| Overall Statistics |
|
Total Trades 79 Average Win 5.15% Average Loss -2.75% Compounding Annual Return 14.586% Drawdown 44.900% Expectancy 0.642 Net Profit 61.077% Sharpe Ratio 0.484 Probabilistic Sharpe Ratio 12.860% Loss Rate 43% Win Rate 57% Profit-Loss Ratio 1.87 Alpha 0.164 Beta 0.07 Annual Standard Deviation 0.355 Annual Variance 0.126 Information Ratio 0.166 Tracking Error 0.372 Treynor Ratio 2.465 Total Fees $766.18 |
# https://quantpedia.com/Screener/Details/25
class SmallCapInvestmentAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2016, 1, 1)
self.SetEndDate(2019, 7, 1)
self.SetCash(100000)
self.year = -1
self.count = 10
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
def CoarseSelectionFunction(self, coarse):
''' Drop stocks which have no fundamental data or have low price '''
if self.year == self.Time.year:
return Universe.Unchanged
return [x.Symbol for x in coarse if x.HasFundamentalData and x.Price > 5]
def FineSelectionFunction(self, fine):
''' Selects the stocks by lowest market cap '''
sorted_market_cap = sorted([x for x in fine if x.MarketCap > 0],
key=lambda x: x.MarketCap)
return [x.Symbol for x in sorted_market_cap[:self.count]]
def OnData(self, data):
if self.year == self.Time.year:
return
self.year = self.Time.year
for symbol in self.ActiveSecurities.Keys:
self.SetHoldings(symbol, 1/self.count)
def OnSecuritiesChanged(self, changes):
''' Liquidate the securities that were removed from the universe '''
for security in changes.RemovedSecurities:
symbol = security.Symbol
if self.Portfolio[symbol].Invested:
self.Liquidate(symbol, 'Removed from Universe')