| Overall Statistics |
|
Total Trades 2133 Average Win 0.92% Average Loss -0.56% Compounding Annual Return 33.327% Drawdown 32.100% Expectancy 0.480 Net Profit 1226.048% Sharpe Ratio 0.924 Probabilistic Sharpe Ratio 9.599% Loss Rate 44% Win Rate 56% Profit-Loss Ratio 1.64 Alpha 0.361 Beta 0.345 Annual Standard Deviation 0.482 Annual Variance 0.233 Information Ratio 0.405 Tracking Error 0.494 Treynor Ratio 1.291 Total Fees $2156.80 |
import pandas as pd
class LiquidUniverseSelection(QCAlgorithm):
def Initialize(self):
self.SetWarmup(10)
self.SetBenchmark("QQQ")
self.SetStartDate(2011, 12, 31)
# self.SetEndDate(2012, 5, 8)
self.SetCash(5000)
res1 = Resolution.Minute
res = Resolution.Minute
self.MRKT = self.AddEquity('SPY', res1).Symbol # market
self.TLT = self.AddEquity('TLT', res1).Symbol # market
self.S0=self.AddEquity('VHC',res).Symbol
self.S1=self.AddEquity('AMSC',res).Symbol
self.S2=self.AddEquity('IMGN',res).Symbol
self.S3=self.AddEquity('AMED',res).Symbol
self.S4=self.AddEquity('VRSN',res).Symbol
self.S5=self.AddEquity('EXEL',res).Symbol
self.S6=self.AddEquity('ARNA',res).Symbol
self.S7=self.AddEquity('SGEN',res).Symbol
self.S8=self.AddEquity('INVA',res).Symbol
self.S9=self.AddEquity('PODD',res).Symbol
self.S10=self.AddEquity('ITRI',res).Symbol
self.S11=self.AddEquity('DXCM',res).Symbol
self.S12=self.AddEquity('MTW',res).Symbol
self.S13=self.AddEquity('ASH',res).Symbol
self.S14=self.AddEquity('DXC',res).Symbol
self.S15=self.AddEquity('AZPN',res).Symbol
self.S16=self.AddEquity('SAFM',res).Symbol
self.S17=self.AddEquity('LRN',res).Symbol
self.S18=self.AddEquity('SGMS',res).Symbol
self.S19=self.AddEquity('VRTX',res).Symbol
self.S20=self.AddEquity('TSLA',res).Symbol
self.S21=self.AddEquity('FORM',res).Symbol
self.S22=self.AddEquity('MAR',res).Symbol
self.S23=self.AddEquity('OVV',res).Symbol
self.S24=self.AddEquity('SCU',res).Symbol
self.S25=self.AddEquity('JOE',res).Symbol
self.S26=self.AddEquity('NYT',res).Symbol
self.S27=self.AddEquity('ITT',res).Symbol
self.S28=self.AddEquity('CALX',res).Symbol
self.S29=self.AddEquity('NAV',res).Symbol
self.S30=self.AddEquity('NDAQ',res).Symbol
self.S31=self.AddEquity('INFN',res).Symbol
self.S32=self.AddEquity('SPWR',res).Symbol
self.S33=self.AddEquity('AMD',res).Symbol
self.S34=self.AddEquity('NKTR',res).Symbol
self.S35=self.AddEquity('CAR',res).Symbol
self.S36=self.AddEquity('HSC',res).Symbol
self.S37=self.AddEquity('EXAS',res).Symbol
self.S38=self.AddEquity('HALO',res).Symbol
self.S39=self.AddEquity('BSX',res).Symbol
self.S40=self.AddEquity('CHTR',res).Symbol
self.S41=self.AddEquity('AAL',res).Symbol
self.S42=self.AddEquity('MU',res).Symbol
self.S43=self.AddEquity('SRPT',res).Symbol
self.S44=self.AddEquity('RMBS',res).Symbol
self.S45=self.AddEquity('FOE',res).Symbol
