| 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 -17.327 Tracking Error 0.073 Treynor Ratio 0 Total Fees $0.00 |
class VentralResistanceThrustAssembly(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 8, 27) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseFilter)
self.tickers = ['AAPL', 'MSFT']
def CoarseFilter(self, coarse):
coarseMyTickers = [c for c in coarse if c.Symbol.Value in self.tickers]
# do futher filtering/sorting (optional)
coarseFiltered = [c for c in coarseMyTickers if c.Price > 1]
coarseSorted = sorted(coarseFiltered, key=lambda x: x.DollarVolume)
return [c.Symbol for c in coarseSorted]
def OnSecuritiesChanged(self, changed):
for security in changed.AddedSecurities:
self.Log(security.Symbol)