class MultidimensionalModulatedInterceptor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 11, 1)  # Set Start Date
        self.SetEndDate(2020, 1, 1) #Set End Date
        self.SetCash(100000)  # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Daily # Set Resolution to Daily
        
        self.AddUniverse(self.CoarseSelection, self.FineSelection)
        
        self.AddEquity("SPXEW" , Resolution.Daily) # Add SPXEW
        
        self.SetBenchmark("SPXEW") # Benchmark to S&P Equal Weights Index
        
        
    def CoarseSelection(self, coarse):
        
        # Filter for DollarVolume, Price and Fundamental Data availability
        filtered = [x for x in coarse if x.DollarVolume >= 100000 and x.Price > 1 and x.HasFundamentalData]
        return [x.Symbol for x in filtered]
        
    def FineSelection(self, fine):
        # Filter for market cap, sector, and positive PE
        filtered = [f for f in fine if f.CompanyProfile.MarketCap > 50000000 and f.AssetClassification.MorningstarSectorCode != MorningstarSectorCode.FinancialServices and f.ValuationRatios.PERatio > 0]
        # sort by PE ascending
        sortedByPE = sorted(filtered, key = lambda f : f.ValuationRatios.PERatio, reverse = False)
        
        # retrieve 10 lowest positive PE
        return [f.Symbol for f in sortedByPE][:10]
        
    def OnSecuritiesChanged(self, changes):
    
        for security in changes.RemovedSecurities:
            self.Liquidate(security.Symbol)
            
        for security in changes.AddedSecurities:
            self.SetHoldings(security.Symbol, 0.10)