| Overall Statistics |
|
Total Trades 1454 Average Win 1.37% Average Loss -1.08% Compounding Annual Return 25.327% Drawdown 38.100% Expectancy 0.241 Net Profit 660.355% Sharpe Ratio 1.092 Probabilistic Sharpe Ratio 44.558% Loss Rate 45% Win Rate 55% Profit-Loss Ratio 1.26 Alpha 0.217 Beta 0.349 Annual Standard Deviation 0.277 Annual Variance 0.077 Information Ratio 0.195 Tracking Error 0.297 Treynor Ratio 0.868 Total Fees $1485.61 |
import pandas as pd
class LiquidUniverseSelection(QCAlgorithm):
def Initialize(self):
self.SetWarmup(10)
self.SetBenchmark("QQQ")
self.SetStartDate(2011, 12, 31)
# self.SetEndDate(2012, 5, 8)
self.SetCash(5000)
res1 = Resolution.Minute
res = Resolution.Minute
self.MRKT = self.AddEquity('SPY', res1).Symbol # market
self.TLT = self.AddEquity('TLT', res1).Symbol # market
self.S0=self.AddEquity('ALXN',res).Symbol
self.S1=self.AddEquity('RGLD',res).Symbol
self.S2=self.AddEquity('DPZ',res).Symbol
self.S3=self.AddEquity('COG',res).Symbol
self.S4=self.AddEquity('PSMT',res).Symbol
self.S5=self.AddEquity('NEM',res).Symbol
self.S6=self.AddEquity('RRC',res).Symbol
self.S7=self.AddEquity('CRI',res).Symbol
self.S8=self.AddEquity('BMRN',res).Symbol
self.S9=self.AddEquity('SWM',res).Symbol
self.S10=self.AddEquity('RCII',res).Symbol
self.S11=self.AddEquity('SNBR',res).Symbol
self.S12=self.AddEquity('URI',res).Symbol
self.S13=self.AddEquity('LZB',res).Symbol
self.S14=self.AddEquity('ORLY',res).Symbol
self.S15=self.AddEquity('AKAM',res).Symbol
self.S16=self.AddEquity('FAST',res).Symbol
self.S17=self.AddEquity('BGS',res).Symbol
self.S18=self.AddEquity('ETH',res).Symbol
self.S19=self.AddEquity('GBX',res).Symbol
self.S20=self.AddEquity('LNG',res).Symbol
self.S21=self.AddEquity('SHO',res).Symbol
self.S22=self.AddEquity('MOH',res).Symbol
self.S23=self.AddEquity('WNC',res).Symbol
self.S24=self.AddEquity('NUAN',res).Symbol
self.S25=self.AddEquity('SSYS',res).Symbol
self.S26=self.AddEquity('AAL',res).Symbol
self.S27=self.AddEquity('TXT',res).Symbol
self.S28=self.AddEquity('TEX',res).Symbol
self.S29=self.AddEquity('MTW',res).Symbol
self.S30=self.AddEquity('PHM',res).Symbol
self.S31=self.AddEquity('BZH',res).Symbol
self.S32=self.AddEquity('ARNA',res).Symbol
self.S33=self.AddEquity('REGN',res).Symbol
self.S34=self.AddEquity('LGF-A',res).Symbol
self.S35=self.AddEquity('EXP',res).Symbol
self.S36=self.AddEquity('LL',res).Symbol
self.S37=self.AddEquity('ILMN',res).Symbol
self.S38=self.AddEquity('RGR',res).Symbol
self.S39=self.AddEquity('LEN',res).Symbol
self.S40=self.AddEquity('DDD',res).Symbol
self.S41=self.AddEquity('MPWR',res).Symbol
self.S42=self.AddEquity('CRUS',res).Symbol
self.S43=self.AddEquity('VRTX',res).Symbol
self.S44=self.AddEquity('LQDT',res).Symbol
self.S45=self.AddEquity('VECO',res).Symbol
self.S46=self.AddEquity('RHP',res).Symbol
self.S47=self.AddEquity('SKX',res).Symbol
self.S48=self.AddEquity('MDC',res).Symbol
self.S49=self.AddEquity('LPSN',res).Symbol
self.S50=self.AddEquity('VHC',res).Symbol
self.S51=self.AddEquity('IONS',res).Symbol
self.S52=self.AddEquity('NUVA',res).Symbol
self.S53=self.AddEquity('MED',res).Symbol
self.S54=self.AddEquity('EXPE',res).Symbol
self.S55=self.AddEquity('INVA',res).Symbol
self.S56=self.AddEquity('CLGX',res).Symbol
self.S57=self.AddEquity('CAL',res).Symbol
