| Overall Statistics |
|
Total Orders 3 Average Win 2.00% Average Loss 0% Compounding Annual Return 56.766% Drawdown 3.600% Expectancy 0 Net Profit 3.999% Sharpe Ratio 4.374 Sortino Ratio 6.631 Probabilistic Sharpe Ratio 89.297% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.057 Beta 0.554 Annual Standard Deviation 0.086 Annual Variance 0.007 Information Ratio -2.48 Tracking Error 0.081 Treynor Ratio 0.682 Total Fees $8.11 Estimated Strategy Capacity $47000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 6.27% |
#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
namespace QuantConnect
{
public class QuiverCNBCsAlgorithm : QCAlgorithm
{
private Symbol _symbol, _datasetSymbol;
public override void Initialize()
{
SetStartDate(2021, 10, 1); //Set Start Date
SetEndDate(2021, 10, 31); //Set End Date
_symbol = AddEquity("AAPL").Symbol;
_datasetSymbol = AddData<QuiverCNBCs>(_symbol).Symbol;
// history request
var history = History<QuiverCNBCs>(new[] {_datasetSymbol}, 10, Resolution.Daily);
Debug($"We got {history.Count()} items from historical data request of {_datasetSymbol}.");
}
public override void OnData(Slice slice)
{
foreach (var kvp in slice.Get<QuiverCNBCs>())
{
if (kvp.Value.Average(x => (int) (x as QuiverCNBC).Direction) > 0)
{
SetHoldings(_symbol, 1);
}
else
{
SetHoldings(_symbol, 0);
}
}
}
}
}