Overall Statistics |
Total Trades 3978 Average Win 0.19% Average Loss -0.14% Compounding Annual Return 25.061% Drawdown 17.600% Expectancy 0.600 Net Profit 395.183% Sharpe Ratio 1.404 Probabilistic Sharpe Ratio 82.409% Loss Rate 33% Win Rate 67% Profit-Loss Ratio 1.39 Alpha 0 Beta 0 Annual Standard Deviation 0.126 Annual Variance 0.016 Information Ratio 1.404 Tracking Error 0.126 Treynor Ratio 0 Total Fees $4447.38 Estimated Strategy Capacity $33000000.00 Lowest Capacity Asset SHW R735QTJ8XC9X |
""" To Do - Dynamic selection of ETFs vs static in Risk Manamgent section. Line 68? - Volatility Position Sizing of Index ETF Basket? See Clenow formula...https://www.followingthetrend.com/2017/06/volatility-parity-position-sizing-using-standard-deviation/ - Post trades, current cash available/margin used, and current postions and results site for Team / stakeholders to view via web. - Post portfolio changes and current allocation to private area on Agile side (Signal subscription for other advisors / institutions not on IB) - Execution options (Market vs Limit vs VWAP) https://github.com/QuantConnect/Lean/tree/master/Algorithm.Framework/Execution - Publish Reports to Website (Where users can register to see results) > Jim's Comments - Change the word backtest to strategy in "the report" - Logging and live trade review/reporting. MUCH LATER >. can this approach be modified to use for futures? Better to use unlevered ETFs in the Risk Management and add leverage to the account at IB. Illiquidity and float issues, not to mention volatility difference in underlying. """ from QuantConnect.Data.UniverseSelection import * import numpy as np import pandas as pd # -------------------------------------------------------------------------------------------------------- BONDS = ['TLT','GLD']; VOLA = 126; BASE_RET = 85; STK_MOM = 126; N_COARSE = 100; N_FACTOR = 20; N_MOM = 20; LEV = .99; # -------------------------------------------------------------------------------------------------------- class Fundamental_Factors_Momentum_ROC_Comparison_OUT_DAY(QCAlgorithm): def Initialize(self): # LIVE TRADING if self.LiveMode: self.Debug("Trading Live!") self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin) # Group Trading # Use a default FA Account Group with an Allocation Method self.DefaultOrderProperties = InteractiveBrokersOrderProperties() # account group created manually in IB/TWS self.DefaultOrderProperties.FaGroup = "TE" # supported allocation methods are: EqualQuantity, NetLiq, AvailableEquity, PctChange self.DefaultOrderProperties.FaMethod = "AvailableEquity" # set a default FA Allocation Profile # Alex: I commented the following line out, since it would "reset" the previous settings #self.DefaultOrderProperties = InteractiveBrokersOrderProperties() # allocation profile created manually in IB/TWS # self.DefaultOrderProperties.FaProfile = "TestProfileP" #Algo Start self.SetStartDate(2015, 1, 1) #self.SetEndDate(2010, 12, 31) self.InitCash = 100000 self.SetCash(self.InitCash) self.MKT = self.AddEquity("SPY", Resolution.Hour).Symbol self.mkt = [] self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin) res = Resolution.Hour self.BONDS = [self.AddEquity(ticker, res).Symbol for ticker in BONDS] self.INI_WAIT_DAYS = 5 self.wait_days = self.INI_WAIT_DAYS self.GLD = self.AddEquity('GLD', res).Symbol self.SLV = self.AddEquity('SLV', res).Symbol self.XLU = self.AddEquity('XLU', res).Symbol self.XLI = self.AddEquity('XLI', res).Symbol self.UUP = self.AddEquity('UUP', res).Symbol self.DBB = self.AddEquity('DBB', res).Symbol self.pairs = [self.GLD, self.SLV, self.XLU, self.XLI, self.UUP, self.DBB] self.bull = 1 self.bull_prior = 0 self.count = 0 self.outday = (-self.INI_WAIT_DAYS+1) self.SetWarmUp(timedelta(350)) self.UniverseSettings.Resolution = res self.AddUniverse(self.CoarseFilter, self.FineFilter) self.data = {} self.RebalanceFreq = 10 self.UpdateFineFilter = 0 self.symbols = None self.RebalanceCount = 0 self.wt = {} self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 180), 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, 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:] def derive_vola_waitdays(self): sigma = 0.6 * np.log1p(self.history[[self.MKT]].pct_change()).std() * np.sqrt(252) wait_days = int(sigma * BASE_RET) period = int((1.0 - sigma) * BASE_RET) return wait_days, period def CoarseFilter(self, coarse): if not (((self.count-self.RebalanceCount) == self.RebalanceFreq) or (self.count == self.outday + self.wait_days - 1)): self.UpdateFineFilter = 0 return Universe.Unchanged self.UpdateFineFilter = 1 selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 5)] filtered = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) return [x.Symbol for x in filtered[:N_COARSE]] def FineFilter(self, fundamental): if self.UpdateFineFilter == 0: return Universe.Unchanged filtered_fundamental = [x for x in fundamental if (x.ValuationRatios.EVToEBITDA > 0) and (x.EarningReports.BasicAverageShares.ThreeMonths > 0) and float(x.EarningReports.BasicAverageShares.ThreeMonths) * x.Price > 50e9 and x.SecurityReference.IsPrimaryShare and x.SecurityReference.SecurityType == "ST00000001" and x.SecurityReference.IsDepositaryReceipt == 0 and x.CompanyReference.IsLimitedPartnership == 0] top = sorted(filtered_fundamental, key = lambda x: x.ValuationRatios.EVToEBITDA, reverse=True)[:N_FACTOR] self.symbols = [x.Symbol for x in top] self.UpdateFineFilter = 0 self.RebalanceCount = self.count return self.symbols def OnSecuritiesChanged(self, changes): addedSymbols = [] for security in changes.AddedSecurities: addedSymbols.append(security.Symbol) if security.Symbol not in self.data: self.data[security.Symbol] = SymbolData(security.Symbol, STK_MOM, self) if len(addedSymbols) > 0: history = self.History(addedSymbols, 1 + STK_MOM, Resolution.Daily).loc[addedSymbols] for symbol in addedSymbols: try: self.data[symbol].Warmup(history.loc[symbol]) except: self.Debug(str(symbol)) continue def daily_check(self): self.wait_days, period = self.derive_vola_waitdays() r = self.history.pct_change(period).iloc[-1] bear = ((r[self.SLV] < r[self.GLD]) and (r[self.XLI] < r[self.XLU]) and (r[self.DBB] < r[self.UUP])) if bear: self.bull = False self.outday = self.count if (self.count >= self.outday + self.wait_days): self.bull = True self.wt_stk = LEV if self.bull else 0 self.wt_bnd = 0 if self.bull else LEV if bear: self.trade_out() if (self.bull and not self.bull_prior) or (self.bull and (self.count==self.RebalanceCount)): self.trade_in() self.bull_prior = self.bull self.count += 1 def trade_out(self): for sec in self.BONDS: self.wt[sec] = self.wt_bnd/len(self.BONDS) for sec in self.Portfolio.Keys: if sec not in self.BONDS: self.wt[sec] = 0 for sec, weight in self.wt.items(): if weight == 0 and self.Portfolio[sec].IsLong: self.Liquidate(sec) for sec, weight in self.wt.items(): if weight != 0: self.SetHoldings(sec, weight) def trade_in(self): if self.symbols is None: return output = self.calc_return(self.symbols) stocks = output.iloc[:N_MOM].index for sec in self.Portfolio.Keys: if sec not in stocks: self.wt[sec] = 0 for sec in stocks: self.wt[sec] = self.wt_stk/N_MOM for sec, weight in self.wt.items(): self.SetHoldings(sec, weight) def calc_return(self, stocks): ret = {} for symbol in stocks: try: ret[symbol] = self.data[symbol].Roc.Current.Value except: self.Debug(str(symbol)) continue df_ret = pd.DataFrame.from_dict(ret, orient='index') df_ret.columns = ['return'] sort_return = df_ret.sort_values(by = ['return'], ascending = False) return sort_return def OnEndOfDay(self): mkt_price = self.Securities[self.MKT].Close self.mkt.append(mkt_price) mkt_perf = self.InitCash * self.mkt[-1] / self.mkt[0] self.Plot('Strategy Equity', self.MKT, mkt_perf) account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue self.Plot('Holdings', 'leverage', round(account_leverage, 2)) self.Plot('Holdings', 'Target Leverage', LEV) class SymbolData(object): def __init__(self, symbol, roc, algorithm): self.Symbol = symbol self.Roc = RateOfChange(roc) self.algorithm = algorithm self.consolidator = algorithm.ResolveConsolidator(symbol, Resolution.Daily) algorithm.RegisterIndicator(symbol, self.Roc, self.consolidator) def Warmup(self, history): for index, row in history.iterrows(): self.Roc.Update(index, row['close']) """ Intersection of ROC comparison using OUT_DAY approach by Vladimir v1.3 (with dynamic selector for fundamental factors and momentum) inspired by Peter Guenther, Tentor Testivis, Dan Whitnable, Thomas Chang, Miko M, Leandro Maia Leandro Maia setup modified by Vladimir https://www.quantconnect.com/forum/discussion/9632/amazing-returns-superior-stock-selection-strategy-superior-in-amp-out-strategy/p2/comment-29437 https://www.quantconnect.com/forum/discussion/10246/intersection-of-roc-comparison-using-out-day-approach/p1 BONDS = symbols('TMF') if data.can_trade(symbol('TMF')) else symbols('TLT') """