self.S58=self.AddEquity('SRPT',res).Symbol
self.S59=self.AddEquity('KBH',res).Symbol
self.S60=self.AddEquity('STZ',res).Symbol
self.S61=self.AddEquity('TMUS',res).Symbol
self.S62=self.AddEquity('AROC',res).Symbol
self.S63=self.AddEquity('HL',res).Symbol
self.S64=self.AddEquity('CDE',res).Symbol
self.S65=self.AddEquity('FSLR',res).Symbol
self.S66=self.AddEquity('GNRC',res).Symbol
self.S67=self.AddEquity('LPX',res).Symbol
self.S68=self.AddEquity('WHR',res).Symbol
self.S69=self.AddEquity('CVI',res).Symbol
self.S70=self.AddEquity('GIII',res).Symbol
self.S71=self.AddEquity('ODP',res).Symbol
self.S72=self.AddEquity('THC',res).Symbol
self.S73=self.AddEquity('DXC',res).Symbol
self.S74=self.AddEquity('IDCC',res).Symbol
self.S75=self.AddEquity('NFLX',res).Symbol
self.S76=self.AddEquity('APO',res).Symbol
self.S77=self.AddEquity('OSK',res).Symbol
self.S78=self.AddEquity('SPWR',res).Symbol
self.S79=self.AddEquity('EQC',res).Symbol
self.S80=self.AddEquity('CREE',res).Symbol
self.S81=self.AddEquity('FLT',res).Symbol
self.S82=self.AddEquity('FOE',res).Symbol
self.S83=self.AddEquity('SBGI',res).Symbol
self.S84=self.AddEquity('CLDX',res).Symbol
self.S85=self.AddEquity('RAD',res).Symbol
self.S86=self.AddEquity('ZG',res).Symbol
self.S87=self.AddEquity('BYD',res).Symbol
self.S88=self.AddEquity('BBY',res).Symbol
self.S89=self.AddEquity('TSLA',res).Symbol
self.S90=self.AddEquity('USNA',res).Symbol
self.S91=self.AddEquity('ARCB',res).Symbol
self.S92=self.AddEquity('ANGI',res).Symbol
self.S93=self.AddEquity('MU',res).Symbol
self.S94=self.AddEquity('CONN',res).Symbol
self.S95=self.AddEquity('ACAD',res).Symbol
self.S96=self.AddEquity('NXST',res).Symbol
self.S97=self.AddEquity('NUS',res).Symbol
self.S98=self.AddEquity('ALNY',res).Symbol
self.S99=self.AddEquity('GME',res).Symbol
self.S100=self.AddEquity('PPC',res).Symbol
self.S101=self.AddEquity('UI',res).Symbol
self.S102=self.AddEquity('SOL',res).Symbol
self.S103=self.AddEquity('YELP',res).Symbol
self.S104=self.AddEquity('GRPN',res).Symbol
self.S105=self.AddEquity('SGMS',res).Symbol
self.S106=self.AddEquity('AAXN',res).Symbol
self.S107=self.AddEquity('MTDR',res).Symbol
self.S108=self.AddEquity('INCY',res).Symbol
self.S109=self.AddEquity('HALO',res).Symbol
self.S110=self.AddEquity('PCRX',res).Symbol
self.S111=self.AddEquity('NVAX',res).Symbol
self.S112=self.AddEquity('X',res).Symbol
self.S113=self.AddEquity('CAMP',res).Symbol
self.S114=self.AddEquity('PEIX',res).Symbol
self.S115=self.AddEquity('ARWR',res).Symbol
self.S116=self.AddEquity('VNDA',res).Symbol
self.S117=self.AddEquity('WWE',res).Symbol
self.S118=self.AddEquity('GPRE',res).Symbol
self.S119=self.AddEquity('FCEL',res).Symbol
self.S120=self.AddEquity('INO',res).Symbol
self.S121=self.AddEquity('MTOR',res).Symbol
self.S122=self.AddEquity('MYGN',res).Symbol
self.S123=self.AddEquity('SGMO',res).Symbol
self.S124=self.AddEquity('HA',res).Symbol
self.S125=self.AddEquity('STRA',res).Symbol
self.S126=self.AddEquity('AMKR',res).Symbol
self.S127=self.AddEquity('FANG',res).Symbol
self.S128=self.AddEquity('CENX',res).Symbol
self.S129=self.AddEquity('EA',res).Symbol
self.S130=self.AddEquity('SLCA',res).Symbol
self.S131=self.AddEquity('LAD',res).Symbol
self.S132=self.AddEquity('BIG',res).Symbol
self.S133=self.AddEquity('SWKS',res).Symbol
