| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -32.487% Drawdown 37.800% Expectancy 0 Net Profit -32.705% Sharpe Ratio -1.108 Probabilistic Sharpe Ratio 0.413% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.255 Beta -0.023 Annual Standard Deviation 0.231 Annual Variance 0.053 Information Ratio -1.192 Tracking Error 0.269 Treynor Ratio 11.366 Total Fees $90.60 Estimated Strategy Capacity $670.00 |
class UglyBlueCow(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017, 11, 28)
self.SetEndDate(2018, 12, 1)
self.SetCash(100000)
self.symbol = Symbol.Create("ALYA", SecurityType.Equity, Market.USA)
self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))
def CoarseSelectionFunction(self, coarse):
for c in coarse:
if c.Symbol == self.symbol:
return [self.symbol]
return []
def FineSelectionFunction(self, fine):
return [f.Symbol for f in fine]
def OnData(self, data):
if not self.Portfolio.Invested and data.ContainsKey(self.symbol) and data[self.symbol] is not None:
self.SetHoldings(self.symbol, 1)
def OnSecuritiesChanged(self, changes):
for security in changes.AddedSecurities:
self.Log(f"Added {security.Symbol} on {self.Time}")