| Overall Statistics |
|
Total Orders 7 Average Win 0% Average Loss -1.07% Compounding Annual Return -16.508% Drawdown 25.700% Expectancy -1 Net Profit -16.700% Sharpe Ratio -0.76 Sortino Ratio -0.853 Probabilistic Sharpe Ratio 1.617% Loss Rate 100% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.008 Beta -0.601 Annual Standard Deviation 0.145 Annual Variance 0.021 Information Ratio -1.395 Tracking Error 0.221 Treynor Ratio 0.184 Total Fees $10.20 Estimated Strategy Capacity $50000000.00 Lowest Capacity Asset AAPL R735QTJ8XC9X Portfolio Turnover 0.41% |
#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 QuiverGovernmentContractAlgorithm : QCAlgorithm
{
private Symbol _symbol, _datasetSymbol;
public override void Initialize()
{
SetStartDate(2020, 10, 7); //Set Start Date
SetEndDate(2021, 10, 11); //Set End Date
_symbol = AddEquity("AAPL").Symbol;
_datasetSymbol = AddData<QuiverGovernmentContract>(_symbol).Symbol;
// history request
var history = History<QuiverGovernmentContract>(new[] {_datasetSymbol}, 10, Resolution.Daily);
Debug($"We got {history.Count()} items from historical data request of {_datasetSymbol}.");
}
public override void OnData(Slice slice)
{
foreach (var kvp in slice.Get<QuiverGovernmentContract>())
{
if (kvp.Value.Any(x => (int) (x as QuiverGovernmentContract).Amount > 50000m))
{
SetHoldings(_symbol, 1);
}
else if (kvp.Value.Any(x => (int) (x as QuiverGovernmentContract).Amount < 10000m))
{
SetHoldings(_symbol, -1);
}
}
}
}
}