| Overall Statistics |
|
Total Trades 119 Average Win 3.92% Average Loss -2.30% Compounding Annual Return 396.211% Drawdown 14.600% Expectancy 0.511 Net Profit 89.475% Sharpe Ratio 5.292 Probabilistic Sharpe Ratio 92.522% Loss Rate 44% Win Rate 56% Profit-Loss Ratio 1.70 Alpha 2.27 Beta 0.341 Annual Standard Deviation 0.442 Annual Variance 0.195 Information Ratio 4.788 Tracking Error 0.447 Treynor Ratio 6.853 Total Fees $3990.64 Estimated Strategy Capacity $170000.00 Lowest Capacity Asset MVV TJNNZWL5I4IT Portfolio Turnover 76.47% |
from AlgorithmImports import *
import math
import pandas as pd
from cmath import sqrt
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data.Custom import *
from QuantConnect.Python import PythonData
class IntelligentSkyDoge(QCAlgorithm):
def Initialize(self):
self.cash = 100000
self.buffer_pct = 0.03 # CHANGE YOUR THRESHOLD HERE
self.SetStartDate(2023, 1, 1)
self.SetEndDate(2023, 5, 28)
self.SetCash(self.cash)
self.equities = ['UPRO', 'SPY', 'TQQQ', 'TECL', 'SOXL', 'TECS', 'SOXS', 'SQQQ', 'SPXU', 'ERX', 'EUO', 'YCS', 'EWZ', 'MVV', 'USD', 'DBC', 'UVXY', 'BIL', 'IEF', 'UUP', 'TMF', 'UCO', 'SPXL', 'QLD', 'SHY', 'GLD', 'SPXS', 'EPI', 'TMV', 'IYK', 'QQQ', 'TLT', 'CURE', 'DIG', 'EEM', 'VIXY', 'BSV', 'SPHB', 'AGG', 'XLU', 'EFA']
self.MKT = self.AddEquity("SPY", Resolution.Daily).Symbol
self.mkt = []
for equity in self.equities:
self.AddEquity(equity, Resolution.Minute)
self.Securities[equity].SetDataNormalizationMode(DataNormalizationMode.Adjusted)
self.PT1 = 0.94
self.PT2 = 0.0
self.PT3 = 0.0
self.HT40 = {str(i).zfill(2): 0 for i in range(1, 21)}
self.HTS40 = {str(i).zfill(2): [] for i in range(1, 21)}
self.Schedule.On(self.DateRules.EveryDay("SPY"),
self.TimeRules.BeforeMarketClose("SPY", 2),
self.FunctionBeforeMarketClose)
def RSI(self, equity, period):
extension = min(period*5, 250)
r_w = RollingWindow[float](extension)
history = self.History(equity, extension - 1, Resolution.Daily)
for historical_bar in history:
r_w.Add(historical_bar.Close)
while r_w.Count < extension:
current_price = self.Securities[equity].Price
r_w.Add(current_price)
if r_w.IsReady:
average_gain = 0
average_loss = 0
gain = 0
loss = 0
for i in range(extension - 1, extension - period -1, -1):
gain += max(r_w[i-1] - r_w[i], 0)
loss += abs(min(r_w[i-1] - r_w[i], 0))
average_gain = gain/period
average_loss = loss/period
for i in range(extension - period - 1, 0, -1):
average_gain = (average_gain*(period-1) + max(r_w[i-1] - r_w[i], 0))/period
average_loss = (average_loss*(period-1) + abs(min(r_w[i-1] - r_w[i], 0)))/period
if average_loss == 0:
return 100
else:
rsi = 100 - (100/(1 + average_gain / average_loss))
return rsi
else:
return None
def CumReturn(self, equity, period):
history = self.History(equity, period, Resolution.Daily)
closing_prices = pd.Series([bar.Close for bar in history])
current_price = self.Securities[equity].Price
closing_prices = closing_prices.append(pd.Series([current_price]))
first_price = closing_prices.iloc[0]
if first_price == 0:
return None
else:
return_val = (current_price / first_price) - 1
return return_val
def STD(self, equity, period):
r_w = RollingWindow[float](period + 1)
r_w_return = RollingWindow[float](period)
