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
-1.883
Tracking Error
0.136
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class GeekyBlackDog(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2023, 3, 20)

        # Add universe
        self.AddUniverse(self.CoarseFilterFunction, self.FineFilterFunction)

        # Universe resolution
        self.UniverseSettings.Resolution = Resolution.Second

        # Not fill forward
        self.UniverseSettings.FillForward = False

        # Extended hours
        self.UniverseSettings.ExtendedMarketHours = True

        # Selected
        self.universe_selected = False

    def CoarseFilterFunction(self, coarse):

        # If Saturday
        if self.Time.weekday() == 5 or self.universe_selected == False:

            self.Log("Step 1")

            # Universe selected
            self.universe_selected = True

            # Return
            return [x.Symbol for x in coarse if x.HasFundamentalData and x.Price > 1 and x.Price < 10]

        # Else
        else:

            # Return
            return Universe.Unchanged

    def FineFilterFunction(self, fine):

        self.Log("Step 2")

        # Return
        return [x.Symbol for x in fine if x.SecurityReference.ExchangeId == "NAS"]