Overall Statistics |
Total Trades 8708 Average Win 0.00% Average Loss 0.00% Compounding Annual Return -10.401% Drawdown 10.000% Expectancy -0.279 Net Profit -2.817% Sharpe Ratio -0.543 Loss Rate 68% Win Rate 32% Profit-Loss Ratio 1.27 Alpha 0.435 Beta -30.017 Annual Standard Deviation 0.153 Annual Variance 0.023 Information Ratio -0.656 Tracking Error 0.153 Treynor Ratio 0.003 Total Fees $8929.46 |
# https://quantpedia.com/Screener/Details/26 from QuantConnect.Data.UniverseSelection import * import math import numpy as np import pandas as pd import scipy as sp # ---------------------------------------------------------------- # To do # ---------------------------------------------------------------- # x Rebalance Monthly # x Change weighting of positions to equal weights # x Plot development of Breakpoints over time # - Narrow down to single asset (for testing purposes) # - Add calculation of target price # - Overlay covered call strategy linking strikes with breakpoints # - Overlay LT & ST replication (short put & long call) # - Extend to multiple tickers # - Extend to short leg # ---------------------------------------------------------------- # Some Notes # ---------------------------------------------------------------- # self.lowercase variables are variables defined by oneself # self.Uperrcase variables reference QC API class BooktoMarketAnomaly(QCAlgorithm): def Initialize(self): self.Debug('______________________________________________________________________________________________________________________________') self.Debug('Initializing Backtest') self.SetStartDate(2018, 1, 1) self.SetEndDate(2018, 4, 5) self.SetCash(1000000) # Granularity - Daily Resolution self.UniverseSettings.Resolution = Resolution.Daily self.sorted_by_bm = None self.current = [] self.lastMonth = -1 # Universe + Settings self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction) # Benchmark self.SetBenchmark("SPY") self.AddEquity("SPY", Resolution.Daily) # Plotting # Chart - Master Container for the Chart: breakpPlot = Chart('Fundamentals') breakpPlot.AddSeries(Series('Breakpoint-Min', SeriesType.Line)) breakpPlot.AddSeries(Series('Breakpoint-Max', SeriesType.Line)) self.AddChart(breakpPlot) def CoarseSelectionFunction(self, coarse): if self.Time.month == self.lastMonth: return [] self.filtered_coarse = [x.Symbol for x in coarse if (x.HasFundamentalData)] return self.filtered_coarse def FineSelectionFunction(self, fine): if self.Time.month == self.lastMonth: return [] self.lastMonth = self.Time.month # Filter stocks with positive PB Ratio fine = [x for x in fine if (x.ValuationRatios.PBRatio > 0)] # Calculate the market cap and add the "MarketCap" property to fine universe object for i in fine: i.MarketCap = float(i.EarningReports.BasicAverageShares.ThreeMonths * (i.EarningReports.BasicEPS.TwelveMonths*i.ValuationRatios.PERatio)) # Syntax : sorted(iterable, key, reverse) --> reverse means from highest (expensive) to lowest (cheap) top_market_cap = sorted(fine, key = lambda x: x.MarketCap, reverse=True)[:int(len(fine)*0.2)] # sorted stocks in the top market-cap list by book-to-market ratio -> cheapest first top_bm = sorted(top_market_cap, key = lambda x: 1 / x.ValuationRatios.PBRatio, reverse=True)[:int(len(top_market_cap)*0.2)] self.sorted_by_bm = [i.Symbol for i in top_bm] top_bm_sorted = sorted(top_bm, key = lambda x: x.ValuationRatios.PBRatio, reverse=True) top_bm_tickers = [i.Symbol for i in top_bm_sorted] top_bm_ratios = [i.ValuationRatios.PBRatio for i in top_bm_sorted] self.ticker_PB = np.column_stack((top_bm_tickers, top_bm_ratios)) self.Debug('Top PB Ratio ' + str(top_bm_tickers[0]) + ': ' + str(top_bm_ratios[0])) self.Debug('Bottom PB Ratio ' + str(top_bm_tickers[-1]) + ': ' + str(top_bm_ratios[-1])) # Save cut-off breakpoint for plot self.breakpoint_max = max(top_bm_ratios) self.breakpoint_min = min(top_bm_ratios) total_market_cap = np.sum([i.MarketCap for i in top_bm]) # calculate the weight with the market cap self.weights = {} for i in top_bm: self.weights[str(i.Symbol)] = 1/len(self.sorted_by_bm) #i.MarketCap/total_market_cap self.Log(self.ticker_PB) return self.sorted_by_bm # this event fires whenever we have changes to our universe def OnSecuritiesChanged(self, changes): self.changes = changes self.Debug('Universe Changed on ' + str(self.Time)) def OnData(self, data): if self.sorted_by_bm: stocks_invested = [x.Key for x in self.Portfolio if x.Value.Invested] # liquidate stocks not in the trading list for i in stocks_invested: if i not in self.sorted_by_bm: self.Liquidate(i) # goes long stocks with the highest book-to-market ratio for i in self.sorted_by_bm: # Changed this to simple weight +1 for single asset self.SetHoldings(i, self.weights[str(i)]) if self.current == self.sorted_by_bm: self.Debug('True') else: self.Debug('False') self.current = self.sorted_by_bm # Later in your OnData(self, data): self.Plot('Fundamentals', 'Breakpoint Min', self.breakpoint_min) self.Plot('Fundamentals', 'Breakpoint Max', self.breakpoint_max)