| Overall Statistics |
|
Total Trades 1692 Average Win 0.81% Average Loss -0.43% Compounding Annual Return 30.357% Drawdown 17.200% Expectancy 0.944 Net Profit 3065.301% Sharpe Ratio 1.899 Probabilistic Sharpe Ratio 98.992% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 1.88 Alpha 0.31 Beta 0.066 Annual Standard Deviation 0.17 Annual Variance 0.029 Information Ratio 0.491 Tracking Error 0.269 Treynor Ratio 4.873 Total Fees $2303.85 |
import pandas as pd
import numpy as np
class LiquidUniverseSelection(QCAlgorithm):
def Initialize(self):
self.SetBenchmark("QQQ")
self.SetStartDate(2008, 1, 1)
self.SetEndDate(2021,1,10)
self.SetCash(10000)
self.max_loss_frac = 0.15
self.asset_best_price = {}
res = Resolution.Hour
self.MRKT = self.AddEquity('SPY', res).Symbol
self.TLT = self.AddEquity('TLT', res).Symbol
self.S0=self.AddEquity('WTI',res).Symbol
self.S1=self.AddEquity('HP',res).Symbol
self.S2=self.AddEquity('APA',res).Symbol
self.S3=self.AddEquity('VAR',res).Symbol
self.S4=self.AddEquity('EOG',res).Symbol
self.S5=self.AddEquity('XEC',res).Symbol
self.S6=self.AddEquity('MD',res).Symbol
self.S7=self.AddEquity('GILD',res).Symbol
self.S8=self.AddEquity('CHRW',res).Symbol
self.S9=self.AddEquity('DVN',res).Symbol
self.S10=self.AddEquity('COG',res).Symbol
self.S11=self.AddEquity('OXY',res).Symbol
self.S12=self.AddEquity('OVV',res).Symbol
self.S13=self.AddEquity('SPXC',res).Symbol
self.S14=self.AddEquity('HLF',res).Symbol
self.S15=self.AddEquity('SR',res).Symbol
self.S16=self.AddEquity('CPRT',res).Symbol
self.S17=self.AddEquity('ZBH',res).Symbol
self.S18=self.AddEquity('WLL',res).Symbol
self.S19=self.AddEquity('HAL',res).Symbol
self.S20=self.AddEquity('HAS',res).Symbol
self.S21=self.AddEquity('FAST',res).Symbol
self.S22=self.AddEquity('SLB',res).Symbol
self.S23=self.AddEquity('AMGN',res).Symbol
self.S24=self.AddEquity('IT',res).Symbol
self.S25=self.AddEquity('STRA',res).Symbol
self.S26=self.AddEquity('ROST',res).Symbol
self.S27=self.AddEquity('LUV',res).Symbol
self.S28=self.AddEquity('LOW',res).Symbol
self.S29=self.AddEquity('AZO',res).Symbol
self.S30=self.AddEquity('MLHR',res).Symbol
self.S31=self.AddEquity('HSY',res).Symbol
self.S32=self.AddEquity('INTU',res).Symbol
self.S33=self.AddEquity('BR',res).Symbol
self.S34=self.AddEquity('CPSI',res).Symbol
self.S35=self.AddEquity('BKNG',res).Symbol
self.S36=self.AddEquity('NXGN',res).Symbol
self.S37=self.AddEquity('GLW',res).Symbol
self.S38=self.AddEquity('MO',res).Symbol
self.S39=self.AddEquity('ORCL',res).Symbol
self.S40=self.AddEquity('JACK',res).Symbol
self.S41=self.AddEquity('GOOG',res).Symbol
self.S42=self.AddEquity('GOOGL',res).Symbol
self.S43=self.AddEquity('JCOM',res).Symbol
self.S44=self.AddEquity('QCOM',res).Symbol
self.S45=self.AddEquity('DLB',res).Symbol
self.S46=self.AddEquity('CTSH',res).Symbol
self.S47=self.AddEquity('CUK',res).Symbol
self.S48=self.AddEquity('APH',res).Symbol
self.S49=self.AddEquity('ADBE',res).Symbol
self.S50=self.AddEquity('EBAY',res).Symbol
self.S51=self.AddEquity('ISRG',res).Symbol
self.S52=self.AddEquity('TDC',res).Symbol
self.S53=self.AddEquity('CEQP',res).Symbol
self.S54=self.AddEquity('WAT',res).Symbol
self.S55=self.AddEquity('MSTR',res).Symbol
self.S56=self.AddEquity('CF',res).Symbol
self.S57=self.AddEquity('MSFT',res).Symbol
self.S58=self.AddEquity('WDC',res).Symbol
