| Overall Statistics |
|
Total Orders 222 Average Win 0.47% Average Loss -0.61% Compounding Annual Return -10.220% Drawdown 7.000% Expectancy -0.060 Net Profit -4.380% Sharpe Ratio -0.584 Sortino Ratio -0.518 Probabilistic Sharpe Ratio 10.679% Loss Rate 47% Win Rate 53% Profit-Loss Ratio 0.77 Alpha -0.141 Beta 0.323 Annual Standard Deviation 0.117 Annual Variance 0.014 Information Ratio -2.154 Tracking Error 0.136 Treynor Ratio -0.211 Total Fees $854.74 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 145.65% |
#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
using QuantConnect.DataSource;
namespace QuantConnect.Algorithm.CSharp.AltData
{
public class BenzingaNewsDataAlgorithm : QCAlgorithm
{
private Symbol _aapl;
private Symbol _benzingaSymbol;
private int _currentHoldings = 0;
private int _targetHoldings = 0;
private Dictionary<string, int> _wordScores = new Dictionary<string, int>(){
{"good", 1}, {"great", 1}, {"best", 1}, {"growth", 1},
{"bad", -1}, {"terrible", -1}, {"worst", -1}, {"loss", -1}
};
public override void Initialize()
{
SetStartDate(2021, 1, 1);
SetEndDate(2021, 6, 1);
SetCash(100000);
// Requesting data
_aapl = AddEquity("AAPL", Resolution.Minute).Symbol;
_benzingaSymbol = AddData<BenzingaNews>(_aapl).Symbol;
// Historical data
var history = History<BenzingaNews>(_benzingaSymbol, 14, Resolution.Daily);
Debug($"We got {history.Count()} items from our history request");
}
public override void OnData(Slice slice)
{
if (slice.ContainsKey(_benzingaSymbol))
{
// Assign a sentiment score to the news article
var contentWords = slice[_benzingaSymbol].Contents.ToLower();
var score = 0;
foreach (KeyValuePair<string, int> entry in _wordScores)
{
score += (Regex.Matches(contentWords, entry.Key).Count * entry.Value);
}
_targetHoldings = Convert.ToInt32(score > 0);
}
// Ensure we have AAPL data in the current Slice
if (!(slice.ContainsKey(_aapl) && slice[_aapl] != null && !slice[_aapl].IsFillForward))
{
return;
}
// Buy or sell if the sentiment has changed from our current holdings
if (_currentHoldings != _targetHoldings)
{
SetHoldings(_aapl, _targetHoldings);
_currentHoldings = _targetHoldings;
}
}
}
}