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
3.097
Tracking Error
0.291
Treynor Ratio
0
Total Fees
$0.00
 
from scipy.stats import linregress

class VentralModulatedAntennaArray(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 9, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Daily 
        
        self.manualSymbols = [Symbol.Create(ticker, SecurityType.Equity, Market.USA) for ticker in ['AAPL', 'MSFT']]
        self.AddUniverseSelection(ManualUniverseSelectionModel(self.manualSymbols))
        self.AddUniverseSelection(FineFundamentalUniverseSelectionModel(self.SelectCoarse,self.SelectFine))
        
        self.curr_month = -1
        
    def OnSecuritiesChanged(self, changed):
        for security in changed.AddedSecurities:
            if security.Symbol in self.manualSymbols:
                # skip manual universe symbols
                continue
            
        
    def SelectCoarse(self, coarse):
        if self.curr_month == self.Time.month:
            return Universe.Unchanged
        self.curr_month = self.Time.month
        return [x.Symbol for x in coarse if x.HasFundamentalData][:5]
        
    def SelectFine(self, fine):
        return [x.Symbol for x in fine]