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
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class UniverseSelectionAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2018, 1, 1) 
        self.SetEndDate(2018, 1, 20) 
        self.SetCash(50000) 
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)


    def CoarseSelectionFunction(self, coarse):
        filtered = [x for x in coarse if x.HasFundamentalData
                                      and x.Volume > 0
                                      and x.Price > 0]
        sort_filtered = sorted(filtered, key=lambda x: x.DollarVolume, reverse=True)[:200]
  
        return [x.Symbol for x in sort_filtered]

    def FineSelectionFunction(self, fine):
        filtered_fine = [x for x in fine if  x.CompanyReference.IndustryTemplateCode == "B"]
        return [i.Symbol for i in filtered_fine]

    def OnData(self, data):
        pass