Backtest

Overall Statistics
Total Orders 42 Average Win 0.53% Average Loss -0.20% Compounding Annual Return -1.241% Drawdown 4.400% Expectancy -0.613 Net Profit -2.469% Sharpe Ratio -1.88 Sortino Ratio -1.343 Probabilistic Sharpe Ratio 0.187% Loss Rate 89% Win Rate 11% Profit-Loss Ratio 2.62 Alpha -0.023 Beta -0.017 Annual Standard Deviation 0.014 Annual Variance 0 Information Ratio -0.929 Tracking Error 0.214 Treynor Ratio 1.469 Total Fees $43.92 Estimated Strategy Capacity $180000000.00 Lowest Capacity Asset ZM X3RPXTZRW09X Portfolio Turnover 0.39%

#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


using QuantConnect.DataSource;

namespace QuantConnect
{
	public class ExtractAlphaEstimizeAlgorithm : QCAlgorithm
	{
		private DateTime _time = DateTime.MinValue;
		
		public override void Initialize()
		{
			SetStartDate(2019, 1, 1);
			SetEndDate(2020, 12, 31);
			SetCash(100000);
			
			AddUniverse(MyCoarseFilterFunction);
			UniverseSettings.Resolution = Resolution.Minute;
		}
		
		private IEnumerable<Symbol> MyCoarseFilterFunction(IEnumerable<CoarseFundamental> coarse)
		{
			return (from c in coarse
					where c.HasFundamentalData && c.Price > 4
					orderby c.DollarVolume descending
					select c.Symbol).Take(500);
		}
		
		public override void OnData(Slice slice)
		{
			if (_time > Time) return;
			
			// Accessing Data
			var consensus = slice.Get<EstimizeConsensus>();
			var estimate = slice.Get<EstimizeEstimate>();
			var release = slice.Get<EstimizeRelease>();
			
			if (estimate.IsNullOrEmpty()) return;
			
			var sortedByEpsEstimate = from value in estimate.Values
							where (value.Eps != null)
							orderby value.Eps descending
							select value.Symbol.Underlying;
			var longSymbols = sortedByEpsEstimate.Take(10).ToList();
			var shortSymbols = sortedByEpsEstimate.TakeLast(10).ToList();
			
			foreach (var kvp in Portfolio)
			{
				var symbol = kvp.Key;
				if (kvp.Value.Invested && 
				!longSymbols.Contains(symbol) && 
				!shortSymbols.Contains(symbol))
				{
					Liquidate(symbol);
				}
			}
			
			var targets = new List<PortfolioTarget>();
			targets.AddRange(longSymbols.Select(symbol => new PortfolioTarget(symbol, 0.05m)));
			targets.AddRange(shortSymbols.Select(symbol => new PortfolioTarget(symbol, -0.05m)));
			
			SetHoldings(targets);
			
			_time = Expiry.EndOfMonth(Time);
		}
		
		public override void OnSecuritiesChanged(SecurityChanges changes)
		{
			foreach(var security in changes.AddedSecurities)
			{
				// Requesting Data
				var consensusSymbol = AddData<EstimizeConsensus>(security.Symbol).Symbol;
				var estimateSymbol = AddData<EstimizeEstimate>(security.Symbol).Symbol;
				var releaseSymbol = AddData<EstimizeRelease>(security.Symbol).Symbol;
				
				// Historical Data
				var history = History(new[]{
					consensusSymbol,
					estimateSymbol,
					releaseSymbol
				}, 10, Resolution.Daily);
				Debug($"We got {history.Count()} items from our history request");
			}
		}
	}
}