| Overall Statistics |
|
Total Trades 113 Average Win 0.62% Average Loss -0.52% Compounding Annual Return 7.685% Drawdown 5.400% Expectancy 0.202 Net Profit 12.027% Sharpe Ratio 0.828 Probabilistic Sharpe Ratio 38.591% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 1.18 Alpha 0.052 Beta 0.117 Annual Standard Deviation 0.066 Annual Variance 0.004 Information Ratio 0.232 Tracking Error 0.139 Treynor Ratio 0.47 Total Fees $372.61 Estimated Strategy Capacity $26000000.00 Lowest Capacity Asset XLV RGRPZX100F39 |
# region imports
from AlgorithmImports import *
# endregion
class HipsterFluorescentPinkMule(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 7, 30) # Set Start Date
self.SetCash(100000) # Set Strategy Cash
self.symbol = self.AddEquity("XLV", Resolution.Daily).Symbol
self.Settings.FreePortfolioValuePercentage = 0.25
self.dataset_symbol = self.AddData(RegalyticsRegulatoryArticles, "REG").Symbol
self.SetBenchmark(self.symbol)
def OnData(self, slice: Slice) -> None:
# Parse articles
if not slice.ContainsKey(self.dataset_symbol):
return
fda_news = False
articles = slice[self.dataset_symbol]
for article in articles:
if "FDA" in article.Title:
fda_news = True
self.last_fda_news = self.Time
if fda_news and not self.Portfolio[self.symbol].IsLong:
self.SetHoldings(self.symbol, 1)
elif not fda_news and not self.Portfolio[self.symbol].IsShort:
self.SetHoldings(self.symbol, -0.25)