history = self.History(equity, period, Resolution.Daily)
for historical_bar in history:
r_w.Add(historical_bar.Close)
while r_w.Count < period + 1:
current_price = self.Securities[equity].Price
r_w.Add(current_price)
for i in range (period, 0, -1):
daily_return = (r_w[i-1]/r_w[i] - 1)
r_w_return.Add(daily_return)
dfSTD = pd.DataFrame({'r_w_return':r_w_return})
if r_w.IsReady:
STD = dfSTD['r_w_return'].STD()
if STD == 0:
return 0
else:
return STD
else:
return 0
def MaxDD(self, equity, period):
history = self.History(equity, period - 1, Resolution.Daily)
closing_prices = pd.Series([bar.Close for bar in history])
current_price = self.Securities[equity].Price
closing_prices = closing_prices.append(pd.Series([current_price]))
rolling_max = closing_prices.cummax()
drawdowns = (rolling_max - closing_prices) / rolling_max
max_dd = drawdowns.min()
return max_dd
def SMA(self, equity, period):
r_w = RollingWindow[float](period)
history = self.History(equity, period - 1, Resolution.Daily)
for historical_bar in history:
r_w.Add(historical_bar.Close)
while r_w.Count < period:
current_price = self.Securities[equity].Price
r_w.Add(current_price)
if r_w.IsReady:
sma = sum(r_w) / period
return sma
else:
return 0
def IV(self, equity, period):
r_w = RollingWindow[float](period + 1)
r_w_return = RollingWindow[float](period)
history = self.History(equity, period, Resolution.Daily)
for historical_bar in history:
r_w.Add(historical_bar.Close)
while r_w.Count < period + 1:
current_price = self.Securities[equity].Price
r_w.Add(current_price)
for i in range (period, 0, -1):
if r_w[i] == 0:
return 0
else:
daily_return = (r_w[i-1]/r_w[i] - 1)
r_w_return.Add(daily_return)
dfinverse = pd.DataFrame({'r_w_return':r_w_return})
if r_w.IsReady:
STD = dfinverse['r_w_return'].STD()
if STD == 0:
return 0
else:
inv_vol = 1 / STD
return inv_vol
else:
return 0
def SMADayRet(self, equity, period):
r_w = RollingWindow[float](period + 1)
r_w_return = RollingWindow[float](period)
history = self.History(equity, period, Resolution.Daily)
for historical_bar in history:
r_w.Add(historical_bar.Close)
while r_w.Count < period + 1:
current_price = self.Securities[equity].Price
r_w.Add(current_price)
for i in range (period, 0, -1):
if r_w[i] == 0:
return None
daily_return = (r_w[i-1]/r_w[i] - 1)
r_w_return.Add(daily_return)
if r_w.IsReady:
smareturn = sum(r_w_return) / period
return smareturn
else:
return 0
def EMA(self, equity, period):
extension = period + 50
r_w = RollingWindow[float](extension)
history = self.History(equity, extension - 1, Resolution.Daily)
for historical_bar in history:
r_w.Add(historical_bar.Close)
while r_w.Count < extension:
current_price = self.Securities[equity].Price
r_w.Add(current_price)
if r_w.IsReady:
total_price = 0
for i in range(extension - 1, extension - period - 2, -1):
total_price += r_w[i]
average_price = total_price/period
for i in range(extension - period - 2, -1, -1):
average_price = r_w[i]*2/(period+1) + average_price*(1-2/(period+1))
return average_price
else:
return None
def Sort(self, sort_type, equities, period, reverse, number, multiplier):
self.PT = getattr(self, f"PT{number}") * multiplier
returns = {}
for equity in equities:
returns[equity] = getattr(self, sort_type)(equity, period)
