| Overall Statistics |
|
Total Orders 3 Average Win 0% Average Loss -0.05% Compounding Annual Return -6.069% Drawdown 28.400% Expectancy -1 Net Profit -6.144% Sharpe Ratio -0.072 Sortino Ratio -0.089 Probabilistic Sharpe Ratio 10.604% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.122 Beta 1.21 Annual Standard Deviation 0.264 Annual Variance 0.069 Information Ratio 0.672 Tracking Error 0.145 Treynor Ratio -0.016 Total Fees $11.18 Estimated Strategy Capacity $180000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 0.81% |
#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 QuiverLobbyingAlgorithm : QCAlgorithm
{
private Symbol _symbol, _datasetSymbol;
public override void Initialize()
{
SetStartDate(2021, 10, 07); //Set Start Date
SetEndDate(2022, 10, 11); //Set End Date
_symbol = AddEquity("AAPL").Symbol;
_datasetSymbol = AddData<QuiverLobbyings>(_symbol).Symbol;
// history request
var history = History<QuiverLobbyings>(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<QuiverLobbyings>())
{
var lobbyings = kvp.Value;
if (lobbyings.Any(lobbying => ((QuiverLobbying) lobbying).Amount >= 50000m))
{
SetHoldings(_symbol, 1);
}
else if (lobbyings.Any(lobbying => ((QuiverLobbying) lobbying).Amount <= 10000m))
{
SetHoldings(_symbol, -1);
}
}
}
}
}