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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
class UncoupledMultidimensionalCircuit(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 9, 17)  # Set Start Date
        self.SetEndDate(2019, 9, 20)
        self.SetCash(100000)  # Set Strategy Cash
        self.AddUniverse(self.SelectCoarse, self.SelectFine)

    def SelectCoarse(self, coarse):
        
        sortedCoarse = sorted(coarse, key=lambda c:c.DollarVolume, reverse=True)
        symbols = [c.Symbol for c in sortedCoarse if c.HasFundamentalData][:10]
        
        return symbols
    
    def SelectFine(self, fine):
        
        return [f.Symbol for f in fine][:3]
    
    
    def OnSecuritiesChanged(self, changes):
        
        for security in changes.AddedSecurities:
            symbol = security.Symbol
            ticker = symbol.Value
            self.Debug(f"Symbol: {symbol} with ticker: {ticker}")