self.S134=self.AddEquity('AMBA',res).Symbol
self.S135=self.AddEquity('OMER',res).Symbol
self.S136=self.AddEquity('ANIP',res).Symbol
self.S137=self.AddEquity('EBIX',res).Symbol
self.S138=self.AddEquity('OSPN',res).Symbol
self.S139=self.AddEquity('WETF',res).Symbol
self.S140=self.AddEquity('AGIO',res).Symbol
self.S141=self.AddEquity('BLUE',res).Symbol
self.S142=self.AddEquity('ABMD',res).Symbol
self.S143=self.AddEquity('PTCT',res).Symbol
self.S144=self.AddEquity('PGEN',res).Symbol
self.S145=self.AddEquity('SKYW',res).Symbol
self.S146=self.AddEquity('BBSI',res).Symbol
self.S147=self.AddEquity('NBIX',res).Symbol
self.S148=self.AddEquity('NSP',res).Symbol
self.S149=self.AddEquity('STMP',res).Symbol
self.S150=self.AddEquity('ICPT',res).Symbol
self.S151=self.AddEquity('OLED',res).Symbol
self.S152=self.AddEquity('IMGN',res).Symbol
self.S153=self.AddEquity('RGEN',res).Symbol
self.S154=self.AddEquity('BLDR',res).Symbol
self.S155=self.AddEquity('TREE',res).Symbol
self.S156=self.AddEquity('ZGNX',res).Symbol
self.S157=self.AddEquity('AMED',res).Symbol
self.S158=self.AddEquity('AMN',res).Symbol
self.S159=self.AddEquity('SUPN',res).Symbol
self.S160=self.AddEquity('EHTH',res).Symbol
self.S161=self.AddEquity('SWBI',res).Symbol
self.S162=self.AddEquity('ITCI',res).Symbol
self.S163=self.AddEquity('DY',res).Symbol
self.S164=self.AddEquity('RCL',res).Symbol
self.S165=self.AddEquity('HLF',res).Symbol
self.S166=self.AddEquity('CALM',res).Symbol
self.S167=self.AddEquity('TYL',res).Symbol
self.S168=self.AddEquity('ATVI',res).Symbol
self.S169=self.AddEquity('WW',res).Symbol
self.S170=self.AddEquity('CORE',res).Symbol
self.S171=self.AddEquity('POST',res).Symbol
self.S172=self.AddEquity('AMZN',res).Symbol
self.S173=self.AddEquity('FPRX',res).Symbol
self.S174=self.AddEquity('FIX',res).Symbol
self.S175=self.AddEquity('PACB',res).Symbol
self.S176=self.AddEquity('TSN',res).Symbol
self.S177=self.AddEquity('BKH',res).Symbol
self.S178=self.AddEquity('COHR',res).Symbol
self.S179=self.AddEquity('MAT',res).Symbol
self.S180=self.AddEquity('BRKR',res).Symbol
self.S181=self.AddEquity('QUOT',res).Symbol
self.S182=self.AddEquity('CNX',res).Symbol
self.S183=self.AddEquity('PLCE',res).Symbol
self.S184=self.AddEquity('ANF',res).Symbol
self.S185=self.AddEquity('CLF',res).Symbol
self.S186=self.AddEquity('FCX',res).Symbol
self.S187=self.AddEquity('OKE',res).Symbol
self.S188=self.AddEquity('CLR',res).Symbol
self.S189=self.AddEquity('WPX',res).Symbol
self.S190=self.AddEquity('SPXC',res).Symbol
self.S191=self.AddEquity('DCP',res).Symbol
self.S192=self.AddEquity('CSII',res).Symbol
self.S193=self.AddEquity('EXAS',res).Symbol
self.S194=self.AddEquity('CEQP',res).Symbol
self.S195=self.AddEquity('HSC',res).Symbol
self.S196=self.AddEquity('ET',res).Symbol
self.S197=self.AddEquity('SM',res).Symbol
self.S198=self.AddEquity('RYAM',res).Symbol
self.S199=self.AddEquity('TVTY',res).Symbol
self.S200=self.AddEquity('BCOR',res).Symbol
self.S201=self.AddEquity('KRA',res).Symbol
self.S202=self.AddEquity('WMB',res).Symbol
self.S203=self.AddEquity('EXEL',res).Symbol
self.S204=self.AddEquity('NVDA',res).Symbol
self.S205=self.AddEquity('NAV',res).Symbol
self.S206=self.AddEquity('DXPE',res).Symbol
self.S207=self.AddEquity('UIS',res).Symbol
