Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
-1.804
Tracking Error
0.13
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
Drawdown Recovery
0
 
#region imports
    using System.Linq;
    using QuantConnect;
    using QuantConnect.Util;
    using QuantConnect.Algorithm;
    using QuantConnect.Securities;
    using QuantConnect.Data.Market;
#endregion
public class LiquidNonPennyStocksUniverseAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2021, 1, 1);
        SetEndDate(2021, 4, 1);

        AddUniverse(fundamental =>
        {
            var symbols  = (from f in fundamental
                where f.Price > 10 && f.DollarVolume > 10000000
                orderby f.DollarVolume descending
                select f.Symbol).Take(500);
            
            var history = History<TradeBar>(symbols, 100, Resolution.Daily);
            Log(history.Count().ToString());
            
            return symbols;
        });
    }
}