Overall Statistics |
Total Trades 9995 Average Win 0.19% Average Loss -0.12% Compounding Annual Return -44.224% Drawdown 87.400% Expectancy -0.283 Net Profit -85.178% Sharpe Ratio -0.594 Probabilistic Sharpe Ratio 0.000% Loss Rate 72% Win Rate 28% Profit-Loss Ratio 1.54 Alpha -0.211 Beta -0.193 Annual Standard Deviation 0.382 Annual Variance 0.146 Information Ratio -0.765 Tracking Error 0.401 Treynor Ratio 1.175 Total Fees $11302.94 |
using QuantConnect.Data.Custom.Tiingo; using System.Collections.Generic; using System.Linq; using QuantConnect.Data; namespace QuantConnect { public partial class BootCampTask : QCAlgorithm { public override void Initialize() { SetStartDate(2014, 11, 1); SetEndDate(2020, 5, 15); var symbols = new[] {QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA), QuantConnect.Symbol.Create("NKE", SecurityType.Equity, Market.USA)}; SetUniverseSelection(new ManualUniverseSelectionModel(symbols)); AddAlpha(new NewsSentimentAlphaModel()); SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel()); SetExecution(new ImmediateExecutionModel()); SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.02m)); } } public class NewsData { public Symbol Symbol { get; } public RollingWindow<double> Window { get; } public NewsData(Symbol symbol) { Symbol = symbol; Window = new RollingWindow<double>(100); } } public partial class NewsSentimentAlphaModel : AlphaModel { private double _score; public Dictionary <Symbol, NewsData> _newsData = new Dictionary<Symbol, NewsData>(); public Dictionary<string, double> wordScores = new Dictionary<string, double>() { {"attractive",0.5}, {"bad",-0.5}, {"beat",0.5}, {"beneficial",0.5}, {"down",-0.5}, {"excellent",0.5}, {"fail",-0.5}, {"failed",-0.5}, {"good",0.5}, {"great",0.5}, {"growth",0.5}, {"large",0.5}, {"lose",-0.5}, {"lucrative",0.5}, {"mishandled",-0.5}, {"missed",-0.5}, {"missing",-0.5}, {"nailed",0.5}, {"negative",-0.5}, {"poor",-0.5}, {"positive",0.5}, {"profitable",0.5}, {"right",0.5}, {"solid",0.5}, {"sound",0.5}, {"success",0.5}, {"un_lucrative",-0.5}, {"unproductive",-0.5}, {"up",0.5}, {"worthwhile",0.5}, {"wrong",-0.5} }; public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data) { var insights = new List<Insight>(); var news = data.Get<TiingoNews>(); foreach (var article in news.Values) { var words = article.Description.ToLower().Split(' '); _score = words .Where(x => wordScores.ContainsKey(x)) .Sum(x => wordScores[x]); // 1. Get the underlying symbol and save to the variable symbol var symbol = article.Symbol.Underlying; // 2. Add scores to the rolling window associated with its _newsData symbol _newsData[symbol].Window.Add(_score); // 3. Sum the rolling window scores, save to sentiment var sentiment = _newsData[symbol].Window.Sum(); // If _sentiment aggregate score for the time period is greater than 5, emit an up insight if(sentiment > 5){ insights.Add(Insight.Price(symbol, TimeSpan.FromDays(1), InsightDirection.Up)); } if(sentiment < 5){ insights.Add(Insight.Price(symbol, TimeSpan.FromDays(1), InsightDirection.Down)); } } return insights; } public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes) { foreach (var security in changes.AddedSecurities) { var symbol = security.Symbol; var newsAsset = algorithm.AddData<TiingoNews>(symbol); _newsData[symbol] = new NewsData(newsAsset.Symbol); } foreach (var security in changes.RemovedSecurities) { NewsData newsData; if (_newsData.Remove(security.Symbol, out newsData)) { algorithm.RemoveSecurity(newsData.Symbol); } } } } }