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
-0.146
Tracking Error
0.141
Treynor Ratio
0
Total Fees
$0.00
 
class DynamicCalibratedChamber(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 1, 1)  # Set Start Date
        self.SetEndDate(2015, 12, 31)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.__numberOfSymbols = 50
        self.__numberOfSymbolsFine = 10
        self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))

# FinancialStatements.IncomeStatement.TotalRevenue.OneMonth
    def OnData(self, data):
        pass

    def CoarseSelectionFunction(self, coarse):
        self.Debug("---------- {} -----------<br>".format(self.Time.date()))
        sortedByDollarVolume = sorted(coarse, key=lambda x: x.DollarVolume, reverse=True)
        return [ x.Symbol for x in sortedByDollarVolume[:self.__numberOfSymbols] ]
    
    def FineSelectionFunction(self, fine):
        sortedByPeRatio = sorted(fine, key=lambda x: x.ValuationRatios.PERatio, reverse=True)
        result = [ x.Symbol for x in sortedByPeRatio[:self.__numberOfSymbolsFine] ]
        for i in sortedByPeRatio:
            self.Debug("Revenue of {} is {} <br>".format(i.Symbol, i.ValuationRatios.PERatio))
        return result