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
0.628
Tracking Error
0.083
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class AdaptableRedCaribou(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 19)  # Set Start Date
        
        self.SetEndDate(2020,11,23)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddUniverse(self.MyCoarseFilterFunction)
        self.Data = {}

    
    def MyCoarseFilterFunction(self, coarse):
        self.selected = []
        filtered = [ x for x in coarse 
                      if x.Price > 10 ]
        for x in filtered:
            if x.Symbol not in self.Data:
                self.Data[x.Symbol] = SelectionData(self,x.Symbol)
            self.Data[x.Symbol].roc.Update(self.Time,x.DollarVolume)
            if self.Data[x.Symbol].roc.IsReady and self.Data[x.Symbol].roc.Current.Value>1.5:
                self.selected.append(x.Symbol)
        return self.selected
    def OnData(self, data: Slice):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        pass
class SelectionData():
    def __init__(self,algo,symbol):
        self.symbol = symbol
        self.algo = algo
        self.roc = RateOfChange(2)