Overall Statistics |
Total Orders 2758 Average Win 2.18% Average Loss 0.00% Compounding Annual Return 90.807% Drawdown 18.000% Expectancy 759.687 Net Profit 11.205% Sharpe Ratio 1.805 Sortino Ratio 2.045 Probabilistic Sharpe Ratio 58.255% Loss Rate 20% Win Rate 80% Profit-Loss Ratio 949.86 Alpha 0.266 Beta 0.618 Annual Standard Deviation 0.358 Annual Variance 0.128 Information Ratio 0.086 Tracking Error 0.354 Treynor Ratio 1.047 Total Fees $752.09 Estimated Strategy Capacity $330000.00 Lowest Capacity Asset ACOR TG2OFNO1HAHX Portfolio Turnover 10.23% |
#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 QuiverWikipediaDataAlgorithm : QCAlgorithm { public override void Initialize() { SetStartDate(2019, 1, 1); SetEndDate(2019, 3, 1); SetCash(100000); UniverseSettings.Resolution = Resolution.Daily; AddUniverse<QuiverWikipediaUniverse>("QuiverWikipediaUniverse", Resolution.Daily, altCoarse => { return from d in altCoarse where d.PageViews > 100m && d.MonthPercentChange!=null && d.MonthPercentChange < 0.2m select d.Symbol; }); } public override void OnData(Slice slice) { var points = slice.Get<QuiverWikipedia>(); foreach (var point in points.Values) { var symbol = point.Symbol.Underlying; // Buy if the company's Wikipedia page views have increased over the last month if (point.MonthPercentChange > 0) { SetHoldings(symbol, 1); } // Sell our holdings if the company's Wikipedia page views have not increased over the last month else { SetHoldings(symbol, 0); } } } public override void OnSecuritiesChanged(SecurityChanges changes) { foreach(var added in changes.AddedSecurities) { // Requesting data var quiverWikiSymbol = AddData<QuiverWikipedia>(added.Symbol).Symbol; // Historical data var history = History<QuiverWikipedia>(quiverWikiSymbol, 60, Resolution.Daily); Debug($"We got {history.Count()} items from our history request for Quiver Wikipedia data"); } } } }