Overall Statistics |
Total Orders 4 Average Win 0% Average Loss -0.01% Compounding Annual Return -80.256% Drawdown 2.600% Expectancy -1 Net Profit -2.632% Sharpe Ratio -5.305 Sortino Ratio -7.205 Probabilistic Sharpe Ratio 0.381% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.987 Beta -0.617 Annual Standard Deviation 0.142 Annual Variance 0.02 Information Ratio -1.172 Tracking Error 0.322 Treynor Ratio 1.224 Total Fees $3.33 Estimated Strategy Capacity $760000000.00 Lowest Capacity Asset SPY R735QTJ8XC9X Portfolio Turnover 16.58% |
#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 RegalyticsDataAlgorithm : QCAlgorithm { private readonly string[] _negativeSentimentPhrases = new [] {"emergency rule", "proposed rule change", "development of rulemaking"}; private Symbol _symbol, _regalyticsSymbol; public override void Initialize() { SetStartDate(2022, 7, 10); SetEndDate(2022, 7, 15); SetCash(100000); _symbol = AddEquity("SPY", Resolution.Daily).Symbol; // Requesting data _regalyticsSymbol = AddData<RegalyticsRegulatoryArticles>("REG").Symbol; // Historical data var history = History<RegalyticsRegulatoryArticles>(_regalyticsSymbol, 7, Resolution.Daily); Debug($"We got {history.Count()} items from our history request"); } public override void OnData(Slice slice) { var data = slice.Get<RegalyticsRegulatoryArticles>(); if (!data.IsNullOrEmpty()) { foreach (var articles in data.Values) { Log($"{Time} {articles.ToString()}"); if (_negativeSentimentPhrases.Any(p => articles.Any(x => ((RegalyticsRegulatoryArticle) x).Title.ToLower().Contains(p)))) { SetHoldings(_symbol, -1); } else { SetHoldings(_symbol, 1); } } } } } }