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
-5.809
Tracking Error
0.114
Treynor Ratio
0
Total Fees
$0.00
 
class TestAlgo(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2018, 5, 28)
        self.SetEndDate(2018, 6, 9)
        self.SetWarmUp(10)
        self.SetCash(10000)

        # Universe selection settings
        self.UniverseSettings.Resolution = Resolution.Daily  
        self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Adjusted  
        self.UniverseSettings.ExtendedMarketHours = False
        
        self.AddUniverseSelection(
            FineFundamentalUniverseSelectionModel(self.SelectCoarse, self.SelectFine)
        )

        # Other initialization code
        
    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''
        
    def SelectCoarse(self, coarse):
        return Universe.Unchanged

    def SelectFine(self, fine):
        return self.symbols
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm.Framework")

from QuantConnect.Data.UniverseSelection import *
from QuantConnect.Algorithm.Framework import * 
from QuantConnect.Algorithm.Framework.Selection import FineFundamentalUniverseSelectionModel

class MyUniverseModel(FineFundamentalUniverseSelectionModel):

    def __init__(self):
        super().__init__(coarseSelector=self.SelectCoarse, fineSelector=self.SelectFine)
  
    def SelectCoarse(self, coarse):
        tickers = ["AAPL", "AIG", "IBM"]
        return [Symbol.Create(x, SecurityType.Equity, Market.USA) for x in tickers]

    def SelectFine(self, fine):
        return [f.Symbol for f in fine]