Overall Statistics |
Total Orders 3 Average Win 2.00% Average Loss 0% Compounding Annual Return 56.766% Drawdown 3.600% Expectancy 0 Net Profit 3.999% Sharpe Ratio 4.374 Sortino Ratio 6.631 Probabilistic Sharpe Ratio 89.297% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.057 Beta 0.554 Annual Standard Deviation 0.086 Annual Variance 0.007 Information Ratio -2.48 Tracking Error 0.081 Treynor Ratio 0.682 Total Fees $8.11 Estimated Strategy Capacity $47000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 6.27% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using System.Text.RegularExpressions; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Algorithm.Selection; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect { public class QuiverCNBCsAlgorithm : QCAlgorithm { private Symbol _symbol, _datasetSymbol; public override void Initialize() { SetStartDate(2021, 10, 1); //Set Start Date SetEndDate(2021, 10, 31); //Set End Date _symbol = AddEquity("AAPL").Symbol; _datasetSymbol = AddData<QuiverCNBCs>(_symbol).Symbol; // history request var history = History<QuiverCNBCs>(new[] {_datasetSymbol}, 10, Resolution.Daily); Debug($"We got {history.Count()} items from historical data request of {_datasetSymbol}."); } public override void OnData(Slice slice) { foreach (var kvp in slice.Get<QuiverCNBCs>()) { if (kvp.Value.Average(x => (int) (x as QuiverCNBC).Direction) > 0) { SetHoldings(_symbol, 1); } else { SetHoldings(_symbol, 0); } } } } }