Backtest

Overall Statistics
Total Orders 127 Average Win 0.91% Average Loss -0.90% Compounding Annual Return -2.626% Drawdown 11.800% Expectancy 0.019 Net Profit -1.102% Sharpe Ratio 0.02 Sortino Ratio 0.026 Probabilistic Sharpe Ratio 22.738% Loss Rate 49% Win Rate 51% Profit-Loss Ratio 1.01 Alpha -0.229 Beta 1.035 Annual Standard Deviation 0.227 Annual Variance 0.051 Information Ratio -1.156 Tracking Error 0.191 Treynor Ratio 0.004 Total Fees $1006.92 Estimated Strategy Capacity $21000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 165.92%

#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.Algorithm.CSharp.AltData
{
    public class TiingoNewsDataAlgorithm : QCAlgorithm
    {
        private Symbol _aapl;
        private Symbol _tiingoSymbol;
        private int _currentHoldings = 0;
        private int _targetHoldings = 0;
        private Dictionary<string, int> _wordScores = new Dictionary<string, int>(){
            {"good", 1}, {"great", 1}, {"best", 1}, {"growth", 1},
            {"bad", -1}, {"terrible", -1}, {"worst", -1}, {"loss", -1}
        };
        
        public override void Initialize()
        {
            SetStartDate(2021, 1, 1);
            SetEndDate(2021, 6, 1);
            SetCash(100000);
            
            // Requesting data
            _aapl = AddEquity("AAPL", Resolution.Minute).Symbol;
            _tiingoSymbol = AddData<TiingoNews>(_aapl).Symbol;
            
            // Historical data
            var history = History<TiingoNews>(_tiingoSymbol, 14, Resolution.Daily);
            Debug($"We got {history.Count()} items from our history request");
        }
        
        public override void OnData(Slice slice)
        {
            if (slice.ContainsKey(_tiingoSymbol))
            {
                // Assign a sentiment score to the news article
                var titleWords = slice[_tiingoSymbol].Description.ToLower();
                var score = 0;
                foreach (KeyValuePair<string, int> entry in _wordScores)
                {
                    if (titleWords.Contains(entry.Key))
                    {
                        score += entry.Value;
                    }
                }
                
                if (score > 0)
                {
                    _targetHoldings = 1;
                } else if (score < 0)
                {
                    _targetHoldings = -1;
                }
            }
            
            // Buy or short sell if the sentiment has changed from our current holdings
            if (slice.ContainsKey(_aapl) && _currentHoldings != _targetHoldings)
            {
                SetHoldings(_aapl, _targetHoldings);
                _currentHoldings = _targetHoldings;
            }
        }
    }
}