self.S59=self.AddEquity('EHC',res).Symbol
self.S60=self.AddEquity('HPQ',res).Symbol
self.S61=self.AddEquity('DISCA',res).Symbol
self.S62=self.AddEquity('BKH',res).Symbol
self.S63=self.AddEquity('UHS',res).Symbol
self.S64=self.AddEquity('ABC',res).Symbol
self.S65=self.AddEquity('GPN',res).Symbol
self.S66=self.AddEquity('CMP',res).Symbol
self.S67=self.AddEquity('ATGE',res).Symbol
self.S68=self.AddEquity('GIS',res).Symbol
self.S69=self.AddEquity('CAH',res).Symbol
self.S70=self.AddEquity('DTE',res).Symbol
self.S71=self.AddEquity('OGE',res).Symbol
self.S72=self.AddEquity('COST',res).Symbol
self.S73=self.AddEquity('CMS',res).Symbol
self.S74=self.AddEquity('FLIR',res).Symbol
self.S75=self.AddEquity('TDS',res).Symbol
self.S76=self.AddEquity('SAFM',res).Symbol
self.S77=self.AddEquity('MMS',res).Symbol
self.S78=self.AddEquity('MNST',res).Symbol
self.S79=self.AddEquity('SPH',res).Symbol
self.S80=self.AddEquity('LANC',res).Symbol
self.S81=self.AddEquity('CHE',res).Symbol
self.S82=self.AddEquity('TJX',res).Symbol
self.S83=self.AddEquity('ALXN',res).Symbol
self.S84=self.AddEquity('HI',res).Symbol
self.S85=self.AddEquity('AAP',res).Symbol
self.S86=self.AddEquity('VRSN',res).Symbol
self.S87=self.AddEquity('GHC',res).Symbol
self.S88=self.AddEquity('PM',res).Symbol
self.S89=self.AddEquity('SJT',res).Symbol
self.S90=self.AddEquity('D',res).Symbol
self.S91=self.AddEquity('ES',res).Symbol
self.S92=self.AddEquity('BMY',res).Symbol
self.S93=self.AddEquity('AEE',res).Symbol
self.S94=self.AddEquity('MCD',res).Symbol
self.S95=self.AddEquity('KDP',res).Symbol
self.S96=self.AddEquity('MGLN',res).Symbol
self.S97=self.AddEquity('DLTR',res).Symbol
self.S98=self.AddEquity('MUR',res).Symbol
self.S99=self.AddEquity('MASI',res).Symbol
self.S100=self.AddEquity('IDCC',res).Symbol
self.S101=self.AddEquity('TXN',res).Symbol
self.S102=self.AddEquity('ARLP',res).Symbol
self.S103=self.AddEquity('EPD',res).Symbol
self.S104=self.AddEquity('HES',res).Symbol
self.S105=self.AddEquity('NRP',res).Symbol
self.S106=self.AddEquity('ADI',res).Symbol
self.S107=self.AddEquity('BIIB',res).Symbol
self.S108=self.AddEquity('COP',res).Symbol
self.S109=self.AddEquity('PXD',res).Symbol
self.S110=self.AddEquity('EQT',res).Symbol
self.S111=self.AddEquity('CMCSA',res).Symbol
self.S112=self.AddEquity('CSX',res).Symbol
self.S113=self.AddEquity('DISH',res).Symbol
self.S114=self.AddEquity('PNM',res).Symbol
self.S115=self.AddEquity('DD',res).Symbol
self.S116=self.AddEquity('CVX',res).Symbol
self.S117=self.AddEquity('JBHT',res).Symbol
self.S118=self.AddEquity('NSC',res).Symbol
self.S119=self.AddEquity('DPZ',res).Symbol
self.S120=self.AddEquity('NRG',res).Symbol
self.S121=self.AddEquity('FLO',res).Symbol
self.S122=self.AddEquity('WMB',res).Symbol
self.S123=self.AddEquity('TECH',res).Symbol
self.S124=self.AddEquity('BAX',res).Symbol
self.S125=self.AddEquity('SAM',res).Symbol
self.S126=self.AddEquity('MANH',res).Symbol
self.S127=self.AddEquity('KLAC',res).Symbol
self.S128=self.AddEquity('CHH',res).Symbol
self.S129=self.AddEquity('PAA',res).Symbol
self.S130=self.AddEquity('CHTR',res).Symbol
self.S131=self.AddEquity('VRSK',res).Symbol
self.S132=self.AddEquity('YUM',res).Symbol
self.S133=self.AddEquity('ANSS',res).Symbol
self.S134=self.AddEquity('JKHY',res).Symbol
self.S135=self.AddEquity('UNP',res).Symbol
