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
-4.616
Tracking Error
0.039
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
#region imports
from AlgorithmImports import *
#endregion
class CalculatingLightBrownGalago(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2017, 1, 9)
        self.SetEndDate(2017, 1, 13)
        self.UniverseSettings.Resolution = Resolution.Minute
        self.AddUniverse(self.SelectCoarse, self.SelectFine)
    
    def SelectCoarse(self, securities):
        symbols = [sec.Symbol for sec in sorted([sec for sec in securities if sec.HasFundamentalData], key = lambda sec: sec.DollarVolume, reverse=True)[:100]]
        self.Debug('coarse: {}'.format(len(symbols)))
        return symbols
    
    def SelectFine(self, securities):
        symbols = []
        for security in securities:
            symbols.append(security.Symbol)
        self.Debug('fine: {}'.format(len(symbols)))
        return symbols
    
    def OnData(self, slice):
        self.Debug('on data: {}'.format(len(slice)))
        #self.Quit()