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
2.48
Tracking Error
0.286
Treynor Ratio
0
Total Fees
$0.00
 
class TransdimensionalNadionShield(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 5)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.AddUniverse(self.SelectCoarse, self.SelectFine)
        self.UniverseSettings.Resolution = Resolution.Daily
        
    def SelectCoarse(self, coarse):
        return [x.Symbol for x in coarse if x.HasFundamentalData][:100]
        
    def SelectFine(self, fine):
        # ST00000002 means it is a preferred share
        isPreferred = [x for x in fine if x.SecurityReference.SecurityType == 'ST00000002']
        
        # do additional filtering here
        
        return [x.Symbol for x in isPreferred][:10]