self.S46=self.AddEquity('FSLR',res).Symbol
self.S47=self.AddEquity('CENX',res).Symbol
self.S48=self.AddEquity('HLIT',res).Symbol
self.S49=self.AddEquity('CSOD',res).Symbol
self.S50=self.AddEquity('IRWD',res).Symbol
self.S51=self.AddEquity('ALNY',res).Symbol
self.S52=self.AddEquity('AXL',res).Symbol
self.S53=self.AddEquity('SEE',res).Symbol
self.S54=self.AddEquity('SMTC',res).Symbol
self.S55=self.AddEquity('MTEM',res).Symbol
self.S56=self.AddEquity('BDC',res).Symbol
self.S57=self.AddEquity('PRDO',res).Symbol
self.S58=self.AddEquity('CLDX',res).Symbol
self.S59=self.AddEquity('PCRX',res).Symbol
self.S60=self.AddEquity('ANGI',res).Symbol
self.S61=self.AddEquity('RGS',res).Symbol
self.S62=self.AddEquity('CDMO',res).Symbol
self.S63=self.AddEquity('SCHN',res).Symbol
self.S64=self.AddEquity('NBIX',res).Symbol
self.S65=self.AddEquity('SPLK',res).Symbol
self.S66=self.AddEquity('VNDA',res).Symbol
self.S67=self.AddEquity('NVAX',res).Symbol
self.S68=self.AddEquity('CREE',res).Symbol
self.S69=self.AddEquity('XOMA',res).Symbol
self.S70=self.AddEquity('PEIX',res).Symbol
self.S71=self.AddEquity('INO',res).Symbol
self.S72=self.AddEquity('PENN',res).Symbol
self.S73=self.AddEquity('ACAD',res).Symbol
self.S74=self.AddEquity('FCEL',res).Symbol
self.S75=self.AddEquity('BCRX',res).Symbol
self.S76=self.AddEquity('YELP',res).Symbol
self.S77=self.AddEquity('INCY',res).Symbol
self.S78=self.AddEquity('PFPT',res).Symbol
self.S79=self.AddEquity('ARWR',res).Symbol
self.S80=self.AddEquity('CLF',res).Symbol
self.S81=self.AddEquity('OMER',res).Symbol
self.S82=self.AddEquity('ECOM',res).Symbol
self.S83=self.AddEquity('EQC',res).Symbol
self.S84=self.AddEquity('CDE',res).Symbol
self.S85=self.AddEquity('ICPT',res).Symbol
self.S86=self.AddEquity('CSII',res).Symbol
self.S87=self.AddEquity('EPZM',res).Symbol
self.S88=self.AddEquity('OPCH',res).Symbol
self.S89=self.AddEquity('XLRN',res).Symbol
self.S90=self.AddEquity('BNFT',res).Symbol
self.S91=self.AddEquity('TVTY',res).Symbol
self.S92=self.AddEquity('PTCT',res).Symbol
self.S93=self.AddEquity('TGTX',res).Symbol
self.S94=self.AddEquity('RNG',res).Symbol
self.S95=self.AddEquity('KPTI',res).Symbol
self.S96=self.AddEquity('PACB',res).Symbol
self.S97=self.AddEquity('RVNC',res).Symbol
self.S98=self.AddEquity('SSYS',res).Symbol
self.S99=self.AddEquity('APA',res).Symbol
self.S100=self.AddEquity('NOG',res).Symbol
self.S101=self.AddEquity('VRNS',res).Symbol
self.S102=self.AddEquity('SLCA',res).Symbol
self.S103=self.AddEquity('DDD',res).Symbol
self.S104=self.AddEquity('DVN',res).Symbol
self.S105=self.AddEquity('XEC',res).Symbol
self.S106=self.AddEquity('BCEI',res).Symbol
self.S107=self.AddEquity('MTDR',res).Symbol
self.S108=self.AddEquity('GRPN',res).Symbol
self.S109=self.AddEquity('ADVM',res).Symbol