self.S136=self.AddEquity('AAPL',res).Symbol
self.S137=self.AddEquity('WYND',res).Symbol
self.S138=self.AddEquity('SHW',res).Symbol
self.S139=self.AddEquity('INTC',res).Symbol
self.S140=self.AddEquity('MSGN',res).Symbol
self.S141=self.AddEquity('DISCK',res).Symbol
self.S142=self.AddEquity('UTHR',res).Symbol
self.S143=self.AddEquity('DDS',res).Symbol
self.S144=self.AddEquity('TGNA',res).Symbol
self.S145=self.AddEquity('PDLI',res).Symbol
self.S146=self.AddEquity('AN',res).Symbol
self.S147=self.AddEquity('WBA',res).Symbol
self.S148=self.AddEquity('IP',res).Symbol
self.S149=self.AddEquity('AVY',res).Symbol
self.S150=self.AddEquity('TRGP',res).Symbol
self.S151=self.AddEquity('UVV',res).Symbol
self.S152=self.AddEquity('SCHL',res).Symbol
self.S153=self.AddEquity('ALK',res).Symbol
self.S154=self.AddEquity('F',res).Symbol
self.S155=self.AddEquity('QRTEA',res).Symbol
self.S156=self.AddEquity('SWM',res).Symbol
self.S157=self.AddEquity('TTC',res).Symbol
self.S158=self.AddEquity('MSM',res).Symbol
self.S159=self.AddEquity('LB',res).Symbol
self.S160=self.AddEquity('NLOK',res).Symbol
self.S161=self.AddEquity('SATS',res).Symbol
self.S162=self.AddEquity('LEA',res).Symbol
self.S163=self.AddEquity('CLW',res).Symbol
self.S164=self.AddEquity('EPC',res).Symbol
self.S165=self.AddEquity('LYV',res).Symbol
self.S166=self.AddEquity('RHI',res).Symbol
self.S167=self.AddEquity('VRNT',res).Symbol
self.S168=self.AddEquity('LDOS',res).Symbol
self.S169=self.AddEquity('NOC',res).Symbol
self.S170=self.AddEquity('NKE',res).Symbol
self.S171=self.AddEquity('HURN',res).Symbol
self.S172=self.AddEquity('BKE',res).Symbol
self.S173=self.AddEquity('GPS',res).Symbol
self.S174=self.AddEquity('PII',res).Symbol
self.S175=self.AddEquity('JBL',res).Symbol
self.S176=self.AddEquity('SBUX',res).Symbol
self.S177=self.AddEquity('KAR',res).Symbol
self.S178=self.AddEquity('LHX',res).Symbol
self.S179=self.AddEquity('APD',res).Symbol
self.S180=self.AddEquity('SM',res).Symbol
self.S181=self.AddEquity('OIS',res).Symbol
self.S182=self.AddEquity('PZZA',res).Symbol
self.S183=self.AddEquity('IDXX',res).Symbol
self.S184=self.AddEquity('OLN',res).Symbol
self.S185=self.AddEquity('R',res).Symbol
self.S186=self.AddEquity('NEU',res).Symbol
self.S187=self.AddEquity('PSX',res).Symbol
self.S188=self.AddEquity('LMT',res).Symbol
self.S189=self.AddEquity('CBT',res).Symbol
self.S190=self.AddEquity('FUN',res).Symbol
self.S191=self.AddEquity('JW-A',res).Symbol
self.S192=self.AddEquity('KNX',res).Symbol
self.S193=self.AddEquity('CBRE',res).Symbol
self.S194=self.AddEquity('MDU',res).Symbol
self.S195=self.AddEquity('EXC',res).Symbol
self.S196=self.AddEquity('ODFL',res).Symbol
self.S197=self.AddEquity('ETR',res).Symbol
self.S198=self.AddEquity('NJR',res).Symbol
self.S199=self.AddEquity('PEG',res).Symbol
self.S200=self.AddEquity('CORE',res).Symbol
self.S201=self.AddEquity('LYB',res).Symbol
self.S202=self.AddEquity('LUMN',res).Symbol
self.S203=self.AddEquity('TCP',res).Symbol
self.S204=self.AddEquity('XRX',res).Symbol
self.S205=self.AddEquity('CNC',res).Symbol
self.S206=self.AddEquity('CBRL',res).Symbol
self.S207=self.AddEquity('AXL',res).Symbol
self.S208=self.AddEquity('BAH',res).Symbol
self.S209=self.AddEquity('ORLY',res).Symbol
self.S210=self.AddEquity('MIC',res).Symbol
self.S211=self.AddEquity('DIS',res).Symbol