self.S208=self.AddEquity('DK',res).Symbol
self.S209=self.AddEquity('CARA',res).Symbol
self.S210=self.AddEquity('TROX',res).Symbol
self.S211=self.AddEquity('BCRX',res).Symbol
self.S212=self.AddEquity('OCUL',res).Symbol
self.S213=self.AddEquity('CC',res).Symbol
self.S214=self.AddEquity('BCEI',res).Symbol
self.S215=self.AddEquity('GEO',res).Symbol
self.S216=self.AddEquity('RXN',res).Symbol
self.S217=self.AddEquity('CXW',res).Symbol
self.S218=self.AddEquity('ITGR',res).Symbol
self.S219=self.AddEquity('TGTX',res).Symbol
self.S220=self.AddEquity('AMD',res).Symbol
self.S221=self.AddEquity('XENT',res).Symbol
self.S222=self.AddEquity('CYH',res).Symbol
self.S223=self.AddEquity('TDOC',res).Symbol
self.S224=self.AddEquity('W',res).Symbol
self.S225=self.AddEquity('NVCR',res).Symbol
self.S226=self.AddEquity('RH',res).Symbol
self.S227=self.AddEquity('OSUR',res).Symbol
self.S228=self.AddEquity('PETS',res).Symbol
self.S229=self.AddEquity('CHGG',res).Symbol
self.S230=self.AddEquity('FGEN',res).Symbol
self.S231=self.AddEquity('OSTK',res).Symbol
self.S232=self.AddEquity('CORT',res).Symbol
self.S233=self.AddEquity('BPMC',res).Symbol
self.S234=self.AddEquity('CAR',res).Symbol
self.S235=self.AddEquity('WGO',res).Symbol
self.S236=self.AddEquity('LGIH',res).Symbol
self.S237=self.AddEquity('NKTR',res).Symbol
self.S238=self.AddEquity('HEES',res).Symbol
self.S239=self.AddEquity('ALGN',res).Symbol
self.S240=self.AddEquity('RIOT',res).Symbol
self.S241=self.AddEquity('EDIT',res).Symbol
self.S242=self.AddEquity('ECHO',res).Symbol
self.S243=self.AddEquity('COLL',res).Symbol
self.S244=self.AddEquity('HIBB',res).Symbol
self.S245=self.AddEquity('HEAR',res).Symbol
self.S246=self.AddEquity('TNDM',res).Symbol
self.S247=self.AddEquity('FOSL',res).Symbol
self.S248=self.AddEquity('RUN',res).Symbol
self.S249=self.AddEquity('RGNX',res).Symbol
self.S250=self.AddEquity('TWLO',res).Symbol
self.S251=self.AddEquity('RETA',res).Symbol
self.S252=self.AddEquity('STAA',res).Symbol
self.S253=self.AddEquity('TTD',res).Symbol
self.S254=self.AddEquity('NVTA',res).Symbol
self.S255=self.AddEquity('NTRA',res).Symbol
self.S256=self.AddEquity('GKOS',res).Symbol
self.S257=self.AddEquity('DLTH',res).Symbol
self.S258=self.AddEquity('REGI',res).Symbol
self.S259=self.AddEquity('SEAS',res).Symbol
self.S260=self.AddEquity('CDNA',res).Symbol
self.S261=self.AddEquity('VCEL',res).Symbol
self.S262=self.AddEquity('USM',res).Symbol
self.S263=self.AddEquity('COKE',res).Symbol
self.S264=self.AddEquity('SHEN',res).Symbol
self.S265=self.AddEquity('CROX',res).Symbol
self.S266=self.AddEquity('SAVE',res).Symbol
self.S267=self.AddEquity('BNFT',res).Symbol
self.S268=self.AddEquity('FATE',res).Symbol
self.S269=self.AddEquity('XLNX',res).Symbol
self.S270=self.AddEquity('IIPR',res).Symbol
self.S271=self.AddEquity('CIEN',res).Symbol
self.S272=self.AddEquity('DBD',res).Symbol
self.S273=self.AddEquity('LNTH',res).Symbol
self.S274=self.AddEquity('XPER',res).Symbol
self.S275=self.AddEquity('LSCC',res).Symbol
self.S276=self.AddEquity('EXTR',res).Symbol
self.S277=self.AddEquity('MRTX',res).Symbol
self.S278=self.AddEquity('AYX',res).Symbol
self.S279=self.AddEquity('BOOM',res).Symbol
self.S280=self.AddEquity('VYGR',res).Symbol
self.S281=self.AddEquity('OKTA',res).Symbol
self.S282=self.AddEquity('RPD',res).Symbol
