Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 6.614% Drawdown 0.800% Expectancy 0 Net Profit 0.193% Sharpe Ratio 1.094 Probabilistic Sharpe Ratio 50.505% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.028 Beta 1.055 Annual Standard Deviation 0.046 Annual Variance 0.002 Information Ratio 5.292 Tracking Error 0.006 Treynor Ratio 0.048 Total Fees $1.22 Estimated Strategy Capacity $980000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 8.99% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; 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.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 QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class ObjectStoreInsightsAlgorithm : QCAlgorithm { private string _insightsKey = "insights"; public override void Initialize() { UniverseSettings.Resolution = Resolution.Daily; SetStartDate(2023, 4, 1); SetEndDate(2023, 4, 11); SetCash(100000); _insightsKey = $"{ProjectId}/{_insightsKey}"; // Read the file with the insights if (ObjectStore.ContainsKey(_insightsKey)) { var insights = ObjectStore.ReadJson<List<Insight>>(_insightsKey); Log($"Read {insights.Count} insight(s) from the Object Store"); Insights.AddRange(insights); // Delete the key to reuse it ObjectStore.Delete(_insightsKey); } SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA))); SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(5), 0.025, null)); SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(Resolution.Daily)); } public override void OnEndOfAlgorithm() { // Get all active insights var insights = Insights.GetInsights(x => x.IsActive(UtcTime)); // If we want to save all insights (expired and active), we can use // var insights = Insights.GetInsights(x => true); Log($"Save {insights.Count} insight(s) to the Object Store."); ObjectStore.SaveJson(_insightsKey, insights); } } }