| Overall Statistics |
|
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return 13.181% Drawdown 19.300% Expectancy 0 Net Profit 0% Sharpe Ratio 0.915 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0.143 Beta -0.058 Annual Standard Deviation 0.147 Annual Variance 0.022 Information Ratio -0.007 Tracking Error 0.215 Treynor Ratio -2.31 Total Fees $4.45 |
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;
namespace QuantConnect.Algorithm.MyStrategy.ETFRotation
{
/// <summary>
/// ETF Global Rotation Strategy
/// </summary>
public class ETFRotation20150623 : QCAlgorithm
{
// we'll use this to tell us when the month has ended
DateTime LastRotationTime = DateTime.MinValue;
TimeSpan RotationInterval = TimeSpan.FromDays(1); //jjb last day of month, week
public Identity SPY_Close, EDV_Close;
//public Identity EDV_Close;
//public CompositeIndicator<IndicatorDataPoint> SPY_Over_EDV;
//public SimpleMovingAverage EMA_SPY_Over_EDV;
public IndicatorBase<IndicatorDataPoint> SPY_Over_EDV, SMA_SPY_Over_EDV;
public bool isTradeDay = false;
private bool first = true;
private string test_symbol = "SPY";
List<string> IndustrySymbols = new List<string>
{
"SPY",
};
List<DateTime> LastBday = new List<DateTime>
{
new DateTime(2009, 12, 31),
new DateTime(2010, 1, 29),
new DateTime(2010, 2, 26),
new DateTime(2010, 3, 31),
new DateTime(2010, 4, 30),
new DateTime(2010, 5, 31),
new DateTime(2010, 6, 30),
new DateTime(2010, 7, 30),
new DateTime(2010, 8, 31),
new DateTime(2010, 9, 30),
new DateTime(2010, 10, 29),
new DateTime(2010, 11, 30),
new DateTime(2010, 12, 31),
new DateTime(2011, 1, 31),
new DateTime(2011, 2, 28),
new DateTime(2011, 3, 31),
new DateTime(2011, 4, 29),
new DateTime(2011, 5, 31),
new DateTime(2011, 6, 30),
new DateTime(2011, 7, 29),
new DateTime(2011, 8, 31),
new DateTime(2011, 9, 30),
new DateTime(2011, 10, 31),
new DateTime(2011, 11, 30),
new DateTime(2009, 12, 31),
new DateTime(2010, 01, 29),
new DateTime(2010, 02, 26),
new DateTime(2010, 03, 31),
new DateTime(2010, 4, 30),
new DateTime(2010, 5, 28),
new DateTime(2010, 6, 30),
new DateTime(2010, 7, 30),
new DateTime(2010, 8, 31),
new DateTime(2010, 9, 30),
new DateTime(2010, 10, 29),
new DateTime(2010, 11, 30),
new DateTime(2010, 12, 31),
new DateTime(2011, 1, 31),
new DateTime(2011, 2, 28),
new DateTime(2011, 3, 31),
new DateTime(2011, 4, 29),
new DateTime(2011, 5, 31),
new DateTime(2011, 6, 30),
new DateTime(2011, 7, 29),
new DateTime(2011, 8, 31),
new DateTime(2011, 9, 30),
new DateTime(2011, 10, 31),
new DateTime(2011, 11, 30),
new DateTime(2011, 12, 30),
new DateTime(2012, 1, 31),
new DateTime(2012, 2, 29),
new DateTime(2012, 3, 30),
new DateTime(2012, 4, 30),
new DateTime(2012, 5, 31),
new DateTime(2012, 6, 29),
new DateTime(2012, 7, 31),
new DateTime(2012, 8, 31),
new DateTime(2012, 9, 28),
new DateTime(2012, 10, 31),
new DateTime(2012, 11, 30),
new DateTime(2012, 12, 31),
new DateTime(2013, 1, 31),
new DateTime(2013, 2, 28),
