Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -0.795 Tracking Error 0.186 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 |
from clr import AddReference AddReference("System.Core") AddReference("QuantConnect.Common") AddReference("QuantConnect.Algorithm") from System import * from QuantConnect import * from QuantConnect.Algorithm import QCAlgorithm from QuantConnect.Data import SubscriptionDataSource from QuantConnect.Python import PythonData from datetime import datetime, timedelta import json class ExuberAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 5, 1) self.symbol = self.AddData(Radf, "RADFDATA", Resolution.Hour).Symbol def OnData(self, data): if data.ContainsKey(self.symbol): self.Quit(f'Data Received. Value: {data[self.symbol].Value}. adf: {data[self.symbol].GetProperty("adf")}') class Radf(PythonData): def GetSource(self, config, date, isLive): source = "http://207.154.227.4/alphar/radf_point?symbols=AAPL&date=2021-01-01&window=100&price_lag=1&use_log=1&dl=1" return SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile) def Reader(self, config, line, date, isLive): index = Radf() index.Symbol = config.Symbol line = json.loads(line)[0] index.Time = datetime.strptime(line['datetime'], '%Y-%m-%d %H:%M:%S') index.Value = 1.0 # Random value index.SetProperty('adf', line['adf']) return index