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
-1.666
Tracking Error
0.165
Treynor Ratio
0
Total Fees
$0.00
 
class OptimizedTransdimensionalReplicator(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 10, 1)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash

        self.symbol = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
        self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(self.CoarseSelectionFunction, self.FineSelectionFunction, None, None))
        self.UniverseSettings.Resolution = Resolution.Daily


    def OnData(self, data):
        if not data.ContainsKey(self.symbol) or data[self.symbol] is None or self.Securities[self.symbol].Fundamentals is None:
            return
        
        pe_ratio = self.Securities[self.symbol].Fundamentals.ValuationRatios.NormalizedPERatio
        self.Plot("Normalized PE", "Ratio", pe_ratio)

    def CoarseSelectionFunction(self, coarse):
        return [self.symbol]
    
    def FineSelectionFunction(self, fine):
        return [self.symbol]