new DateTime(2013, 3, 28),
new DateTime(2013, 4, 30),
new DateTime(2013, 5, 31),
new DateTime(2013, 6, 28),
new DateTime(2013, 7, 31),
new DateTime(2013, 8, 30),
new DateTime(2013, 9, 30),
new DateTime(2013, 10, 31),
new DateTime(2013, 11, 29),
new DateTime(2013, 12, 31),
new DateTime(2014, 1, 31),
new DateTime(2014, 2, 28),
new DateTime(2014, 3, 31),
new DateTime(2014, 4, 30),
new DateTime(2014, 5, 30),
new DateTime(2014, 6, 30),
new DateTime(2014, 7, 31),
new DateTime(2014, 8, 29),
new DateTime(2014, 9, 30),
new DateTime(2014, 10, 31),
new DateTime(2014, 11, 28),
new DateTime(2014, 12, 31),
new DateTime(2015, 1, 30),
new DateTime(2015, 2, 27),
new DateTime(2015, 3, 31),
new DateTime(2015, 4, 30),
new DateTime(2015, 5, 29),
new DateTime(2015, 6, 30),
new DateTime(2015, 7, 31),
};
// we'll hold some computed data in these guys
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetCash(100000);
SetStartDate(2009, 12, 1);
SetEndDate(2015, 8, 26);
AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute);
Securities["SPY"].SetDataNormalizationMode(DataNormalizationMode.TotalReturn);
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
try
{
if (first)
{
first = false;
LastRotationTime = data.Time;
return;
}
if(2015 == data.Time.Year && 8 == data.Time.Month && 26 == data.Time.Day)
{
Debug("Time: " + Time.Year.ToString() + "/" + Time.Month.ToString() + "/" +Time.Day.ToString() +": " + Portfolio.TotalPortfolioValue.ToString());
Debug("Price: " + Securities["SPY"].Close.ToString());
}
isTradeDay = false;
foreach (DateTime tradeDay in LastBday)
{
if (tradeDay.Year == data.Time.Year && tradeDay.Month == data.Time.Month && tradeDay.Day == data.Time.Day)
{
isTradeDay = true;
break;
}
}
if (!isTradeDay)
{
return;
}
var delta = data.Time.Subtract(LastRotationTime);
if (delta <= RotationInterval)
{
return;
}
if ( data.Time.Hour == 15 && data.Time.Minute >= 49)
{
LastRotationTime = data.Time;
Debug("Time: " + Time.Year.ToString() + "/" + Time.Month.ToString() + "/" +Time.Day.ToString() +": " + Portfolio.TotalPortfolioValue.ToString());
decimal TotalPortfolioValue = Portfolio.TotalPortfolioValue;
if (2009 == data.Time.Year && 12 == data.Time.Month && 31 == data.Time.Day)
{
MarketOnCloseOrder("SPY", (int)(TotalPortfolioValue / Securities["SPY"].Close - Portfolio["SPY"].Quantity));
//Debug(ETF.Symbol + " Rank: " + ETF.totalRankAdjusted.ToString() + ", PerfShort: " + ETF.ShortPerformance.ToString() + ", PerfLong: " + ETF.LongPerformance.ToString() + ", Vol: " + ETF.vol.ToString() + ", Holding: " + Portfolio[ETF.Symbol].Quantity.ToString() + ", Cash: " + Portfolio.Cash.ToString());
}
//MarketOnCloseOrder(ETF.Symbol, (int)(TotalPortfolioValue / Securities[ETF.Symbol].Close - Portfolio[ETF.Symbol].Quantity));
Debug("SPY: " + " Holding: " + Portfolio["SPY"].Quantity.ToString() + ", Cash: " + Portfolio.Cash.ToString());
}
}
catch (Exception ex)
{
Error("OnTradeBar: " + ex.Message + "\r\n\r\n" + ex.StackTrace);
}
}
}
}