469%
Sharpe Ratio
-1.377
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0.726
Annual Variance
0.527
Information Ratio
-1.377
Tracking Error
0.726
Treynor Ratio
0
Total Fees
$4480.00
 
import numpy as np 
    
class MyCoarseUniverseAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.AddUniverse(self.MyCoarseFilterFunction)
        self.UniverseSettings.Resolution = Resolution.Daily
        self.SetStartDate(2020, 12, 29)
        self.SetCash(100000) 
    
        
    def MyCoarseFilterFunction(self, coarse):
        return [c.Symbol for c in coarse]
        
    def OnData(self, data):
        for symbol in self.ActiveSecurities.Keys:
            if not self.Portfolio[symbol].Invested:
                self.MarketOrder(symbol, 1)
    def OnSecuritiesChanged(self, changed):
        for security in changed.RemovedSecurities:
            self.Liquidate(security.Symbol)