Overall Statistics |
Total Orders 3 Average Win 0% Average Loss -0.05% Compounding Annual Return -6.069% Drawdown 28.400% Expectancy -1 Net Profit -6.144% Sharpe Ratio -0.072 Sortino Ratio -0.089 Probabilistic Sharpe Ratio 10.604% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.122 Beta 1.21 Annual Standard Deviation 0.264 Annual Variance 0.069 Information Ratio 0.672 Tracking Error 0.145 Treynor Ratio -0.016 Total Fees $11.18 Estimated Strategy Capacity $180000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 0.81% |
#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 QuiverLobbyingAlgorithm : QCAlgorithm { private Symbol _symbol, _datasetSymbol; public override void Initialize() { SetStartDate(2021, 10, 07); //Set Start Date SetEndDate(2022, 10, 11); //Set End Date _symbol = AddEquity("AAPL").Symbol; _datasetSymbol = AddData<QuiverLobbyings>(_symbol).Symbol; // history request var history = History<QuiverLobbyings>(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<QuiverLobbyings>()) { var lobbyings = kvp.Value; if (lobbyings.Any(lobbying => ((QuiverLobbying) lobbying).Amount >= 50000m)) { SetHoldings(_symbol, 1); } else if (lobbyings.Any(lobbying => ((QuiverLobbying) lobbying).Amount <= 10000m)) { SetHoldings(_symbol, -1); } } } } }