self.S212=self.AddEquity('CCK',res).Symbol
self.S213=self.AddEquity('ROL',res).Symbol
self.S214=self.AddEquity('HCA',res).Symbol
self.S215=self.AddEquity('CAG',res).Symbol
self.S216=self.AddEquity('GT',res).Symbol
self.S217=self.AddEquity('EA',res).Symbol
self.S218=self.AddEquity('NI',res).Symbol
self.S219=self.AddEquity('CLX',res).Symbol
self.S220=self.AddEquity('HRB',res).Symbol
self.S221=self.AddEquity('SWX',res).Symbol
self.S222=self.AddEquity('FISV',res).Symbol
self.S223=self.AddEquity('IPG',res).Symbol
self.S224=self.AddEquity('PAYX',res).Symbol
self.S225=self.AddEquity('CNP',res).Symbol
self.S226=self.AddEquity('VZ',res).Symbol
self.S227=self.AddEquity('EIX',res).Symbol
self.S228=self.AddEquity('UGI',res).Symbol
self.S229=self.AddEquity('RS',res).Symbol
self.S230=self.AddEquity('VC',res).Symbol
self.S231=self.AddEquity('GGG',res).Symbol
self.S232=self.AddEquity('MIK',res).Symbol
self.S233=self.AddEquity('NFG',res).Symbol
self.S234=self.AddEquity('CMC',res).Symbol
self.S235=self.AddEquity('PKG',res).Symbol
self.S236=self.AddEquity('TSN',res).Symbol
self.S237=self.AddEquity('MUSA',res).Symbol
self.S238=self.AddEquity('DG',res).Symbol
self.S239=self.AddEquity('DLX',res).Symbol
self.S240=self.AddEquity('NTGR',res).Symbol
self.S241=self.AddEquity('AES',res).Symbol
self.S242=self.AddEquity('SAIC',res).Symbol
self.S243=self.AddEquity('EGOV',res).Symbol
self.S244=self.AddEquity('THO',res).Symbol
self.S245=self.AddEquity('USPH',res).Symbol
self.S246=self.AddEquity('LCII',res).Symbol
self.S247=self.AddEquity('SPB',res).Symbol
self.S248=self.AddEquity('AEIS',res).Symbol
self.S249=self.AddEquity('FICO',res).Symbol
self.S250=self.AddEquity('AZPN',res).Symbol
self.S251=self.AddEquity('SNX',res).Symbol
self.S252=self.AddEquity('RP',res).Symbol
self.S253=self.AddEquity('GNTX',res).Symbol
self.S254=self.AddEquity('XPER',res).Symbol
self.S255=self.AddEquity('BHE',res).Symbol
self.S256=self.AddEquity('FL',res).Symbol
self.S257=self.AddEquity('AMAT',res).Symbol
self.S258=self.AddEquity('FFIV',res).Symbol
self.S259=self.AddEquity('GATX',res).Symbol
self.S260=self.AddEquity('MDP',res).Symbol
self.S261=self.AddEquity('UI',res).Symbol
self.S262=self.AddEquity('DAL',res).Symbol
self.S263=self.AddEquity('AL',res).Symbol
self.S264=self.AddEquity('LOPE',res).Symbol
self.S265=self.AddEquity('BG',res).Symbol
self.S266=self.AddEquity('NEP',res).Symbol
self.S267=self.AddEquity('SANM',res).Symbol
self.S268=self.AddEquity('TBI',res).Symbol
self.S269=self.AddEquity('TUP',res).Symbol
self.S270=self.AddEquity('AMZN',res).Symbol
self.S271=self.AddEquity('MTD',res).Symbol
self.S272=self.AddEquity('NVR',res).Symbol
self.S273=self.AddEquity('CDNS',res).Symbol
self.S274=self.AddEquity('MCK',res).Symbol
self.S275=self.AddEquity('PPC',res).Symbol
self.S276=self.AddEquity('FB',res).Symbol
self.S277=self.AddEquity('PAYC',res).Symbol
self.S278=self.AddEquity('OI',res).Symbol
self.S279=self.AddEquity('PARR',res).Symbol
self.S280=self.AddEquity('IPGP',res).Symbol
self.S281=self.AddEquity('PENN',res).Symbol
self.S282=self.AddEquity('TRN',res).Symbol
self.S283=self.AddEquity('NPO',res).Symbol
self.S284=self.AddEquity('GM',res).Symbol
self.S285=self.AddEquity('FOR',res).Symbol
self.S286=self.AddEquity('BF-B',res).Symbol
self.S287=self.AddEquity('URI',res).Symbol