self.S110=self.AddEquity('ZEN',res).Symbol
self.S111=self.AddEquity('MGNX',res).Symbol
self.S112=self.AddEquity('EGRX',res).Symbol
self.S113=self.AddEquity('CHRS',res).Symbol
self.S114=self.AddEquity('FEYE',res).Symbol
self.S115=self.AddEquity('CVA',res).Symbol
self.S116=self.AddEquity('SGMO',res).Symbol
self.S117=self.AddEquity('RCII',res).Symbol
self.S118=self.AddEquity('RAMP',res).Symbol
self.S119=self.AddEquity('CARA',res).Symbol
self.S120=self.AddEquity('ISEE',res).Symbol
self.S121=self.AddEquity('OCUL',res).Symbol
self.S122=self.AddEquity('BOX',res).Symbol
self.S123=self.AddEquity('GPRO',res).Symbol
self.S124=self.AddEquity('BLDR',res).Symbol
self.S125=self.AddEquity('CERS',res).Symbol
self.S126=self.AddEquity('TDOC',res).Symbol
self.S127=self.AddEquity('ADSK',res).Symbol
self.S128=self.AddEquity('AXDX',res).Symbol
self.S129=self.AddEquity('GLIBA',res).Symbol
self.S130=self.AddEquity('MCRB',res).Symbol
self.S131=self.AddEquity('AGIO',res).Symbol
self.S132=self.AddEquity('RARE',res).Symbol
self.S133=self.AddEquity('ARCH',res).Symbol
self.S134=self.AddEquity('ZGNX',res).Symbol
self.S135=self.AddEquity('FOLD',res).Symbol
self.S136=self.AddEquity('COLL',res).Symbol
self.S137=self.AddEquity('SUN',res).Symbol
self.S138=self.AddEquity('HRTX',res).Symbol
self.S139=self.AddEquity('PRO',res).Symbol
self.S140=self.AddEquity('NTLA',res).Symbol
self.S141=self.AddEquity('RDUS',res).Symbol
self.S142=self.AddEquity('TNDM',res).Symbol
self.S143=self.AddEquity('RIOT',res).Symbol
self.S144=self.AddEquity('RETA',res).Symbol
self.S145=self.AddEquity('PBYI',res).Symbol
self.S146=self.AddEquity('OSTK',res).Symbol
self.S147=self.AddEquity('YEXT',res).Symbol
self.S148=self.AddEquity('VERI',res).Symbol
self.S149=self.AddEquity('PGEN',res).Symbol
self.S150=self.AddEquity('VECO',res).Symbol
self.S151=self.AddEquity('DVAX',res).Symbol
self.S152=self.AddEquity('FATE',res).Symbol
self.S153=self.AddEquity('FLXN',res).Symbol
self.S154=self.AddEquity('BPMC',res).Symbol
self.S155=self.AddEquity('VIAV',res).Symbol
self.S156=self.AddEquity('QCOM',res).Symbol
self.S157=self.AddEquity('ATNX',res).Symbol
self.S158=self.AddEquity('USAT',res).Symbol
self.S159=self.AddEquity('AERI',res).Symbol
self.S160=self.AddEquity('EDIT',res).Symbol
self.S161=self.AddEquity('CNDT',res).Symbol
self.S162=self.AddEquity('MD',res).Symbol
self.S163=self.AddEquity('CTMX',res).Symbol
self.S164=self.AddEquity('NTNX',res).Symbol
self.S165=self.AddEquity('SAGE',res).Symbol
self.S166=self.AddEquity('URGN',res).Symbol
self.S167=self.AddEquity('MTSI',res).Symbol
self.S168=self.AddEquity('UNVR',res).Symbol
self.S169=self.AddEquity('INSM',res).Symbol
self.S170=self.AddEquity('ARLO',res).Symbol
self.S171=self.AddEquity('MGY',res).Symbol
self.S172=self.AddEquity('NOV',res).Symbol
