Overall Statistics
Total Orders
3
Average Win
0.78%
Average Loss
0%
Compounding Annual Return
30.591%
Drawdown
43.800%
Expectancy
0
Start Equity
100000
End Equity
2167678.29
Net Profit
2067.678%
Sharpe Ratio
0.957
Sortino Ratio
1.092
Probabilistic Sharpe Ratio
34.708%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
0.117
Beta
1.09
Annual Standard Deviation
0.235
Annual Variance
0.055
Information Ratio
0.711
Tracking Error
0.176
Treynor Ratio
0.206
Total Fees
$80.48
Estimated Strategy Capacity
$48000000.00
Lowest Capacity Asset
AAPL R735QTJ8XC9X
Portfolio Turnover
0.02%
 
from AlgorithmImports import *

class BrainCompanyFilingNLPDataAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2010, 1, 1)
        self.set_end_date(2021, 7, 8)
        self.set_cash(100000) 
        
        # Requesting data
        self.aapl = self.add_equity("AAPL", Resolution.DAILY).symbol
        self.dataset_symbol = self.add_data(BrainCompanyFilingLanguageMetrics10K , self.aapl).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 on_data(self, data):
        if data.contains_key(self.dataset_symbol):
            sentiment = data[self.dataset_symbol].report_sentiment.sentiment
            self.set_holdings(self.aapl, int(sentiment > 0))