| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 6.614% Drawdown 0.800% Expectancy 0 Net Profit 0.193% Sharpe Ratio 1.094 Probabilistic Sharpe Ratio 50.505% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.028 Beta 1.055 Annual Standard Deviation 0.046 Annual Variance 0.002 Information Ratio 5.292 Tracking Error 0.006 Treynor Ratio 0.048 Total Fees $1.22 Estimated Strategy Capacity $980000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 8.99% |
#region imports
using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using System.Globalization;
using System.Drawing;
using QuantConnect;
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.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 QuantConnect.Data.Custom.AlphaStreams;
using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
public class ObjectStoreInsightsAlgorithm : QCAlgorithm
{
private string _insightsKey = "insights";
public override void Initialize()
{
UniverseSettings.Resolution = Resolution.Daily;
SetStartDate(2023, 4, 1);
SetEndDate(2023, 4, 11);
SetCash(100000);
_insightsKey = $"{ProjectId}/{_insightsKey}";
// Read the file with the insights
if (ObjectStore.ContainsKey(_insightsKey))
{
var insights = ObjectStore.ReadJson<List<Insight>>(_insightsKey);
Log($"Read {insights.Count} insight(s) from the Object Store");
Insights.AddRange(insights);
// Delete the key to reuse it
ObjectStore.Delete(_insightsKey);
}
SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(5), 0.025, null));
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(Resolution.Daily));
}
public override void OnEndOfAlgorithm()
{
// Get all active insights
var insights = Insights.GetInsights(x => x.IsActive(UtcTime));
// If we want to save all insights (expired and active), we can use
// var insights = Insights.GetInsights(x => true);
Log($"Save {insights.Count} insight(s) to the Object Store.");
ObjectStore.SaveJson(_insightsKey, insights);
}
}
}