self.S283=self.AddEquity('ENPH',res).Symbol
self.S284=self.AddEquity('SNAP',res).Symbol
self.S285=self.AddEquity('PCG',res).Symbol
self.S286=self.AddEquity('PI',res).Symbol
self.S287=self.AddEquity('ADVM',res).Symbol
self.S288=self.AddEquity('ELF',res).Symbol
self.S289=self.AddEquity('KPTI',res).Symbol
self.S290=self.AddEquity('PRO',res).Symbol
self.S291=self.AddEquity('USAT',res).Symbol
self.S292=self.AddEquity('ANIK',res).Symbol
self.S293=self.AddEquity('PODD',res).Symbol
self.S294=self.AddEquity('OMI',res).Symbol
self.S295=self.AddEquity('ROKU',res).Symbol
self.S296=self.AddEquity('SHAK',res).Symbol
self.S297=self.AddEquity('MTSI',res).Symbol
self.S298=self.AddEquity('MGI',res).Symbol
self.S299=self.AddEquity('VC',res).Symbol
self.S300=self.AddEquity('CUTR',res).Symbol
self.S301=self.AddEquity('CDLX',res).Symbol
self.S302=self.AddEquity('CCXI',res).Symbol
self.S303=self.AddEquity('INFN',res).Symbol
self.S304=self.AddEquity('SYNA',res).Symbol
self.S305=self.AddEquity('CLDR',res).Symbol
self.S306=self.AddEquity('CBB',res).Symbol
self.S307=self.AddEquity('FLXN',res).Symbol
self.S308=self.AddEquity('MAXR',res).Symbol
self.S309=self.AddEquity('BE',res).Symbol
self.S310=self.AddEquity('XLRN',res).Symbol
self.S311=self.AddEquity('QDEL',res).Symbol
self.S312=self.AddEquity('DXCM',res).Symbol
self.S313=self.AddEquity('ACMR',res).Symbol
self.S314=self.AddEquity('GNMK',res).Symbol
self.S315=self.AddEquity('INSG',res).Symbol
self.S316=self.AddEquity('MRSN',res).Symbol
self.S317=self.AddEquity('TBIO',res).Symbol
self.S318=self.AddEquity('UNFI',res).Symbol
self.S319=self.AddEquity('ZS',res).Symbol
self.S320=self.AddEquity('MGNX',res).Symbol
self.S321=self.AddEquity('VIVO',res).Symbol
self.S322=self.AddEquity('ZYXI',res).Symbol
self.S323=self.AddEquity('ALT',res).Symbol
self.S324=self.AddEquity('TUP',res).Symbol
self.S325=self.AddEquity('LOVE',res).Symbol
self.S326=self.AddEquity('CWH',res).Symbol
self.S327=self.AddEquity('HOME',res).Symbol
self.S328=self.AddEquity('CLSK',res).Symbol
self.S329=self.AddEquity('PRTY',res).Symbol
self.S330=self.AddEquity('MCRB',res).Symbol
self.S331=self.AddEquity('MIK',res).Symbol
self.S332=self.AddEquity('APPS',res).Symbol
self.S333=self.AddEquity('WLL',res).Symbol
self.S334=self.AddEquity('WKHS',res).Symbol
self.S335=self.AddEquity('EXPI',res).Symbol
self.S336=self.AddEquity('PLUG',res).Symbol
self.signals = 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self.S19:0.1,self.S133:0.1,self.S74:0.1},'2014-09-04':{self.TLT:1.0},'2015-02-23':{self.S51:0.1,self.S134:0.1,self.S135:0.1,self.S136:0.1,self.S106:0.1,self.S137:0.1,self.S124:0.1,self.S111:0.1,self.S138:0.1,self.S139:0.1},'2015-03-02':{self.S140:0.1,self.S141:0.1,self.S142:0.1,self.S136:0.1,self.S106:0.1,self.S143:0.1,self.S51:0.1,self.S134:0.1,self.S124:0.1,self.S111:0.1},'2015-03-12':{self.TLT:1.0},'2015-04-07':{self.S141:0.1,self.S144:0.1,self.S142:0.1,self.S136:0.1,self.S111:0.1,self.S84:0.1,self.S135:0.1,self.S145:0.1,self.S108:0.1,self.S139:0.1},'2015-05-01':{self.S141:0.1,self.S142:0.1,self.S146:0.1,self.S147:0.1,self.S137:0.1,self.S144:0.1,self.S136:0.1,self.S135:0.1,self.S148:0.1,self.S149:0.1},'2015-06-01':{self.S141:0.1,self.S146:0.1,self.S42:0.1,self.S142:0.1,self.S147:0.1,self.S137:0.1,self.S150:0