Overall Statistics |
Total Trades 329 Average Win 0.76% Average Loss -0.59% Compounding Annual Return -1.112% Drawdown 11.300% Expectancy -0.021 Net Profit -0.480% Sharpe Ratio -0.023 Probabilistic Sharpe Ratio 21.127% Loss Rate 57% Win Rate 43% Profit-Loss Ratio 1.28 Alpha 0.017 Beta -0.266 Annual Standard Deviation 0.104 Annual Variance 0.011 Information Ratio -0.157 Tracking Error 0.49 Treynor Ratio 0.009 Total Fees $333.74 Estimated Strategy Capacity $3100000000.00 Lowest Capacity Asset LLY R735QTJ8XC9X Portfolio Turnover 67.78% |
from AlgorithmImports import * class ETFConstituentsDataAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 1, 1) self.SetEndDate(2020, 6, 6) self.SetCash(100000) self.UniverseSettings.Resolution = Resolution.Daily # Requesting data self.spy = self.AddEquity("SPY").Symbol self.AddUniverse(self.Universe.ETF(self.spy, self.UniverseSettings, self.ETFConstituentsFilter)) self.weightBySymbol = {} self.Schedule.On( self.DateRules.EveryDay(self.spy), self.TimeRules.AfterMarketOpen(self.spy, 1), self.Rebalance) def ETFConstituentsFilter(self, constituents): # Get the 10 securities with the largest weight in the index selected = sorted([c for c in constituents if c.Weight], key=lambda c: c.Weight, reverse=True) self.weightBySymbol = {c.Symbol: c.Weight for c in selected} self.Log(self.weightBySymbol) return list(self.weightBySymbol.keys()) def Rebalance(self): spyWeight = sum(self.weightBySymbol.values()) if spyWeight > 0: for symbol in self.Portfolio.Keys: if symbol not in self.weightBySymbol: self.Liquidate(symbol) for symbol, weight in self.weightBySymbol.items(): self.SetHoldings(symbol, 0.5 * weight / spyWeight) self.SetHoldings(self.spy, -0.5) def OnSecuritiesChanged(self, changes): for security in changes.RemovedSecurities: if security.Invested: self.Liquidate(security.Symbol, 'Removed From Universe') for security in changes.AddedSecurities: # Historical data history = self.History(security.Symbol, 7, Resolution.Daily) self.Debug(f'We got {len(history)} from our history request for {security.Symbol}')