| Overall Statistics |
|
Total Orders 11 Average Win 31.21% Average Loss 0% Compounding Annual Return 7.318% Drawdown 31.100% Expectancy 0 Start Equity 100000 End Equity 545010.48 Net Profit 445.010% Sharpe Ratio 0.32 Sortino Ratio 0.262 Probabilistic Sharpe Ratio 0.172% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.016 Beta 0.476 Annual Standard Deviation 0.111 Annual Variance 0.012 Information Ratio -0.039 Tracking Error 0.116 Treynor Ratio 0.075 Total Fees $93.78 Estimated Strategy Capacity $1700000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 0.13% |
#region imports
using Newtonsoft.Json;
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.Portfolio.SignalExports;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Selection;
using QuantConnect.Api;
using QuantConnect.Parameters;
using QuantConnect.Benchmarks;
using QuantConnect.Brokerages;
using QuantConnect.Configuration;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Algorithm;
using QuantConnect.Indicators;
using QuantConnect.Data;
using QuantConnect.Data.Auxiliary;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Custom;
using QuantConnect.Data.Custom.IconicTypes;
using QuantConnect.DataSource;
using QuantConnect.Data.Fundamental;
using QuantConnect.Data.Market;
using QuantConnect.Data.Shortable;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Notifications;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Orders.Fills;
using QuantConnect.Orders.OptionExercise;
using QuantConnect.Orders.Slippage;
using QuantConnect.Orders.TimeInForces;
using QuantConnect.Python;
using QuantConnect.Scheduling;
using QuantConnect.Securities;
using QuantConnect.Securities.Equity;
using QuantConnect.Securities.Future;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Positions;
using QuantConnect.Securities.Forex;
using QuantConnect.Securities.Crypto;
using QuantConnect.Securities.CryptoFuture;
using QuantConnect.Securities.Interfaces;
using QuantConnect.Securities.Volatility;
using QuantConnect.Storage;
using QuantConnect.Statistics;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect
{
public class FredAlternativeDataAlgorithm : QCAlgorithm
{
private Symbol _fredPeakToTrough;
private Symbol _spy;
public override void Initialize()
{
SetStartDate(2000, 1, 1);
SetEndDate(2023, 12, 31);
SetCash(100000);
_spy = AddEquity("SPY", Resolution.Daily).Symbol;
// Requesting FED US peak-to-trough OECD recession indicators for trade signal generation
_fredPeakToTrough = AddData<Fred>(Fred.OECDRecessionIndicators.UnitedStatesFromPeakThroughTheTrough).Symbol;
// Historical data
var history = History<Fred>(_fredPeakToTrough, 60, Resolution.Daily);
Debug($"We got {history.Count()} items from our history request");
}
public override void OnData(Slice slice)
{
// Trade with updated FED peak-to-trough indicator
if (slice.ContainsKey(_fredPeakToTrough) && slice.ContainsKey(_spy))
{
var peakToTrough = slice.Get<Fred>(_fredPeakToTrough).Value;
// Buy SPY if peak to trough value is 0, which is the expansionary period
if (peakToTrough == 0m && !Portfolio.Invested)
{
SetHoldings(_spy, 1);
}
// Liquidate holdings if peak to trough value is 1, which is recessionary period
else if (peakToTrough == 1m && Portfolio.Invested)
{
Liquidate(_spy);
}
}
}
}
}