Overall Statistics
Total Trades
13
Average Win
0%
Average Loss
0.00%
Compounding Annual Return
-0.325%
Drawdown
0.000%
Expectancy
-1
Net Profit
-0.024%
Sharpe Ratio
-6.439
Probabilistic Sharpe Ratio
0.000%
Loss Rate
100%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
-0.003
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-0.86
Tracking Error
0.089
Treynor Ratio
5.861
Total Fees
$13.00
 
class NadionUncoupledRadiator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 12, 10)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddUniverse(self.SelectCoarse)
        
        self.symbols = []
        
        self.AddUniverseSelection(ScheduledUniverseSelectionModel(
            self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Thursday),
            self.TimeRules.Every(timedelta(hours = 4)),
            self.SelectSymbols # selection function in algorithm.
        ))
        
        self.UniverseSettings.Resolution = Resolution.Minute
        
    def SelectCoarse(self, coarse):
        self.symbols = [c.Symbol for c in coarse if c.Price > 10]
        return Universe.Unchanged
    
    def SelectSymbols(self, dateTime):
        return self.symbols[:50]
        
    def OnSecuritiesChanged(self, changed):
        for security in changed.AddedSecurities:
            self.MarketOrder(security.Symbol, 1)
            
        for security in changed.RemovedSecurities:
            self.Liquidate(security.Symbol)