.1,self.S109:0.1,self.S75:0.1,self.S151:0.1},'2015-07-01':{self.S152:0.1,self.S94:0.1,self.S137:0.1,self.S153:0.1,self.S141:0.1,self.S151:0.1,self.S109:0.1,self.S147:0.1,self.S47:0.1,self.S75:0.1},'2015-07-27':{self.TLT:1.0},'2015-09-17':{self.S58:0.1,self.S154:0.1,self.S155:0.1,self.S47:0.1,self.S75:0.1,self.S156:0.1,self.S142:0.1,self.S152:0.1,self.S157:0.1,self.S158:0.1},'2015-10-01':{self.S58:0.1,self.S154:0.1,self.S47:0.1,self.S155:0.1,self.S75:0.1,self.S156:0.1,self.S159:0.1,self.S160:0.1,self.S157:0.1,self.S161:0.1},'2015-11-02':{self.S58:0.1,self.S162:0.1,self.S155:0.1,self.S163:0.1,self.S47:0.1,self.S164:0.1,self.S165:0.1,self.S166:0.1,self.S167:0.1,self.S168:0.1},'2015-12-01':{self.S169:0.1,self.S155:0.1,self.S162:0.1,self.S170:0.1,self.S124:0.1,self.S171:0.1,self.S172:0.1,self.S173:0.1,self.S167:0.1,self.S174:0.1},'2015-12-30':{self.TLT:1.0},'2016-03-22':{self.S175:0.1,self.S169:0.1,self.S92:0.1,self.S173:0.1,self.S124:0.1,self.S5:0.1,self.S176:0.1,self.S177:0.1,self.S178:0.1,self.S179:0.1},'2016-04-01':{self.S175:0.1,self.S173:0.1,self.S169:0.1,self.S124:0.1,self.S180:0.1,self.S128:0.1,self.S137:0.1,self.S92:0.1,self.S55:0.1,self.S5:0.1},'2016-05-02':{self.S64:0.1,self.S181:0.1,self.S178:0.1,self.S128:0.1,self.S180:0.1,self.S182:0.1,self.S183:0.1,self.S176:0.1,self.S151:0.1,self.S184:0.1},'2016-06-01':{self.S64:0.1,self.S112:0.1,self.S185:0.1,self.S128:0.1,self.S182:0.1,self.S5:0.1,self.S40:0.1,self.S1:0.1,self.S181:0.1,self.S186:0.1},'2016-07-01':{self.S64:0.1,self.S185:0.1,self.S182:0.1,self.S112:0.1,self.S187:0.1,self.S188:0.1,self.S189:0.1,self.S5:0.1,self.S6:0.1,self.S190:0.1},'2016-08-01':{self.S64:0.1,self.S185:0.1,self.S1:0.1,self.S186:0.1,self.S112:0.1,self.S188:0.1,self.S181:0.1,self.S187:0.1,self.S191:0.1,self.S192:0.1},'2016-09-01':{self.S64:0.1,self.S193:0.1,self.S194:0.1,self.S195:0.1,self.S196:0.1,self.S112:0.1,self.S192:0.1,self.S197:0.1,self.S198:0.1,self.S58:0.1},'2016-10-03':{self.S196:0.1,self.S193:0.1,self.S199:0.1,self.S64:0.1,self.S197:0.1,self.S200:0.1,self.S201:0.1,self.S194:0.1,self.S103:0.1,self.S202:0.1},'2016-11-01':{self.S58:0.1,self.S193:0.1,self.S203:0.1,self.S199:0.1,self.S130:0.1,self.S204:0.1,self.S134:0.1,self.S116:0.1,self.S103:0.1,self.S143:0.1},'2016-11-11':{self.TLT:1.0},'2017-01-11':{self.S205:0.1,self.S206:0.1,self.S203:0.1,self.S207:0.1,self.S208:0.1,self.S209:0.1,self.S94:0.1,self.S210:0.1,self.S211:0.1,self.S212:0.1},'2017-02-01':{self.S205:0.1,self.S213:0.1,self.S206:0.1,self.S212:0.1,self.S69:0.1,self.S208:0.1,self.S204:0.1,self.S94:0.1,self.S143:0.1,self.S125:0.1},'2017-03-01':{self.S214:0.1,self.S209:0.1,self.S128:0.1,self.S105:0.1,self.S215:0.1,self.S216:0.1,self.S213:0.1,self.S205:0.1,self.S217:0.1,self.S91:0.1},'2017-03-06':{self.TLT:1.0},'2017-04-18':{self.S216:0.1,self.S217:0.1,self.S213:0.1,self.S112:0.1,self.S211:0.1,self.S210:0.1,self.S218:0.1,self.S219:0.1,self.S215:0.1,self.S220:0.1},'2017-04-20':{self.TLT:1.0},'2017-06-12':{self.S123:0.1,self.S193:0.1,self.S169:0.1,self.S216:0.1,self.S221:0.1,self.S219:0.1,self.S152:0.1,self.S151:0.1,self.S178:0.1,self.S222:0.1},'2017-07-03':{self.S219:0.1,self.S193:0.1,self.S152:0.1,self.S169:0.1,self.S123:0.1,self.S216:0.1,self.S221:0.1,self.S151:0.1,self.S223:0.1,self.S224:0.1},'2017-07-07