self.S173=self.AddEquity('PS',res).Symbol
self.S174=self.AddEquity('PLT',res).Symbol
self.S175=self.AddEquity('CXO',res).Symbol
self.S176=self.AddEquity('CCXI',res).Symbol
self.S177=self.AddEquity('DOMO',res).Symbol
self.S178=self.AddEquity('ESTC',res).Symbol
self.S179=self.AddEquity('SLB',res).Symbol
self.S180=self.AddEquity('RCUS',res).Symbol
self.S181=self.AddEquity('CARS',res).Symbol
self.S182=self.AddEquity('ESPR',res).Symbol
self.S183=self.AddEquity('EB',res).Symbol
self.S184=self.AddEquity('OTRK',res).Symbol
self.S185=self.AddEquity('CLSK',res).Symbol
self.S186=self.AddEquity('WLL',res).Symbol
self.S187=self.AddEquity('INSG',res).Symbol
self.S188=self.AddEquity('FIXX',res).Symbol
self.S189=self.AddEquity('SRRK',res).Symbol
self.S190=self.AddEquity('WKHS',res).Symbol
self.S191=self.AddEquity('NLOK',res).Symbol
self.S192=self.AddEquity('FUBO',res).Symbol
self.S193=self.AddEquity('MTCH',res).Symbol
self.S194=self.AddEquity('NVTA',res).Symbol
self.signals = {'2012-01-03':{self.S0:0.05,self.S1:0.05,self.S2:0.05,self.S3:0.05,self.S4:0.05,self.S5:0.05,self.S6:0.05,self.S7:0.05,self.S8:0.05,self.S9:0.05,self.S10:0.05,self.S11:0.05,self.S12:0.05,self.S13:0.05,self.S14:0.05,self.S15:0.05,self.S16:0.05,self.S17:0.05,self.S18:0.05,self.S19:0.05},'2012-02-01':{self.S4:0.05,self.S0:0.05,self.S1:0.05,self.S2:0.05,self.S3:0.05,self.S5:0.05,self.S6:0.05,self.S7:0.05,self.S8:0.05,self.S20:0.05,self.S9:0.05,self.S10:0.05,self.S11:0.05,self.S14:0.05,self.S17:0.05,self.S16:0.05,self.S19:0.05,self.S18:0.05,self.S21:0.05,self.S22:0.05},'2012-03-01':{self.S4:0.05,self.S1:0.05,self.S23:0.05,self.S24:0.05,self.S2:0.05,self.S3:0.05,self.S0:0.05,self.S8:0.05,self.S6:0.05,self.S25:0.05,self.S14:0.05,self.S10:0.05,self.S20:0.05,self.S9:0.05,self.S26:0.05,self.S7:0.05,self.S11:0.05,self.S27:0.05,self.S28:0.05,self.S21:0.05},'2012-04-02':{self.S4:0.05,self.S1:0.05,self.S23:0.05,self.S24:0.05,self.S2:0.05,self.S3:0.05,self.S0:0.05,self.S8:0.05,self.S6:0.05,self.S25:0.05,self.S14:0.05,self.S10:0.05,self.S20:0.05,self.S29:0.05,self.S9:0.05,self.S26:0.05,self.S7:0.05,self.S11:0.05,self.S27:0.05,self.S21:0.05},'2012-05-01':{self.S1:0.05,self.S2:0.05,self.S24:0.05,self.S3:0.05,self.S0:0.05,self.S6:0.05,self.S25:0.05,self.S14:0.05,self.S10:0.05,self.S29:0.05,self.S20:0.05,self.S30:0.05,self.S9:0.05,self.S7:0.05,self.S11:0.05,self.S27:0.05,self.S31:0.05,self.S32:0.05,self.S33:0.05,self.S34:0.05},'2012-06-01':{self.S1:0.05,self.S35:0.05,self.S2:0.05,self.S3:0.05,self.S0:0.05,self.S24:0.05,self.S36:0.05,self.S37:0.05,self.S25:0.05,self.S27:0.05,self.S14:0.05,self.S20:0.05,self.S6:0.05,self.S29:0.05,self.S10:0.05,self.S9:0.05,self.S11:0.05,self.S30:0.05,self.S7:0.05,self.S32:0.05},'2012-07-02':{self.S35:0.05,self.S2:0.05,self.S1:0.05,self.S3:0.05