Overall Statistics Total Trades 183 Average Win 0.26% Average Loss -0.19% Compounding Annual Return 32.009% Drawdown 4.100% Expectancy 0.349 Net Profit 4.671% Sharpe Ratio 1.798 Loss Rate 42% Win Rate 58% Profit-Loss Ratio 1.33 Alpha -0.087 Beta 18.789 Annual Standard Deviation 0.168 Annual Variance 0.028 Information Ratio 1.676 Tracking Error 0.168 Treynor Ratio 0.016 Total Fees \$791.98
```import decimal as d

class RSIUniverseSelectionAlgorithm(QCAlgorithm):

def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

self.SetStartDate(2010,1,1)  #Set Start Date
self.SetEndDate(2010,3,1)    #Set End Date
self.SetCash(100000)         #Set Strategy Cash

self.UniverseSettings.Resolution = Resolution.Daily
self.UniverseSettings.Leverage = 2

self.coarse_count = 10
self.averages = { }

# this add universe method accepts two parameters:
# - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol>

# sort the data by daily dollar volume and take the top 'NumberOfSymbols'
def CoarseSelectionFunction(self, coarse):

# We are going to use a dictionary to refer the object that will keep the moving averages
for cf in coarse:
if cf.Symbol not in self.averages:
self.averages[cf.Symbol] = SymbolData(cf.Symbol)

# Updates the SymbolData object with current EOD price
avg = self.averages[cf.Symbol]

# Filter the values of the dict: we only want up-trending securities
values = list(filter(lambda x: (x.close > 4 and x.rsi.IsReady and x.is_uptrend), self.averages.values()))

# we need to return only the symbol objects
return [ x.symbol for x in values[:self.coarse_count] ]

# this event fires whenever we have changes to our universe
def OnSecuritiesChanged(self, changes):
# liquidate removed securities
for security in changes.RemovedSecurities:
if security.Invested:
self.Liquidate(security.Symbol)

# we want 20% allocation in each security in our universe
self.SetHoldings(security.Symbol, 0.1)

class SymbolData(object):
def __init__(self, symbol):
self.symbol = symbol
self.rsi = RelativeStrengthIndex(14, MovingAverageType.Simple)
self.is_uptrend = False
self.close = None

def update(self, time, value):
self.close = value
self.rsi.Update(time, value)
self.is_uptrend = self.rsi.Current.Value < 30                        ```