':{self.TLT:1.0},'2017-07-31':{self.S152:0.1,self.S225:0.1,self.S169:0.1,self.S123:0.1,self.S226:0.1,self.S219:0.1,self.S135:0.1,self.S98:0.1,self.S221:0.1,self.S227:0.1},'2017-08-01':{self.S152:0.1,self.S225:0.1,self.S169:0.1,self.S123:0.1,self.S226:0.1,self.S219:0.1,self.S221:0.1,self.S135:0.1,self.S98:0.1,self.S227:0.1},'2017-09-01':{self.S94:0.1,self.S225:0.1,self.S228:0.1,self.S224:0.1,self.S221:0.1,self.S36:0.1,self.S155:0.1,self.S229:0.1,self.S169:0.1,self.S143:0.1},'2017-10-02':{self.S169:0.1,self.S123:0.1,self.S152:0.1,self.S143:0.1,self.S94:0.1,self.S230:0.1,self.S92:0.1,self.S155:0.1,self.S225:0.1,self.S193:0.1},'2017-11-01':{self.S123:0.1,self.S156:0.1,self.S98:0.1,self.S32:0.1,self.S105:0.1,self.S231:0.1,self.S169:0.1,self.S232:0.1,self.S230:0.1,self.S149:0.1},'2017-12-01':{self.S231:0.1,self.S156:0.1,self.S105:0.1,self.S226:0.1,self.S32:0.1,self.S233:0.1,self.S234:0.1,self.S230:0.1,self.S235:0.1,self.S236:0.1},'2017-12-04':{self.TLT:1.0},'2017-12-27':{self.S231:0.1,self.S237:0.1,self.S156:0.1,self.S105:0.1,self.S210:0.1,self.S238:0.1,self.S32:0.1,self.S239:0.1,self.S236:0.1,self.S91:0.1},'2018-01-02':{self.S231:0.1,self.S237:0.1,self.S156:0.1,self.S105:0.1,self.S238:0.1,self.S123:0.1,self.S91:0.1,self.S32:0.1,self.S155:0.1,self.S236:0.1},'2018-02-01':{self.S240:0.1,self.S231:0.1,self.S156:0.1,self.S237:0.1,self.S241:0.1,self.S123:0.1,self.S69:0.1,self.S141:0.1,self.S242:0.1,self.S184:0.1},'2018-03-01':{self.S240:0.1,self.S237:0.1,self.S231:0.1,self.S156:0.1,self.S243:0.1,self.S226:0.1,self.S242:0.1,self.S141:0.1,self.S94:0.1,self.S244:0.1},'2018-03-26':{self.TLT:1.0},'2018-08-10':{self.S245:0.1,self.S246:0.1,self.S247:0.1,self.S248:0.1,self.S115:0.1,self.S249:0.1,self.S106:0.1,self.S53:0.1,self.S250:0.1,self.S58:0.1},'2018-08-17':{self.TLT:1.0},'2018-10-01':{self.S246:0.1,self.S245:0.1,self.S251:0.1,self.S252:0.1,self.S253:0.1,self.S254:0.1,self.S220:0.1,self.S249:0.1,self.S53:0.1,self.S117:0.1},'2018-10-25':{self.TLT:1.0},'2018-11-20':{self.S246:0.1,self.S170:0.1,self.S220:0.1,self.S255:0.1,self.S251:0.1,self.S256:0.1,self.S257:0.1,self.S258:0.1,self.S259:0.1,self.S254:0.1},'2018-11-23':{self.TLT:1.0},'2019-01-17':{self.S260:0.1,self.S261:0.1,self.S111:0.1,self.S262:0.1,self.S263:0.1,self.S256:0.1,self.S264:0.1,self.S265:0.1,self.S266:0.1,self.S258:0.1},'2019-02-01':{self.S261:0.1,self.S260:0.1,self.S111:0.1,self.S265:0.1,self.S211:0.1,self.S262:0.1,self.S258:0.1,self.S250:0.1,self.S267:0.1,self.S268:0.1},'2019-03-01':{self.S160:0.1,self.S111:0.1,self.S95:0.1,self.S269:0.1,self.S270:0.1,self.S116:0.1,self.S265:0.1,self.S261:0.1,self.S256:0.1,self.S271:0.1},'2019-04-01':{self.S160:0.1,self.S272:0.1,self.S270:0.1,self.S273:0.1,self.S246:0.1,self.S274:0.1,self.S275:0.1,self.S269:0.1,self.S276:0.1,self.S80:0.1},'2019-05-01':{self.S272:0.1,self.S277:0.1,self.S275:0.1,self.S270:0.1,self.S274:0.1,self.S250:0.1,self.S160:0.1,self.S273:0.1,self.S278:0.1,self.S253:0.1},'2019-06-03':{self.S272:0.1,self.S275:0.1,self.S240:0.1,self.S279:0.1,self.S280:0.1,self.S274:0.1,self.S281:0.1,self.S184:0.1,self.S246:0.1,self.S282:0.1},'2019-06-26':{self.TLT:1.0},'2019-07-29':{self.S280:0.1,self.S283:0.1,self.S284:0.1,self.S115:0.1,self.S272:0.1,self.S285:0.1,self.S286:0.1,self.S270:0.1,self.S219:0.1,self