,self.S0:0.05,self.S24:0.05,self.S36:0.05,self.S37:0.05,self.S25:0.05,self.S27:0.05,self.S14:0.05,self.S20:0.05,self.S6:0.05,self.S10:0.05,self.S9:0.05,self.S11:0.05,self.S30:0.05,self.S7:0.05,self.S32:0.05,self.S28:0.05},'2012-08-01':{self.S35:0.05,self.S2:0.05,self.S1:0.05,self.S3:0.05,self.S0:0.05,self.S24:0.05,self.S37:0.05,self.S25:0.05,self.S27:0.05,self.S20:0.05,self.S38:0.05,self.S14:0.05,self.S6:0.05,self.S10:0.05,self.S9:0.05,self.S11:0.05,self.S7:0.05,self.S39:0.05,self.S32:0.05,self.S31:0.05},'2012-09-04':{self.S0:0.05,self.S38:0.05,self.S3:0.05,self.S37:0.05,self.S1:0.05,self.S24:0.05,self.S20:0.05,self.S25:0.05,self.S14:0.05,self.S11:0.05,self.S10:0.05,self.S9:0.05,self.S39:0.05,self.S7:0.05,self.S6:0.05,self.S32:0.05,self.S31:0.05,self.S40:0.05,self.S34:0.05,self.S41:0.05},'2012-10-01':{self.S0:0.05,self.S38:0.05,self.S3:0.05,self.S37:0.05,self.S1:0.05,self.S24:0.05,self.S20:0.05,self.S25:0.05,self.S14:0.05,self.S11:0.05,self.S10:0.05,self.S9:0.05,self.S39:0.05,self.S7:0.05,self.S6:0.05,self.S32:0.05,self.S31:0.05,self.S40:0.05,self.S34:0.05,self.S42:0.05},'2012-10-09':{self.TLT:1.0},'2012-11-12':{self.S43:0.05,self.S38:0.05,self.S0:0.05,self.S2:0.05,self.S20:0.05,self.S25:0.05,self.S11:0.05,self.S1:0.05,self.S44:0.05,self.S34:0.05,self.S9:0.05,self.S31:0.05,self.S45:0.05,self.S46:0.05,self.S39:0.05,self.S33:0.05,self.S23:0.05,self.S47:0.05,self.S6:0.05,self.S48:0.05},'2012-12-03':{self.S43:0.05,self.S38:0.05,self.S2:0.05,self.S0:0.05,self.S49:0.05,self.S20:0.05,self.S25:0.05,self.S11:0.05,self.S1:0.05,self.S44:0.05,self.S34:0.05,self.S9:0.05,self.S31:0.05,self.S45:0.05,self.S46:0.05,self.S39:0.05,self.S33:0.05,self.S23:0.05,self.S47:0.05,self.S6:0.05},'2013-01-02':{self.S43:0.05,self.S38:0.05,self.S2:0.05,self.S0:0.05,self.S49:0.05,self.S20:0.05,self.S25:0.05,self.S11:0.05,self.S1:0.05,self.S44:0.05,self.S34:0.05,self.S9:0.05,self.S31:0.05,self.S45:0.05,self.S46:0.05,self.S33:0.05,self.S39:0.05,self.S47:0.05,self.S23:0.05,self.S6:0.05},'2013-02-01':{self.S43:0.05,self.S38:0.05,self.S2:0.05,self.S0:0.05,self.S49:0.05,self.S20:0.05,self.S25:0.05,self.S11:0.05,self.S50:0.05,self.S1:0.05,self.S34:0.05,self.S37:0.05,self.S33:0.05,self.S45:0.05,self.S9:0.05,self.S31:0.05,self.S46:0.05,self.S47:0.05,self.S23:0.05,self.S6:0.05},'2013-03-01':{self.S43:0.05,self.S2:0.05,self.S0:0.05,self.S38:0.05,self.S49:0.05,self.S50:0.05,self.S37:0.05,self.S11:0.05,self.S20:0.05,self.S45:0.05,self.S33:0.05,self.S34:0.05,self.S6:0.05,self.S1:0.05,self.S39:0.05,self.S51:0.05,self.S52:0.05,self.S53:0.05,self.S44:0.05,self.S9:0.05},'2013-04-01':{self.S2:0.05,self.S0:0.05,self.S38:0.05,self.S49:0.05,self.S50:0.05,self.S54:0.05,self.S37:0.05,self.S11:0.05,self.S20:0.05,self.S33:0.05,self.S34:0.05,self.S55:0.05,self.S1:0.