| Overall Statistics |
|
Total Orders 114 Average Win 2.11% Average Loss -2.97% Compounding Annual Return -0.405% Drawdown 47.900% Expectancy 0.070 Start Equity 1000000 End Equity 978101.42 Net Profit -2.190% Sharpe Ratio -0.158 Sortino Ratio -0.159 Probabilistic Sharpe Ratio 0.345% Loss Rate 38% Win Rate 62% Profit-Loss Ratio 0.71 Alpha 0.004 Beta -0.218 Annual Standard Deviation 0.123 Annual Variance 0.015 Information Ratio -0.533 Tracking Error 0.237 Treynor Ratio 0.089 Total Fees $3746.65 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset XLU RGRPZX100F39 Portfolio Turnover 2.79% |
import numpy as np
from AlgorithmImports import *
from arch.unitroot.cointegration import engle_granger
from pykalman import KalmanFilter
import pandas as pd
class PCADemo(QCAlgorithm):
def initialize(self):
self.set_start_date(2019, 1, 1)
self.set_brokerage_model(BrokerageName.INTERACTIVE_BROKERS_BROKERAGE)
self.set_cash(1000000)
self.set_benchmark(self.add_equity("SPY").symbol)
self.assets = ["XLK", "XLU"]
for asset in self.assets:
self.add_equity(asset, Resolution.MINUTE)
self.kalman_filter = None
self.current_mean = None
self.current_cov = None
self.trading_weight = pd.Series()
self.state = 0
self.recalibrate()
self.schedule.on(self.date_rules.week_start(), self.time_rules.at(0, 0), self.recalibrate)
self.schedule.on(self.date_rules.every_day(), self.time_rules.before_market_close("XLK"), self.every_day_before_market_close)
def recalibrate(self):
qb = self
history = qb.history(self.assets, 252*2, Resolution.DAILY)
if history.empty: return
data = history['close'].unstack(level=0)
log_price = np.log(data)
coint_result = engle_granger(log_price.iloc[:, 0], log_price.iloc[:, 1], trend="ct", lags=0)
if coint_result.pvalue > 0.499:
self.debug("Cointegration test did not pass. Recalibration aborted. Liquidating positions.")
self.liquidate()
self.trading_weight = pd.Series()
self.state = 0
return
coint_vector = coint_result.cointegrating_vector[:2]
spread = log_price @ coint_vector
self.kalman_filter = KalmanFilter(transition_matrices=[1], observation_matrices=[1],
initial_state_mean=spread.iloc[:20].mean(),
observation_covariance=spread.iloc[:20].var(),
em_vars=['transition_covariance', 'initial_state_covariance'])
self.kalman_filter = self.kalman_filter.em(spread.iloc[:20], n_iter=5)
filtered_state_means, filtered_state_covariances = self.kalman_filter.filter(spread.iloc[:20])
self.current_mean = filtered_state_means[-1, :]
self.current_cov = filtered_state_covariances[-1, :]
mean_series = np.array([None] * (spread.shape[0] - 20))
for i in range(20, spread.shape[0]):
self.current_mean, self.current_cov = self.kalman_filter.filter_update(filtered_state_mean=self.current_mean,
filtered_state_covariance=self.current_cov,
observation=spread.iloc[i])
mean_series[i - 20] = float(self.current_mean)
normalized_spread = spread.iloc[20:] - mean_series
s0 = np.linspace(0, max(normalized_spread), 50)
f_bar = np.array([len(normalized_spread[normalized_spread > s0[i]]) / normalized_spread.shape[0] for i in range(50)])
D = np.zeros((49, 50))
for i in range(49):
D[i, i] = 1
D[i, i + 1] = -1
l = 1.0
f_star = np.linalg.inv(np.eye(50) + l * D.T @ D) @ f_bar.reshape(-1, 1)
s_star = [f_star[i] * s0[i] for i in range(50)]
self.threshold = s0[np.argmax(s_star)]
self.trading_weight = coint_vector / np.sum(np.abs(coint_vector))
def every_day_before_market_close(self):
qb = self
if self.trading_weight.isnull().all():
return
series = pd.Series({symbol: np.log(qb.securities[symbol].close) for symbol in qb.securities.Keys})
spread = np.sum(series * self.trading_weight)
self.current_mean, self.current_cov = self.kalman_filter.filter_update(filtered_state_mean=self.current_mean,
filtered_state_covariance=self.current_cov,
observation=spread)
normalized_spread = spread - self.current_mean
if self.state == 0 and normalized_spread < -self.threshold:
self.set_holdings([PortfolioTarget(self.assets[i], self.trading_weight[i]) for i in range(len(self.assets))])
self.state = 1
elif self.state == 0 and normalized_spread > self.threshold:
self.set_holdings([PortfolioTarget(self.assets[i], -self.trading_weight[i]) for i in range(len(self.assets))])
self.state = -1
elif self.state == 1 and normalized_spread > -self.threshold or self.state == -1 and normalized_spread < self.threshold:
self.liquidate()
self.state = 0