Overall Statistics
Total Trades
6
Average Win
1.32%
Average Loss
0%
Compounding Annual Return
3.846%
Drawdown
0.900%
Expectancy
0
Net Profit
4.007%
Sharpe Ratio
1.178
Probabilistic Sharpe Ratio
63.124%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.02
Beta
0.042
Annual Standard Deviation
0.027
Annual Variance
0.001
Information Ratio
-2.11
Tracking Error
0.11
Treynor Ratio
0.749
Total Fees
$6.00
namespace QuantConnect {

    public class LiquidValueUniverseSelectionModel : FundamentalUniverseSelectionModel
    {
    	
    	public LiquidValueUniverseSelectionModel()
    		: base(true, null, null)
    	{
    	}
    	
    	public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
    	{
        	IEnumerable<Symbol>  ret= new [] { QuantConnect.Symbol.Create("JPM", SecurityType.Equity, Market.USA) };
        	algorithm.Debug("selectCoarse");
        	return ret;
    	}
    	
    	public override IEnumerable<Symbol> SelectFine(QCAlgorithm algorithm, IEnumerable<FineFundamental> fine)
    	{
        	
			IEnumerable<Symbol>  ret= fine.Select(f => f.Symbol);
			algorithm.Debug("SelectFine");
        	return ret;
    	}
    }
}
using System.Drawing;

namespace QuantConnect.Algorithm.CSharp {
  public class MultidimensionalUncoupledEngine: QCAlgorithm {

    public override void Initialize() {

		SetStartDate(2019, 1, 1); //Set Start Date					
		SetEndDate(2020, 1, 15); //Set Start Date					
		SetCash(1000); //Set Strategy Cash			
		
		UniverseSettings.Resolution = Resolution.Minute;
		SetAlpha(new QuadTunnelAlphaModel());
		AddUniverseSelection(new LiquidValueUniverseSelectionModel());
		SetPortfolioConstruction( new EqualWeightingPortfolioConstructionModel() );
		SetRiskManagement(new TrailingStopRiskManagementModel());
		SetExecution(new ImmediateExecutionModel());
    }
  }
}
namespace QuantConnect {

    class QuadTunnelAlphaModel : IAlphaModel, INotifiedSecurityChanges
	{
		public int periods = 60;
	    public IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data) {

	    	List<Insight> ret = new List<Insight>();
	    	foreach(var d in data.Values){//base data = https://www.quantconnect.com/lean/documentation/topic8710.html
	    		var symbol=d.Symbol.Value;
	    		algorithm.Debug(algorithm.Time.ToString("o")  +" symbol: "+symbol+" price = "+d.Price);
	    		if(d.Price <92){
		     		var insight = Insight.Price(d.Symbol, TimeSpan.FromMinutes(20), InsightDirection.Up);
		    		ret.Add(insight);	
		    		algorithm.Debug(algorithm.Time.ToString("o")  +" added insight");
	    	 	}
	    	}
	        
	        return ret;
	    }
	
	    public void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes) {
		    
		    if (changes.AddedSecurities.Count > 0)
		    {
		        algorithm.Debug(algorithm.Time.ToString("o") + " Securities added: " + 
		              string.Join(",", changes.AddedSecurities.Select(x => x.Symbol.Value)));
		    }
		    if (changes.RemovedSecurities.Count > 0)
		    {
		        algorithm.Debug(algorithm.Time.ToString("o") +" Securities removed: " + 
		              string.Join(",", changes.RemovedSecurities.Select(x => x.Symbol.Value)));
		    }
	    }
	}

}