05,self.S39:0.05,self.S51:0.05,self.S45:0.05,self.S52:0.05,self.S3:0.05,self.S53:0.05,self.S44:0.05},'2013-04-22':{self.TLT:1.0},'2013-05-24':{self.S2:0.05,self.S0:0.05,self.S38:0.05,self.S49:0.05,self.S34:0.05,self.S50:0.05,self.S11:0.05,self.S37:0.05,self.S56:0.05,self.S57:0.05,self.S39:0.05,self.S3:0.05,self.S43:0.05,self.S20:0.05,self.S58:0.05,self.S45:0.05,self.S53:0.05,self.S8:0.05,self.S5:0.05,self.S44:0.05},'2013-06-03':{self.S2:0.05,self.S0:0.05,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self.S160:0.05},'2019-11-01':{self.S159:0.05,self.S67:0.05,self.S156:0.05,self.S75:0.05,self.S95:0.05,self.S143:0.05,self.S144:0.05,self.S153:0.05,self.S149:0.05,self.S81:0.05,self.S111:0.05,self.S138:0.05,self.S128:0.05,self.S141:0.05,self.S119:0.05,self.S157:0.05,self.S158:0.05,self.S135:0.05,self.S160:0.05,self.S161:0.05},'2019-12-02':{self.S75:0.05,self.S67:0.05,self.S95:0.05,self.S143:0.05,self.S149:0.05,self.S153:0.05,self.S111:0.05,self.S128:0.05,self.S141:0.05,self.S159:0.05,self.S158:0.05,self.S162:0.05,self.S163:0.05,self.S81:0.05,self.S164:0.05,self.S157:0.05,self.S165:0.05,self.S96:0.05,self.S146:0.05,self.S166:0.05},'2020-01-02':{self.S75:0.05,self.S67:0.05,self.S95:0.05,self.S149:0.05,self.S153:0.05,self.S111:0.05,self.S141:0.05,self.S159:0.05,self.S158:0.05,self.S162:0.05,self.S163:0.05,self.S81:0.05,self.S164:0.05,self.S157:0.05,self.S165:0.05,self.S96:0.05,self.S146:0.05,self.S166:0.05,self.S97:0.05,self.S161:0.05},'2020-02-03':{self.S75:0.05,self.S67:0.05,self.S95:0.05,self.S149:0.05,self.S153:0.05,self.S111:0.05,self.S141:0.05,self.S159:0.05,self.S162:0.05,self.S167:0.05,self.S158:0.05,self.S163:0.05,self.S81:0.05,self.S164:0.05,self.S157:0.05,self.S165:0.05,self.S96:0.05,self.S146:0.05,self.S166:0.05,self.S97:0.05},'2020-02-20':{self.TLT:1.0},'2020-04-24':{self.S67:0.05,self.S93:0.05,self.S168:0.05,self.S144:0.05,self.S163:0.05,self.S95:0.05,self.S75:0.05,self.S111:0.05,self.S153:0.05,self.S169:0.05,self.S87:0.05,self.S162:0.05,self.S170:0.05,self.S166:0.05,self.S165:0.05,self.S152:0.05,self.S141:0.05,self.S160:0.05,self.S154:0.05,self.S158:0.05},'2020-05-01':{self.S67:0.05,self.S93:0.05,self.S168:0.05,self.S144:0.05,self.S163:0.05,self.S95:0.05,self.S75:0.05,self.S111:0.05,self.S153:0.05,self.S87:0.05,self.S162:0.05,self.S170:0.05,self.S166:0.05,self.S165:0.05,self.S152:0.05,self.S141:0.05,self.S160:0.05,self.S154:0.05,self.S158:0.05,self.S119:0.05},'2020-06-01':{self.S93:0.05,self.S166:0.05,self.S118:0.05,self.S75:0.05,self.S144:0.05,self.S111:0.05,self.S171:0.05,self.S153:0.05,self.S158:0.05,self.S172:0.05,self.S165:0.05,self.S162:0.05,self.S161:0.05,self.S67:0.05,self.S173:0.05,self.S164:0.05,self.S174:0.05,self.S170:0.05,self.S175:0.05,self.S176:0.05},'2020-07-01':{self.S93:0.05,self