| Overall Statistics |
|
Total Orders 1 Average Win 0% Average Loss 0% Compounding Annual Return -50.894% Drawdown 9.200% Expectancy 0 Start Equity 100000 End Equity 94690.40 Net Profit -5.310% Sharpe Ratio -1.956 Sortino Ratio -2.661 Probabilistic Sharpe Ratio 12.919% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.11 Beta 0.998 Annual Standard Deviation 0.199 Annual Variance 0.04 Information Ratio -1.481 Tracking Error 0.074 Treynor Ratio -0.391 Total Fees $2.89 Estimated Strategy Capacity $510000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 3.53% |
from AlgorithmImports import *
from QuantConnect.DataSource import *
class QuiverInsiderTradingAlgorithm(QCAlgorithm):
def initialize(self):
self.set_start_date(2022, 2, 1) #Set Start Date
self.set_end_date(2022, 2, 28) #Set End Date
self.aapl = self.add_equity("AAPL", Resolution.DAILY).symbol
self.dataset_symbol = self.add_data(QuiverInsiderTrading, self.aapl).symbol
# history request
history = self.history(self.dataset_symbol, 10, Resolution.DAILY)
self.debug(f"We got {len(history)} items from historical data request of {self.dataset_symbol}.")
def on_data(self, slice: Slice) -> None:
for insider_trades in slice.Get(QuiverInsiderTrading).values():
for insider_trade in insider_trades:
if insider_trade.shares > 0:
self.set_holdings(self.aapl, 1)
else:
self.liquidate(self.aapl)