Overall Statistics
Total Orders
3
Average Win
0.78%
Average Loss
0%
Compounding Annual Return
30.591%
Drawdown
43.800%
Expectancy
0
Net Profit
2067.678%
Sharpe Ratio
0.957
Sortino Ratio
1.092
Probabilistic Sharpe Ratio
34.708%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.117
Beta
1.09
Annual Standard Deviation
0.235
Annual Variance
0.055
Information Ratio
0.711
Tracking Error
0.176
Treynor Ratio
0.206
Total Fees
$80.48
Estimated Strategy Capacity
$48000000.00
Lowest Capacity Asset
AAPL R735QTJ8XC9X
Portfolio Turnover
0.02%
#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 BrainCompanyFilingNLPDataAlgorithm : QCAlgorithm
    {
        private Symbol _symbol;
        private Symbol _datasetSymbol;
        
        public override void Initialize()
        {
            SetStartDate(2010, 1, 1);
            SetEndDate(2021, 7, 8);
            SetCash(100000);
            
            // Requesting data
            _symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
            _datasetSymbol = AddData<BrainCompanyFilingLanguageMetrics10K>(_symbol).Symbol;
            
            // Historical data
            var history = History<BrainCompanyFilingLanguageMetrics10K>(_datasetSymbol, 365, Resolution.Daily);
            Debug($"We got {history.Count()} items from our history request for {_datasetSymbol}");
        }

        public override void OnData(Slice slice)
        {
            if (slice.ContainsKey(_datasetSymbol))
            {
                var sentiment = slice[_datasetSymbol].ReportSentiment.Sentiment;
                SetHoldings(_symbol, sentiment > 0 ? 1 : 0);
            }
        }
    }
}