.S177:0.05,self.S166:0.05,self.S118:0.05,self.S75:0.05,self.S144:0.05,self.S111:0.05,self.S171:0.05,self.S153:0.05,self.S178:0.05,self.S172:0.05,self.S165:0.05,self.S162:0.05,self.S161:0.05,self.S173:0.05,self.S67:0.05,self.S164:0.05,self.S174:0.05,self.S170:0.05,self.S175:0.05},'2020-08-03':{self.S93:0.05,self.S177:0.05,self.S166:0.05,self.S118:0.05,self.S75:0.05,self.S139:0.05,self.S144:0.05,self.S162:0.05,self.S171:0.05,self.S111:0.05,self.S153:0.05,self.S179:0.05,self.S178:0.05,self.S175:0.05,self.S174:0.05,self.S180:0.05,self.S181:0.05,self.S165:0.05,self.S161:0.05,self.S67:0.05},'2020-09-01':{self.S130:0.05,self.S177:0.05,self.S182:0.05,self.S183:0.05,self.S118:0.05,self.S184:0.05,self.S93:0.05,self.S144:0.05,self.S139:0.05,self.S171:0.05,self.S166:0.05,self.S185:0.05,self.S162:0.05,self.S81:0.05,self.S186:0.05,self.S111:0.05,self.S134:0.05,self.S119:0.05,self.S187:0.05,self.S188:0.05},'2020-10-01':{self.S130:0.05,self.S177:0.05,self.S182:0.05,self.S183:0.05,self.S118:0.05,self.S184:0.05,self.S93:0.05,self.S144:0.05,self.S139:0.05,self.S171:0.05,self.S166:0.05,self.S185:0.05,self.S162:0.05,self.S81:0.05,self.S186:0.05,self.S111:0.05,self.S134:0.05,self.S119:0.05,self.S187:0.05,self.S188:0.05},'2020-11-02':{self.S130:0.05,self.S177:0.05,self.S189:0.05,self.S182:0.05,self.S190:0.05,self.S183:0.05,self.S118:0.05,self.S184:0.05,self.S93:0.05,self.S144:0.05,self.S171:0.05,self.S166:0.05,self.S185:0.05,self.S162:0.05,self.S81:0.05,self.S186:0.05,self.S111:0.05,self.S134:0.05,self.S119:0.05,self.S187:0.05},'2020-12-01':{self.S177:0.05,self.S182:0.05,self.S191:0.05,self.S121:0.05,self.S148:0.05,self.S93:0.05,self.S183:0.05,self.S144:0.05,self.S192:0.05,self.S190:0.05,self.S166:0.05,self.S171:0.05,self.S119:0.05,self.S185:0.05,self.S159:0.05,self.S188:0.05,self.S193:0.05,self.S186:0.05,self.S165:0.05,self.S194:0.05}}
self.Schedule.On(
self.DateRules.EveryDay(),
self.TimeRules.AfterMarketOpen('SPY', 45),
self.rebalance
)
def rebalance(self):
currentDate = self.UtcTime.date()
try:
new_position = self.signals["{}".format(currentDate)]
except:
return
# openOrders = self.Transactions.GetOpenOrders()
# if len(openOrders) > 0:
# for x in openOrders:
# self.Transactions.CancelOrder(x.Id)
invested = [ x.Symbol for x in self.Portfolio.Values if x.Invested ]
invested = dict.fromkeys(invested, 0)
invested.update(new_position)
for sec, weight in invested.items():
self.SetHoldings(sec, weight)
# def OnOrderEvent(self, orderEvent):
# order = self.Transactions.GetOrderById(orderEvent.OrderId)
# if order.Type == OrderType.Market and orderEvent.Status == OrderStatus.Filled and order.Direction == OrderDirection.Buy:
# price = order.Price
# quantity = order.Quantity
# self.StopMarketOrder(order.Symbol, quantity*-1, 0.92 * price)