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
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class Algorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2012,1,1)  #Set Start Date
        self.SetEndDate(2012,2,5)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        self.UniverseSettings.Resolution = Resolution.Minute
        self.AddUniverse(self.CoarseSelectionFunction)
        self.AddEquity('SPY', Resolution.Daily)
        self.Schedule.On(self.DateRules.MonthStart("SPY"), 
                         self.TimeRules.AfterMarketOpen("SPY", 60), 
                         Action(self.Rebalance))
                         
     

    def CoarseSelectionFunction(self, coarse):
        CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData]
        sortedByDollarVolume = sorted(CoarseWithFundamental, key=lambda x: x.DollarVolume, reverse=True)
        self.universe = [x.Symbol for x in sortedByDollarVolume[:20]]
        return self.universe

        
    def Rebalance(self):
        self.Debug(self.Time)
        self.Debug(len(self.Securities.Keys))
        for security in self.Securities.Keys:
            self.Debug(security)