Overall Statistics
Total Trades
25
Average Win
17.16%
Average Loss
-4.30%
Compounding Annual Return
9.012%
Drawdown
31.500%
Expectancy
0.663
Net Profit
32.269%
Sharpe Ratio
0.47
Probabilistic Sharpe Ratio
11.778%
Loss Rate
67%
Win Rate
33%
Profit-Loss Ratio
3.99
Alpha
0.066
Beta
0.116
Annual Standard Deviation
0.16
Annual Variance
0.025
Information Ratio
-0.015
Tracking Error
0.239
Treynor Ratio
0.646
Total Fees
$25.00
Estimated Strategy Capacity
$540000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
Portfolio Turnover
2.09%
 

#region imports
from AlgorithmImports import *
#endregion


class CPIData(PythonData):
    # 12-month unadjusted CPI data
    # Source: https://www.bls.gov/charts/consumer-price-index/consumer-price-index-by-category-line-chart.htm
    # Release dates source: https://www.bls.gov/bls/news-release/cpi.htm

    def GetSource(self,
         config: SubscriptionDataConfig,
         date: datetime,
         isLive: bool) -> SubscriptionDataSource:
        return SubscriptionDataSource("https://www.dropbox.com/s/f02a9htg6pyhf9p/CPI%20data%201.csv?dl=1", SubscriptionTransportMedium.RemoteFile)

    def Reader(self,
         config: SubscriptionDataConfig,
         line: str,
         date: datetime,
         isLive: bool) -> BaseData:

        if not (line.strip()):
            return None

        cpi = CPIData()
        cpi.Symbol = config.Symbol

        try:
            def parse(pct):
                return float(pct[:-1]) / 100

            data = line.split(',')
            cpi.EndTime = datetime.strptime(data[0], "%m%d%Y %H:%M %p")
            cpi["month"] = data[1]
            cpi['all-items'] = parse(data[2])
            cpi['food'] = parse(data[3])
            cpi['food-at-home'] = parse(data[4])
            cpi['food-away-from-home'] = parse(data[5])
            cpi['energy'] = parse(data[6])
            cpi['gasoline'] = parse(data[7])
            cpi['electricity'] = parse(data[8])
            cpi['natural-gas'] = parse(data[9])
            cpi['all-items-less-food-and-energy'] = parse(data[10])
            cpi['commodities-less-food-and-energy-commodities'] = parse(data[11])
            cpi['apparel'] = parse(data[12])
            cpi['new-vehicles'] = parse(data[13])
            cpi['medical-car-commodities'] = parse(data[14])
            cpi['services-less-energy-services'] = parse(data[15])
            cpi['shelter'] = parse(data[16])
            cpi['medical-care-services'] = parse(data[17])
            cpi['education-and-communication'] = parse(data[18])
            
            cpi.Value = cpi['all-items-less-food-and-energy']


        except ValueError:
            # Do nothing
            return None

        return cpi
#region imports
from AlgorithmImports import *
#endregion
import numpy as np
from datetime import datetime
import matplotlib.pyplot as plt
from AlgorithmImports import *
from CPI import CPIData

# -------------------------------------------------------------------------
STK = ['QQQ']; BND = ['TLT']; VOLA = 126; BASE_RET = 85; DAY = 85 ;LEV = 1.00  #855 
LEV = 1.00  #85
LEV = 1.00;  #85
PAIRS = ['SLV', 'GLD', 'XLI', 'XLU', 'DBB', 'UUP'] ; res = Resolution.Daily
# -------------------------------------------------------------------------
class DualMomentumInOut(QCAlgorithm):

    def Initialize(self):
       
        self.SetStartDate(2020,1,1)
       # self.SetEndDate(2010,1,1)
        self.cap = 10000 #Settare il Capitale Iniziale
        self.SetCash(self.cap) 
        self.AddEquity('SPY', res).Symbol 
        self.SetBenchmark('SPY')
        
        self.STK = self.AddEquity('SPY', res).Symbol
        self.BND = self.AddEquity('TLT', res).Symbol

        self.ASSETS = [self.STK, self.BND]

        self.SLV = self.AddEquity('SLV', res).Symbol  
        self.GLD = self.AddEquity('GLD', res).Symbol  
        self.XLI = self.AddEquity('XLI', res).Symbol 
        self.XLU = self.AddEquity('XLU', res).Symbol
        self.DBB = self.AddEquity('DBB', res).Symbol  
        self.UUP = self.AddEquity('UUP', res).Symbol
       # self.SPY = self.AddEquity('SPY', res).Symbol
       # self.TLT = self.AddEquity('TLT', res).Symbol
        self.MKT = self.AddEquity('SPY', res).Symbol 
        self.BNCH = self.AddEquity('SPY', res).Symbol
        self.pairs = [self.XLI, self.XLU, self.GLD, self.SLV, self.DBB, self.UUP] #self.TVC, self.TIP
        
        self.bull = 1        
        self.count = 0 
        self.outday = 0        
        self.wt = {}
        self.real_wt = {}
        self.mkt = []
        self.SetWarmUp(timedelta(350))
        self.cpi = self.AddData(CPIData, "CPI")

