| Overall Statistics |
|
Total Trades 53 Average Win 0.20% Average Loss -0.47% Compounding Annual Return 189.180% Drawdown 4.100% Expectancy -0.283 Net Profit 9.438% Sharpe Ratio 6.39 Probabilistic Sharpe Ratio 81.214% Loss Rate 50% Win Rate 50% Profit-Loss Ratio 0.43 Alpha 1.459 Beta -1.138 Annual Standard Deviation 0.228 Annual Variance 0.052 Information Ratio 4.829 Tracking Error 0.301 Treynor Ratio -1.28 Total Fees $76.86 Estimated Strategy Capacity $300000000.00 |
class LiquidUniverseSelection(QCAlgorithm):
filteredByPrice = None
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2020, 1, 31)
self.SetCash(100000)
self.AddUniverse(self.CoarseSelectionFilter, self.SelectFine)
self.UniverseSettings.Resolution = Resolution.Daily
#1. Set the leverage to 2
self.UniverseSettings.Leverage = 2
def CoarseSelectionFilter(self, coarse):
sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)
filteredByPrice = [c.Symbol for c in sortedByDollarVolume if c.Price > 10]
return filteredByPrice[:10]
def SelectFine(self, fine):
for x in fine:
self.Debug(f'\n {x.Symbol.Value} ')
self.Debug(f'Sector {x.AssetClassification.MorningstarSectorCode}')
self.Debug(f'Group {x.AssetClassification.MorningstarIndustryGroupCode}')
self.Debug(f'Ind {x.AssetClassification.MorningstarIndustryCode}')
return [x.Symbol for x in fine]
def OnSecuritiesChanged(self, changes):
self.changes = changes
self.Log(f"OnSecuritiesChanged({self.Time}):: {changes}")
for security in self.changes.RemovedSecurities:
if security.Invested:
self.Liquidate(security.Symbol)
for security in self.changes.AddedSecurities:
#2. Leave a cash buffer by setting the allocation to 0.18 instead of 0.2
# self.SetHoldings(security.Symbol, ...)
self.SetHoldings(security.Symbol, 0.18)