1-7-200-50-ema-momentum-universe.py

class EMAMomentumUniverse(QCAlgorithm):
    
    def Initialize(self):
        self.SetStartDate(2019, 1, 7)
        self.SetEndDate(2019, 4, 1)
        self.SetCash(100000)
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.CoarseSelectionFunction) 
        self.averages = { }
    
    def CoarseSelectionFunction(self, universe):  
        selected = []
        universe = sorted(universe, key=lambda c: c.DollarVolume, reverse=True)  
        universe = [c for c in universe if c.Price > 10][:100]
        for coarse in universe:  
            symbol = coarse.Symbol
            if symbol not in self.averages:
                history = self.History(symbol, 200, Resolution.Daily)
                self.averages[symbol] = SelectionData(history) 
            self.averages[symbol].update(self.Time, coarse.AdjustedPrice)
            if  self.averages[symbol].is_ready() and self.averages[symbol].fast > self.averages[symbol].slow:
                selected.append(symbol)
        return selected[:10]
        
    def OnSecuritiesChanged(self, changes):
        for security in changes.RemovedSecurities:
            self.Liquidate(security.Symbol)
        for security in changes.AddedSecurities:
            self.SetHoldings(security.Symbol, 0.10)
            
            
class SelectionData():
    
    def __init__(self, history):
        self.slow = ExponentialMovingAverage(200)
        self.fast = ExponentialMovingAverage(50)
        for record in history.itertuples():
            self.update(record.Index[1], record.close)
    
    def is_ready(self):
        return self.slow.IsReady and self.fast.IsReady
    
    def update(self, time, price):
        self.fast.Update(time, price)
        self.slow.Update(time, price)