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
5.166
Tracking Error
0.065
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
class SmoothRedWhale(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 2, 19)  # Set Start Date
        self.SetEndDate(2021, 2, 23) 
        self.SetCash(100000)  # Set Strategy Cash
        
        self.UniverseSettings.Resolution = Resolution.Daily
        self.universeXLF = self.AddUniverse(self.XLFcoarse)
        self.universeXLE = self.AddUniverse(self.XLEcoarse)

    def OnData(self, data):
        # Note: in the below, x is Symbol and x.Value is string
        self.Debug(f"XLF universe includes: {[x.Value for x in self.universeXLF.Members.Keys]}")
        self.Debug(f"XLE universe includes: {[x.Value for x in self.universeXLE.Members.Keys]}")
        
    def XLFcoarse(self, coarse):
        # Include SPY only for convenience
        return [Symbol.Create("SPY", SecurityType.Equity, Market.USA)]
        
    def XLEcoarse(self, coarse):
        # Include QQQ only for convenience
        return [Symbol.Create("QQQ", SecurityType.Equity, Market.USA)]