self.S288=self.AddEquity('BURL',res).Symbol
self.S289=self.AddEquity('TSCO',res).Symbol
self.S290=self.AddEquity('SAIA',res).Symbol
self.S291=self.AddEquity('NSP',res).Symbol
self.S292=self.AddEquity('POOL',res).Symbol
self.S293=self.AddEquity('JLL',res).Symbol
self.S294=self.AddEquity('TPL',res).Symbol
self.S295=self.AddEquity('BBY',res).Symbol
self.S296=self.AddEquity('MGRC',res).Symbol
self.S297=self.AddEquity('MPC',res).Symbol
self.S298=self.AddEquity('WMK',res).Symbol
self.S299=self.AddEquity('CHDN',res).Symbol
self.S300=self.AddEquity('MTN',res).Symbol
self.S301=self.AddEquity('REGN',res).Symbol
self.S302=self.AddEquity('VRTX',res).Symbol
self.S303=self.AddEquity('SEE',res).Symbol
self.S304=self.AddEquity('AVGO',res).Symbol
self.S305=self.AddEquity('NXST',res).Symbol
self.S306=self.AddEquity('SBGI',res).Symbol
self.S307=self.AddEquity('SUN',res).Symbol
self.S308=self.AddEquity('PRGS',res).Symbol
self.S309=self.AddEquity('AMWD',res).Symbol
self.S310=self.AddEquity('MAS',res).Symbol
self.S311=self.AddEquity('VVV',res).Symbol
self.S312=self.AddEquity('CABO',res).Symbol
self.S313=self.AddEquity('CTAS',res).Symbol
self.S314=self.AddEquity('LW',res).Symbol
self.S315=self.AddEquity('CDW',res).Symbol
self.S316=self.AddEquity('WERN',res).Symbol
self.S317=self.AddEquity('JBSS',res).Symbol
self.S318=self.AddEquity('BMCH',res).Symbol
self.S319=self.AddEquity('MED',res).Symbol
self.S320=self.AddEquity('WING',res).Symbol
self.S321=self.AddEquity('CORT',res).Symbol
self.S322=self.AddEquity('FIZZ',res).Symbol
self.S323=self.AddEquity('FTNT',res).Symbol
self.S324=self.AddEquity('SWKS',res).Symbol
self.S325=self.AddEquity('ABMD',res).Symbol
self.S326=self.AddEquity('SFM',res).Symbol
self.S327=self.AddEquity('TER',res).Symbol
self.S328=self.AddEquity('UPS',res).Symbol
self.S329=self.AddEquity('RGR',res).Symbol
self.S330=self.AddEquity('PWR',res).Symbol
self.S331=self.AddEquity('TGT',res).Symbol
self.S332=self.AddEquity('LGF-A',res).Symbol
self.S333=self.AddEquity('RUSHA',res).Symbol
self.S334=self.AddEquity('PRSC',res).Symbol
self.S335=self.AddEquity('WHR',res).Symbol
self.S336=self.AddEquity('HDS',res).Symbol
self.S337=self.AddEquity('BPMC',res).Symbol
self.S338=self.AddEquity('WDFC',res).Symbol
self.S339=self.AddEquity('PSMT',res).Symbol
self.signals = 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.1,self.S87:0.1,self.S213:0.1,self.S209:0.1,self.S214:0.1,self.S119:0.1,self.S175:0.1},'2015-06-18':{self.TLT:1},'2015-07-01':{self.S182:0.1,self.S151:0.1,self.S176:0.1,self.S119:0.1,self.S213:0.1,self.S215:0.1,self.S81:0.1,self.S87:0.1,self.S115:0.1,self.S144:0.1},'2015-07-08':{self.TLT:1},'2015-10-23':{self.S159:0.1,self.S176:0.1,self.S216:0.1,self.S82:0.1,self.S217:0.1,self.S218:0.1,self.S33:0.1,self.S209:0.1,self.S219:0.1,self.S169:0.1},'2015-11-02':{self.S220:0.1,self.S209:0.1,self.S221:0.1,self.S176:0.1,self.S222:0.1,self.S159:0.1,self.S30:0.1,self.S162:0.1,self.S169:0.1,self.S134:0.1},'2015-12-01':{self.S126:0.1,self.S81:0.1,self.S223:0.1,self.S209:0.1,self.S162:0.1,self.S169:0.1,self.S176:0.1,self.S30:0.1,self.S224:0.1,self.S139:0.1},'2015-12-21':{self.TLT:1},'2016-03-09':{self.S76:0.1,self.S198:0.1,self.S218:0.1,self.S195:0.1,self.S73:0.1,self.S221:0.1,self.S225:0.1,self.S226:0.1,self.S227:0.1,self.S228:0.1},'2016-04-01':{self.S202:0.1,self.S76