Overall Statistics Total Trades 4 Average Win 0% Average Loss 0% Compounding Annual Return -34.718% Drawdown 0.400% Expectancy 0 Net Profit 0% Sharpe Ratio -7.937 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0.39 Annual Standard Deviation 0.03 Annual Variance 0.001 Information Ratio 7.937 Tracking Error 0.046 Treynor Ratio -0.604 Total Fees \$6.41
```using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;

namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// In this algorithm we demonstrate how to use the coarse fundamental data to
/// define a universe as the top dollar volume
/// </summary>
public class CoarseFundamentalTop5Algorithm : QCAlgorithm
{
private const int NumberOfSymbols = 5;

// initialize our changes to nothing
SecurityChanges _changes = SecurityChanges.None;

public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Daily;

SetStartDate(2014, 01, 01);
SetEndDate(2014, 01, 03);
SetCash(50000);

// this add universe method accepts a single parameter that is a function that
// accepts an IEnumerable<CoarseFundamental> and returns IEnumerable<Symbol>

Schedule.Event().EveryDay().At(9, 35).Run(() =>
{
Log("Hello");
});
}

// sort the data by daily dollar volume and take the top 'NumberOfSymbols'
public static IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
{
// sort descending by daily dollar volume
var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume);

// take the top entries from our sorted collection
var top5 = sortedByDollarVolume.Take(NumberOfSymbols);

// we need to return only the symbol objects
}

//Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol.
{
// if we have no changes, do nothing
if (_changes == SecurityChanges.None) return;

// liquidate removed securities
foreach (var security in _changes.RemovedSecurities)
{
if (security.Invested)
{
Liquidate(security.Symbol);
}
}

// we want 20% allocation in each security in our universe
{
SetHoldings(security.Symbol, 0.2m);
}

_changes = SecurityChanges.None;
}

// this event fires whenever we have changes to our universe
public override void OnSecuritiesChanged(SecurityChanges changes)
{
_changes = changes;
}
}
}                        ```