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); } } } }