:0.1,self.S119:0.1,self.S229:0.1,self.S230:0.1,self.S195:0.1,self.S218:0.1,self.S226:0.1,self.S231:0.1,self.S138:0.1},'2016-05-02':{self.S229:0.1,self.S195:0.1,self.S75:0.1,self.S230:0.1,self.S225:0.1,self.S218:0.1,self.S227:0.1,self.S157:0.1,self.S228:0.1,self.S214:0.1},'2016-06-01':{self.S232:0.1,self.S229:0.1,self.S233:0.1,self.S234:0.1,self.S195:0.1,self.S59:0.1,self.S116:0.1,self.S235:0.1,self.S228:0.1,self.S236:0.1},'2016-07-01':{self.S16:0.1,self.S206:0.1,self.S237:0.1,self.S228:0.1,self.S182:0.1,self.S238:0.1,self.S239:0.1,self.S33:0.1,self.S240:0.1,self.S241:0.1},'2016-08-01':{self.S16:0.1,self.S160:0.1,self.S242:0.1,self.S243:0.1,self.S244:0.1,self.S245:0.1,self.S228:0.1,self.S101:0.1,self.S177:0.1,self.S241:0.1},'2016-09-01':{self.S246:0.1,self.S244:0.1,self.S182:0.1,self.S242:0.1,self.S247:0.1,self.S248:0.1,self.S101:0.1,self.S249:0.1,self.S243:0.1,self.S250:0.1},'2016-10-03':{self.S248:0.1,self.S182:0.1,self.S250:0.1,self.S251:0.1,self.S242:0.1,self.S252:0.1,self.S101:0.1,self.S253:0.1,self.S247:0.1,self.S243:0.1},'2016-11-01':{self.S248:0.1,self.S254:0.1,self.S242:0.1,self.S119:0.1,self.S168:0.1,self.S251:0.1,self.S161:0.1,self.S175:0.1,self.S16:0.1,self.S136:0.1},'2016-12-01':{self.S242:0.1,self.S119:0.1,self.S248:0.1,self.S196:0.1,self.S182:0.1,self.S255:0.1,self.S153:0.1,self.S254:0.1,self.S256:0.1,self.S257:0.1},'2017-01-03':{self.S153:0.1,self.S196:0.1,self.S242:0.1,self.S248:0.1,self.S254:0.1,self.S157:0.1,self.S208:0.1,self.S117:0.1,self.S258:0.1,self.S162:0.1},'2017-02-01':{self.S259:0.1,self.S153:0.1,self.S166:0.1,self.S248:0.1,self.S242:0.1,self.S260:0.1,self.S261:0.1,self.S262:0.1,self.S157:0.1,self.S263:0.1},'2017-03-01':{self.S99:0.1,self.S259:0.1,self.S248:0.1,self.S264:0.1,self.S140:0.1,self.S136:0.1,self.S213:0.1,self.S161:0.1,self.S175:0.1,self.S127:0.1},'2017-04-03':{self.S99:0.1,self.S264:0.1,self.S248:0.1,self.S127:0.1,self.S263:0.1,self.S136:0.1,self.S265:0.1,self.S266:0.1,self.S267:0.1,self.S175:0.1},'2017-05-01':{self.S99:0.1,self.S264:0.1,self.S268:0.1,self.S248:0.1,self.S175:0.1,self.S81:0.1,self.S265:0.1,self.S76:0.1,self.S247:0.1,self.S136:0.1},'2017-05-10':{self.TLT:1},'2017-05-26':{self.S76:0.1,self.S264:0.1,self.S248:0.1,self.S81:0.1,self.S175:0.1,self.S266:0.1,self.S127:0.1,self.S136:0.1,self.S213:0.1,self.S88:0.1},'2017-06-01':{self.S76:0.1,self.S248:0.1,self.S264:0.1,self.S175:0.1,self.S81:0.1,self.S266:0.1,self.S269:0.1,self.S136:0.1,self.S270:0.1,self.S213:0.1},'2017-06-05':{self.TLT:1},'2017-07-03':{self.S51:0.1,self.S271:0.1,self.S133:0.1,self.S119:0.1,self.S94:0.1,self.S264:0.1,self.S165:0.1,self.S138:0.1,self.S32:0.1,self.S213:0.1},'2017-08-01':{self.S272:0.1,self.S133:0.1,self.S271:0.1,self.S51:0.1,self.S266:0.1,self.S76:0.1,self.S273:0.1,self.S78:0.1,self.S274:0.1,self.S165:0.1},'2017-09-01':{self.S76:0.1,self.S275:0.1,self.S272:0.1,self.S165:0.1,self.S7:0.1,self.S205:0.1,self.S276:0.1,self.S277:0.1,self.S86:0.1,self.S278:0.1},'2017-10-02':{self.S76:0.1,self.S275:0.1,self.S165:0.1,self.S272:0.1,self.S205:0.1,self.S273:0.1,self.S277:0.1,self.S7:0.1,self.S213:0.1,self.S266:0.1},'2017-11-01':{self.S244:0.1,self.S272:0.1,self.S76:0.1,self.S279:0.1,self.S165:0.1,self.S162:0.1,self.S275:0.1,self.S201:0.1,self.S246:0.1,self.S178:0.1},'2017-12-01':{self.S280:0.1,self.S272:0.1,self.S281:0