        # Aggiungi un grafico per plottare il CPI
        chart = Chart("CPI")
        series = Series("CPI", SeriesType.Line)
        chart.AddSeries(series)
        self.AddChart(chart)

        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 100), #100), #1000), #1005 0), #100), #1000), #100100), #100), #1000), #1005 0), #100), #1000), #100
            self.daily_check)
        
        
        symbols = [self.MKT] + self.pairs
        for symbol in symbols:
            self.consolidator = TradeBarConsolidator(timedelta(days=1))
            self.consolidator.DataConsolidated += self.consolidation_handler
            self.SubscriptionManager.AddConsolidator(symbol, self.consolidator)
        
        self.history = self.History(symbols, VOLA + 1, Resolution.Daily)
        if self.history.empty or 'close' not in self.history.columns:
            return
        self.history = self.history['close'].unstack(level=0).dropna()
        
        
    def consolidation_handler(self, sender, consolidated):
        
        self.history.loc[consolidated.EndTime, consolidated.Symbol] = consolidated.Close
        self.history = self.history.iloc[-(VOLA + 1):] 
        

    def daily_check(self):
        
        vola =0.7*( self.history[[self.MKT]].pct_change().std() * np.sqrt(252))
        wait_days = int(vola * DAY)
        self.Debug('{}'.format(wait_days))
        period = int((1.0 - vola) * BASE_RET)        
        r = self.history.pct_change(period).iloc[-1]

        exit = (r[self.XLI] < r[self.XLU]) and (r[self.SLV] < r[self.GLD])  and  (r[self.DBB] < r[self.UUP]) 
       
        
            
        
        if exit:
            self.bull = False
            self.outday = self.count
        if self.count >= self.outday + wait_days:
            self.bull = True
        self.count += 1

        if not self.bull:
            for sec in self.ASSETS:    
                self.wt[sec] = LEV if sec is self.BND else 0 
            self.trade() 

        elif self.bull:
            for sec in self.ASSETS:
                self.wt[sec] = LEV if sec is self.STK else 0 
            self.trade()  
        

        
                    
    def trade(self):

        for sec, weight in self.wt.items():
            if weight == 0 and self.Portfolio[sec].IsLong:
                self.Liquidate(sec)
                
            cond1 = weight == 0 and self.Portfolio[sec].IsLong
            cond2 = weight > 0 and not self.Portfolio[sec].Invested
            if cond1 or cond2:
                self.SetHoldings(sec, weight)
            
                    
    def OnEndOfDay(self):
        vola = self.history[[self.MKT]].pct_change().std() * np.sqrt(252)
        period = int((1.0 - vola) * (BASE_RET))
        r = self.history.pct_change(period).iloc[-1]
        
        rGLD = round(((r[self.GLD] - r[self.SLV]) * 50), 100)
        rXLU = round(((r[self.XLU] - r[self.XLI]) * 50), 100)
        rUUP = round(((r[self.UUP] - r[self.DBB]) * 50), 100)
       # rI = round(((r[self.RINF] - r[self.TLT]) * 50), 100)

        
        self.Plot('ROC', 'GOLD/SLV', rGLD)
        self.Plot('ROC', 'XLU/XLI', rXLU)
        self.Plot('ROC', 'UUP/DBB', rUUP)
      #  self.Plot('ROC', 'RINF/TLT', rI)
         
        vola = self.history[[self.MKT]].pct_change().std() * np.sqrt(252)
        wait_days = int(vola * DAY)
        
        self.Plot('Wait_days', 'Days', wait_days)

       # mkt_price = self.Securities[self.BNCH].Close
        #self.mkt.append(mkt_price)
        #mkt_perf = self.mkt[-1] / self.mkt[0] * self.cap
        #self.Plot('Strategy Equity', 'SPY', mkt_perf)
        
        account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue
        self.Plot('Holdings', 'leverage', round(account_leverage, 1))



        # Crea una istanza della classe CPIData come simbolo personalizzato
 
    def OnData(self, data):
        if not data.ContainsKey("CPI"):
            return

        # Ottieni il valore del CPI dal simbolo personalizzato
        cpi = data["CPI"].Value

        # Aggiorna il valore del CPI sul grafico
        self.Plot("CPI", "CPI", cpi)