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
9.59
Tracking Error
0.029
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
class OptimizedHorizontalAutosequencers(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 2, 17)  # Set Start Date
        self.SetEndDate(2020, 2, 18)
        self.SetCash(100000)  # Set Strategy Cash
        
        self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))


    def OnData(self, data):
        pass
    
    def CoarseSelectionFunction(self, coarse):
        sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
        return [ x.Symbol for x in sortedByDollarVolume[:10] ]
    
    def FineSelectionFunction(self, fine):
        for f in fine:
            self.Log(f"{f.Symbol}  EV: {f.CompanyProfile.SharesOutstanding}")
        
        return [ x.Symbol for x in fine ]