.S255:0.1},'2019-08-01':{self.S280:0.1,self.S283:0.1,self.S272:0.1,self.S219:0.1,self.S284:0.1,self.S286:0.1,self.S255:0.1,self.S270:0.1,self.S78:0.1,self.S275:0.1},'2019-08-05':{self.TLT:1.0},'2019-08-27':{self.S287:0.1,self.S283:0.1,self.S288:0.1,self.S289:0.1,self.S286:0.1,self.S160:0.1,self.S284:0.1,self.S290:0.1,self.S255:0.1,self.S291:0.1},'2019-09-03':{self.S283:0.1,self.S287:0.1,self.S78:0.1,self.S286:0.1,self.S288:0.1,self.S278:0.1,self.S289:0.1,self.S291:0.1,self.S255:0.1,self.S292:0.1},'2019-09-17':{self.TLT:1.0},'2019-10-31':{self.S289:0.1,self.S255:0.1,self.S293:0.1,self.S294:0.1,self.S115:0.1,self.S283:0.1,self.S295:0.1,self.S1:0.1,self.S296:0.1,self.S226:0.1},'2019-11-01':{self.S289:0.1,self.S255:0.1,self.S295:0.1,self.S283:0.1,self.S226:0.1,self.S115:0.1,self.S294:0.1,self.S296:0.1,self.S293:0.1,self.S297:0.1},'2019-12-02':{self.S298:0.1,self.S251:0.1,self.S149:0.1,self.S294:0.1,self.S289:0.1,self.S226:0.1,self.S299:0.1,self.S300:0.1,self.S169:0.1,self.S301:0.1},'2020-01-02':{self.S302:0.1,self.S115:0.1,self.S251:0.1,self.S294:0.1,self.S303:0.1,self.S169:0.1,self.S301:0.1,self.S289:0.1,self.S304:0.1,self.S305:0.1},'2020-02-03':{self.S119:0.1,self.S302:0.1,self.S306:0.1,self.S251:0.1,self.S307:0.1,self.S289:0.1,self.S308:0.1,self.S303:0.1,self.S301:0.1,self.S304:0.1},'2020-02-20':{self.TLT:1.0},'2020-04-24':{self.S119:0.1,self.S302:0.1,self.S306:0.1,self.S111:0.1,self.S160:0.1,self.S89:0.1,self.S223:0.1,self.S309:0.1,self.S310:0.1,self.S289:0.1},'2020-05-01':{self.S119:0.1,self.S302:0.1,self.S111:0.1,self.S306:0.1,self.S223:0.1,self.S160:0.1,self.S310:0.1,self.S311:0.1,self.S312:0.1,self.S33:0.1},'2020-06-01':{self.S111:0.1,self.S313:0.1,self.S119:0.1,self.S89:0.1,self.S306:0.1,self.S314:0.1,self.S283:0.1,self.S311:0.1,self.S315:0.1,self.S227:0.1},'2020-07-01':{self.S111:0.1,self.S120:0.1,self.S316:0.1,self.S313:0.1,self.S231:0.1,self.S317:0.1,self.S318:0.1,self.S149:0.1,self.S319:0.1,self.S311:0.1},'2020-08-03':{self.S111:0.1,self.S120:0.1,self.S231:0.1,self.S320:0.1,self.S316:0.1,self.S311:0.1,self.S314:0.1,self.S321:0.1,self.S149:0.1,self.S322:0.1},'2020-09-01':{self.S111:0.1,self.S231:0.1,self.S323:0.1,self.S324:0.1,self.S224:0.1,self.S314:0.1,self.S311:0.1,self.S325:0.1,self.S326:0.1,self.S318:0.1},'2020-10-01':{self.S231:0.1,self.S327:0.1,self.S324:0.1,self.S328:0.1,self.S329:0.1,self.S330:0.1,self.S111:0.1,self.S331:0.1,self.S332:0.1,self.S325:0.1},'2020-11-02':{self.S333:0.1,self.S330:0.1,self.S334:0.1,self.S324:0.1,self.S327:0.1,self.S332:0.1,self.S111:0.1,self.S248:0.1,self.S231:0.1,self.S335:0.1},'2020-12-01':{self.S333:0.1,self.S324:0.1,self.S330:0.1,self.S334:0.1,self.S84:0.1,self.S328:0.1,self.S335:0.1,self.S175:0.1,self.S336:0.1,self.S294:0.1}}
self.Schedule.On(
self.DateRules.EveryDay(),
self.TimeRules.AfterMarketOpen('SPY', 45),
self.rebalance
)
def rebalance(self):
currentDate = self.UtcTime.date()
try:
new_position = self.signals["{}".format(currentDate)]
except:
return
# openOrders = self.Transactions.GetOpenOrders()
# if len(openOrders) > 0:
# for x in openOrders:
# self.Transactions.CancelOrder(x.Id)
invested = [ x.Symbol for x in self.Portfolio.Values if x.Invested ]
invested = dict.fromkeys(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, 0.92 * price)