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
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 algorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2012,1,1)  
        self.SetEndDate(2012,3,1)   
        self.SetCash(100000)           
        self.AddEquity("SPY", Resolution.Minute)
        self.UniverseSettings.Resolution = Resolution.Minute
        
        self.AddUniverse(self.CoarseSelectionFunction)
        
        self.Schedule.On(self.DateRules.EveryDay("SPY"), 
                         self.TimeRules.AfterMarketOpen("SPY", 30), 
                         Action(self.rebalance))
        self.universe = []
    
    def CoarseSelectionFunction(self, coarse):
        today = self.Time
        CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData]
        
        # return the symbol objects of the top entries from our sorted collection
        sortedByDollarVolume = sorted(CoarseWithFundamental, key=lambda x: x.DollarVolume, reverse=True)
        result = [ x.Symbol for x in sortedByDollarVolume[:4] ]
        self.universe = result
        return self.universe
            
    def rebalance(self):
        history = self.History(self.universe,20, Resolution.Daily)
        self.Debug(history.head())