| Overall Statistics |
|
Total Trades 222 Average Win 0.47% Average Loss -0.61% Compounding Annual Return -10.200% Drawdown 7.000% Expectancy -0.060 Net Profit -4.371% Sharpe Ratio -0.562 Probabilistic Sharpe Ratio 10.697% Loss Rate 47% Win Rate 53% Profit-Loss Ratio 0.77 Alpha -0.139 Beta 0.323 Annual Standard Deviation 0.117 Annual Variance 0.014 Information Ratio -2.153 Tracking Error 0.136 Treynor Ratio -0.203 Total Fees $845.24 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X |
from AlgorithmImports import *
class BenzingaNewsDataAlgorithm(QCAlgorithm):
current_holdings = 0
target_holdings = 0
word_scores = {
'good': 1, 'great': 1, 'best': 1, 'growth': 1,
'bad': -1, 'terrible': -1, 'worst': -1, 'loss': -1}
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.SetEndDate(2021, 6, 1)
self.SetCash(100000)
# Requesting data
self.aapl = self.AddEquity("AAPL", Resolution.Minute).Symbol
self.benzinga_symbol = self.AddData(BenzingaNews, self.aapl).Symbol
# Historical data
history = self.History(self.benzinga_symbol, 14, Resolution.Daily)
self.Debug(f"We got {len(history)} items from our history request")
def OnData(self, data):
if data.ContainsKey(self.benzinga_symbol):
# Assign a sentiment score to the news article
content_words = data[self.benzinga_symbol].Contents.lower()
score = 0
for word, word_score in self.word_scores.items():
score += (content_words.count(word) * word_score)
self.target_holdings = int(score > 0)
# Ensure we have AAPL data in the current Slice
if not (data.ContainsKey(self.aapl) and data[self.aapl] is not None and not data[self.aapl].IsFillForward):
return
# Buy or sell if the sentiment has changed from our current holdings
if self.current_holdings != self.target_holdings:
self.SetHoldings(self.aapl, self.target_holdings)
self.current_holdings = self.target_holdings