.1,self.S139:0.1,self.S16:0.1,self.S282:0.1,self.S283:0.1,self.S201:0.1,self.S284:0.1,self.S8:0.1},'2018-01-02':{self.S281:0.1,self.S285:0.1,self.S272:0.1,self.S16:0.1,self.S286:0.1,self.S139:0.1,self.S128:0.1,self.S101:0.1,self.S133:0.1,self.S21:0.1},'2018-02-01':{self.S287:0.1,self.S26:0.1,self.S288:0.1,self.S281:0.1,self.S29:0.1,self.S289:0.1,self.S238:0.1,self.S28:0.1,self.S214:0.1,self.S290:0.1},'2018-03-01':{self.S291:0.1,self.S287:0.1,self.S288:0.1,self.S214:0.1,self.S119:0.1,self.S28:0.1,self.S292:0.1,self.S253:0.1,self.S26:0.1,self.S101:0.1},'2018-04-02':{self.S293:0.1,self.S294:0.1,self.S119:0.1,self.S214:0.1,self.S133:0.1,self.S295:0.1,self.S59:0.1,self.S258:0.1,self.S296:0.1,self.S297:0.1},'2018-04-10':{self.TLT:1},'2018-06-05':{self.S296:0.1,self.S250:0.1,self.S119:0.1,self.S32:0.1,self.S59:0.1,self.S258:0.1,self.S241:0.1,self.S16:0.1,self.S205:0.1,self.S266:0.1},'2018-07-02':{self.S298:0.1,self.S296:0.1,self.S250:0.1,self.S119:0.1,self.S258:0.1,self.S299:0.1,self.S32:0.1,self.S59:0.1,self.S217:0.1,self.S300:0.1},'2018-08-01':{self.TLT:1},'2019-02-19':{self.S301:0.1,self.S176:0.1,self.S302:0.1,self.S241:0.1,self.S75:0.1,self.S284:0.1,self.S77:0.1,self.S271:0.1,self.S225:0.1,self.S303:0.1},'2019-03-01':{self.S304:0.1,self.S176:0.1,self.S241:0.1,self.S305:0.1,self.S306:0.1,self.S86:0.1,self.S32:0.1,self.S307:0.1,self.S271:0.1,self.S278:0.1},'2019-04-01':{self.S306:0.1,self.S305:0.1,self.S144:0.1,self.S241:0.1,self.S243:0.1,self.S127:0.1,self.S32:0.1,self.S212:0.1,self.S165:0.1,self.S303:0.1},'2019-05-01':{self.S306:0.1,self.S305:0.1,self.S308:0.1,self.S309:0.1,self.S144:0.1,self.S16:0.1,self.S303:0.1,self.S126:0.1,self.S310:0.1,self.S127:0.1},'2019-05-14':{self.TLT:1},'2019-09-11':{self.S81:0.1,self.S169:0.1,self.S253:0.1,self.S31:0.1,self.S176:0.1,self.S311:0.1,self.S178:0.1,self.S312:0.1,self.S196:0.1,self.S168:0.1},'2019-10-01':{self.S31:0.1,self.S169:0.1,self.S81:0.1,self.S253:0.1,self.S178:0.1,self.S168:0.1,self.S313:0.1,self.S272:0.1,self.S186:0.1,self.S188:0.1},'2019-11-01':{self.S286:0.1,self.S299:0.1,self.S136:0.1,self.S314:0.1,self.S92:0.1,self.S133:0.1,self.S315:0.1,self.S316:0.1,self.S16:0.1,self.S312:0.1},'2019-12-02':{self.S136:0.1,self.S229:0.1,self.S187:0.1,self.S196:0.1,self.S139:0.1,self.S317:0.1,self.S314:0.1,self.S133:0.1,self.S310:0.1,self.S315:0.1},'2020-01-02':{self.S136:0.1,self.S23:0.1,self.S302:0.1,self.S229:0.1,self.S314:0.1,self.S318:0.1,self.S139:0.1,self.S196:0.1,self.S133:0.1,self.S315:0.1},'2020-02-03':{self.TLT:1},'2020-07-09':{self.S50:0.1,self.S319:0.1,self.S320:0.1,self.S321:0.1,self.S273:0.1,self.S142:0.1,self.S322:0.1,self.S323:0.1,self.S324:0.1,self.S292:0.1},'2020-08-03':{self.S319:0.1,self.S325:0.1,self.S50:0.1,self.S320:0.1,self.S326:0.1,self.S327:0.1,self.S322:0.1,self.S273:0.1,self.S292:0.1,self.S14:0.1},'2020-09-01':{self.S328:0.1,self.S136:0.1,self.S322:0.1,self.S295:0.1,self.S273:0.1,self.S183:0.1,self.S329:0.1,self.S292:0.1,self.S327:0.1,self.S28:0.1},'2020-10-01':{self.S328:0.1,self.S136:0.1,self.S295:0.1,self.S330:0.1,self.S28:0.1,self.S331:0.1,self.S332:0.1,self.S292:0.1,self.S333:0.1,self.S16:0.1},'2020-11-02':{self.S334:0.1,self.S322:0.1,self.S328:0.1,self.S241:0.1,self.S335:0.1,self.S331:0.1,self.S295:0.1,self.S333:0.1,self.S336:0.1,self.S28:0.1},'2020-12-01':{self.S334:0.1,self.S337:0.1,self.S291:0.1,self.S338:0.1,self.S327:0.1,self.S241:0.1,self.S328:0.1,self.S183:0.1,self.S335:0.1,self.S339:0.1}}
