Overall Statistics
Total Trades
3
Average Win
0.34%
Average Loss
0%
Compounding Annual Return
30.612%
Drawdown
43.800%
Expectancy
0
Net Profit
2071.828%
Sharpe Ratio
1.006
Probabilistic Sharpe Ratio
34.705%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.116
Beta
1.091
Annual Standard Deviation
0.235
Annual Variance
0.055
Information Ratio
0.712
Tracking Error
0.177
Treynor Ratio
0.216
Total Fees
$79.56
Estimated Strategy Capacity
$150000000.00
Lowest Capacity Asset
AAPL R735QTJ8XC9X
 
from AlgorithmImports import *

class BrainCompanyFilingNLPDataAlgorithm(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2010, 1, 1)
        self.SetEndDate(2021, 7, 8)
        self.SetCash(100000) 
        
        # Requesting data
        self.symbol = self.AddEquity("AAPL", Resolution.Daily).Symbol
        self.dataset_symbol = self.AddData(BrainCompanyFilingLanguageMetrics10K , self.symbol).Symbol
        
        # Historical data
        history = self.History(self.dataset_symbol, 365, Resolution.Daily)
        self.Debug(f"We got {len(history)} items from our history request for {self.dataset_symbol}")
        
        
    def OnData(self, data):
        if data.ContainsKey(self.dataset_symbol):
            sentiment = data[self.dataset_symbol].ReportSentiment.Sentiment
            self.SetHoldings(self.symbol, int(sentiment > 0))