Overall Statistics |
Total Orders 222 Average Win 0.47% Average Loss -0.61% Compounding Annual Return -10.220% Drawdown 7.000% Expectancy -0.060 Start Equity 100000 End Equity 95620.37 Net Profit -4.380% Sharpe Ratio -0.584 Sortino Ratio -0.518 Probabilistic Sharpe Ratio 10.679% Loss Rate 47% Win Rate 53% Profit-Loss Ratio 0.77 Alpha -0.141 Beta 0.323 Annual Standard Deviation 0.117 Annual Variance 0.014 Information Ratio -2.154 Tracking Error 0.136 Treynor Ratio -0.211 Total Fees $854.74 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 145.65% |
from AlgorithmImports import * from QuantConnect.DataSource import * class BenzingaNewsDataAlgorithm(QCAlgorithm): current_holdings = 0 target_holdings = 0 word_scores = { 'good': 1, 'great': 1, 'best': 1, 'growth': 1, 'bad': -1, 'terrible': -1, 'worst': -1, 'loss': -1} def initialize(self) -> None: self.set_start_date(2021, 1, 1) self.set_end_date(2021, 6, 1) self.set_cash(100000) # Requesting data self.aapl = self.add_equity("AAPL", Resolution.MINUTE).symbol self.benzinga_symbol = self.add_data(BenzingaNews, self.aapl).symbol # Historical data history = self.history(self.benzinga_symbol, 14, Resolution.DAILY) self.debug(f"We got {len(history)} items from our history request") def on_data(self, slice: Slice) -> None: if slice.contains_key(self.benzinga_symbol): # Assign a sentiment score to the news article content_words = slice[self.benzinga_symbol].contents.lower() score = 0 for word, word_score in self.word_scores.items(): score += (content_words.count(word) * word_score) self.target_holdings = int(score > 0) # Ensure we have AAPL data in the current Slice if not (slice.contains_key(self.aapl) and slice[self.aapl] is not None and not slice[self.aapl].is_fill_forward): return # Buy or sell if the sentiment has changed from our current holdings if self.current_holdings != self.target_holdings: self.set_holdings(self.aapl, self.target_holdings) self.current_holdings = self.target_holdings