self.year = 2008
self.Schedule.On(
self.DateRules.EveryDay(),
self.TimeRules.AfterMarketOpen('SPY', 45),
self.rebalance
)
def rebalance(self):
currentDate = self.UtcTime.date()
# if currentDate.year != self.year:
# self.Portfolio.SetCash(self.Portfolio.Cash + 5000);
# self.year = currentDate.year
try:
new_position = self.signals["{}".format(currentDate)]
except:
return
self.Transactions.CancelOpenOrders()
invested = dict.fromkeys([ x.Symbol for x in self.Portfolio.Values if x.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, 0.90 * price)def norm_data(df):
sectors = df.sector.unique()
ratios_to_normalize = ['roic_wacc',
'ebit_ev',
'cr',
'fcf',
'price_to_cf',
'roic',
'roa',
'roe',
'roe_3_steps',
'roe_5_steps',
'wc_to_sales',
'operating_income_to_sales',
'operating_cf_to_sales'
]
tech_to_normalize = [
'vol_momentum',
'momentum',
'trend_log',
'trend_log_3',
'trend_pct',
'trend_pct_3',
'trend_slope',
'trend_slope_3'
]
# for sector in sectors:
# for ratio in ratios_to_normalize:
# df.loc[df['sector'] == sector, '{}_norm'.format(ratio)] = preprocessing.scale(df[df['sector'] == sector][ratio])
df[ratios_to_normalize + tech_to_normalize] = preprocessing.scale(df[ratios_to_normalize + tech_to_normalize])
return df.copy()
def remove_extreme_values(df, ratios_to_remove):
df_copy = df.copy()
# for ratio in ratios_to_remove:
# Q1 = df[ratio].quantile(0.01)
# Q3 = df[ratio].quantile(0.996)
# IQR = Q3 - Q1
# df_copy = df_copy.loc[(df_copy[ratio] > (Q1 - 1.1 * IQR)) & (df_copy[ratio] < (Q3 + 1.1 * IQR))].copy()
#
# return df_copy
for ratio in ratios_to_remove:
u = df[ratio].mean()
s = np.std(df[ratio])
df_copy = df_copy.loc[(df_copy[ratio] > u-2*s) & (df_copy[ratio] < u+2*s)].copy()
return df_copy
def calculate_rank_perm(df, ranks):
# ratios = ['price_to_cf','roic_wacc','ebit_ev','std', 'cr','vol_momentum','momentum']
df = df.replace([np.inf, -np.inf], np.nan)
df = df.dropna()
df = df[df['price_last'] > 5].copy()
df = df[df['avg_vol'] > 5000000].copy()
df = remove_extreme_values(df.copy(), ranks + ['momentum'])
df = norm_data(df.copy())
# overall rank
df['fund_rank'] = df[ranks].sum(axis=1)
df = df.sort_values(by=['fund_rank'], ascending=False).head(int(len(df) * 0.2))
df = df.sort_values(by=['std'], ascending=True).head(int(len(df) * 0.5))
df['overall_rank'] = df[['trend_pct_3', 'trend_pct']].sum(axis=1)
df = df.sort_values(by=['overall_rank'], ascending=False)
return df.head(10)
def calculate_rank(df):
temp = df.copy()
ratios = ['operating_cf_to_sales', 'price_to_cf', 'roa', 'roic_wacc', 'wc_to_sales']
# ratios = ['cr', 'price_to_cf', 'roic_wacc']
df = df.replace([np.inf, -np.inf], np.nan)
df = df.dropna()
df = df[df['price_last'] > 5].copy()
df = df[df['avg_vol'] > 5000000].copy()
df = remove_extreme_values(df.copy(), ratios + ['momentum'])
df = norm_data(df.copy())
# overall rank
df['fund_rank'] = df[ratios].sum(axis=1)
df = df.sort_values(by=['fund_rank'], ascending=False).head(int(len(df) * 0.2))
df = df.sort_values(by=['std'], ascending=True).head(int(len(df) * 0.5))
df['overall_rank'] = df[['trend_pct_3', 'trend_pct']].sum(axis=1)
df = df.sort_values(by=['overall_rank'], ascending=False)
return df.head(10)