| Overall Statistics |
|
Total Orders 3 Average Win 0.78% Average Loss 0% Compounding Annual Return 30.591% Drawdown 43.800% Expectancy 0 Net Profit 2067.678% Sharpe Ratio 0.957 Sortino Ratio 1.092 Probabilistic Sharpe Ratio 34.708% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.117 Beta 1.09 Annual Standard Deviation 0.235 Annual Variance 0.055 Information Ratio 0.711 Tracking Error 0.176 Treynor Ratio 0.206 Total Fees $80.48 Estimated Strategy Capacity $48000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 0.02% |
#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 BrainCompanyFilingNLPDataAlgorithm : QCAlgorithm
{
private Symbol _symbol;
private Symbol _datasetSymbol;
public override void Initialize()
{
SetStartDate(2010, 1, 1);
SetEndDate(2021, 7, 8);
SetCash(100000);
// Requesting data
_symbol = AddEquity("AAPL", Resolution.Daily).Symbol;
_datasetSymbol = AddData<BrainCompanyFilingLanguageMetrics10K>(_symbol).Symbol;
// Historical data
var history = History<BrainCompanyFilingLanguageMetrics10K>(_datasetSymbol, 365, Resolution.Daily);
Debug($"We got {history.Count()} items from our history request for {_datasetSymbol}");
}
public override void OnData(Slice slice)
{
if (slice.ContainsKey(_datasetSymbol))
{
var sentiment = slice[_datasetSymbol].ReportSentiment.Sentiment;
SetHoldings(_symbol, sentiment > 0 ? 1 : 0);
}
}
}
}