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
-1.581
Tracking Error
0.113
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class OptimizedTransdimensionalReplicator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 10, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        tickers = ["AAPL", "MSFT", "TSLA"]
        self.symbols = [ Symbol.Create(ticker, SecurityType.Equity, Market.USA) for ticker in tickers]
        
        
        self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction))
        self.UniverseSettings.Resolution = Resolution.Daily


    def OnData(self, data):
        
        
        for symbol in self.symbols:
            if not data.ContainsKey(symbol) or data[symbol] is None or self.Securities[symbol].Fundamentals is None:
                continue
            self.Debug(self.Securities[symbol].Fundamentals.ValuationRatios.NormalizedPERatio)

    def CoarseSelectionFunction(self, coarse):
        return self.symbols
    
    def FineSelectionFunction(self, fine):
        return self.symbols