s_e = sorted([item for item in returns.items() if item[1] is not None], key = lambda x: x[1], reverse = reverse)
t3e = s_e[:1]
for i in self.HT40.keys():
if self.HT40[i] == 0:
self.HT40[i] = self.PT
self.HTS40[i].append(t3e[0][0])
break
def AppendHolding(self, equity, PTnumber, HTnumber, multiplier):
HT = getattr(self, f"HT{HTnumber}")
HTS = getattr(self, f"HTS{HTnumber}")
PT = getattr(self, f"PT{PTnumber}") * multiplier
for i in HT.keys():
if HT[i] == 0:
HT[i] = PT
HTS[i].append(equity)
break
def OnData (self, data):
pass
def FunctionBeforeMarketClose(self):
mkt_price = self.History(self.MKT, 2, Resolution.Daily)['close'].unstack(level= 0).iloc[-1]
self.mkt.append(mkt_price)
mkt_perf = self.cash * self.mkt[-1] / self.mkt[0]
self.Plot('Strategy Equity', self.MKT, mkt_perf)
self.DereckCustomBetaBaller()
self.ExecuteTrade()
def DereckCustomBetaBaller(self):
if self.SMADayRet('TLT', 350) < self.SMADayRet('TLT', 550):
if self.Securities['SPY'].Price < self.SMA('SPY', 200):
self.V320BetaBaller()
else:
self.BullStockMarket()
else:
self.NewApollo()
def V320BetaBaller(self):
if self.RSI('BIL', 8) < 35:
if self.RSI('TQQQ', 10) > 80:
self.OverboughtSP()
else:
self.AppendHolding('SOXL', 1, 40, 1)
else:
if self.RSI('SPY', 6) < 27:
self.ExtremelyoversoldSP()
else:
self.BearStockMarket()
def OverboughtSP(self):
self.Sort("RSI",["UVXY", "VIXY"],13,False, 1, 1)
def ExtremelyoversoldSP(self):
if self.RSI('BSV', 7) < self.RSI('SPHB', 7):
self.Sort("RSI",["SOXS", "SOXS"],7,False, 1, 1)
else:
self.Sort("RSI",["SOXL", "TECL"],7,False, 1, 1)
def BearStockMarket(self):
if self.RSI('BSV', 7) > self.RSI('SHY', 7):
self.BearStockMarketSTRIPPED331()
else:
self.AppendHolding('SOXL', 1, 40, 1)
def BearStockMarketSTRIPPED331(self):
if self.RSI('QQQ', 10) < 30:
self.Sort("SMADayRet",["TQQQ", "SPXL", "SOXL", "UPRO"], 5, True, 1, 1)
else:
if self.RSI('SPY', 10) < 30:
self.AppendHolding('UPRO', 1, 40, 1)
else:
if self.Securities['QLD'].Price > self.SMA('QLD', 20):
self.BearStockMarketSTRIPPED231()
else:
self.BearStockMarketSTRIPPED022()
def BearStockMarketSTRIPPED231(self):
if self.RSI('BIL', 7) > self.RSI('IEF', 7):
self.BearStockMarketSTRIPPED141()
else:
if self.RSI('SPY', 6) > 75:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.AppendHolding('SOXL', 1, 40, 1)
def BearStockMarketSTRIPPED141(self):
if self.Securities['TLT'].Price < self.SMA('TLT', 21):
self.BAARiskOffRisingRatesTMV()
else:
self.BABRiskOffFallingRatesTMF()
def BAARiskOffRisingRatesTMV(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.RSI('TQQQ', 10) < 30:
self.Sort("SMADayRet",["TQQQ", "SOXL", "UPRO"],5,True, 1, 1)
else:
if self.CumReturn('SPY', 2) < -0.02:
self.Sort("CumReturn",["SPXS", "TECS", "SOXS", "SQQQ", "ERX"],5,False, 1, 1)
else:
if self.CumReturn('SPXU', 6) > self.CumReturn('UPRO', 3):
self.Sort("CumReturn",["SOXS", "SQQQ", "EPI"], 5, True, 1, 1)
else:
self.Sort("SMADayRet",["TECL", "SOXL", "TMV"], 5, False, 1, 1)
else:
if self.SMADayRet('SPY', 210) > self.SMADayRet('DBC', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet",["SOXL", "IYK", "TMV"], 5, False, 1, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet",["TQQQ", "IYK", "SOXL", "UPRO", "TECL"], 5, True, 1, 1)
else:
self.Sort("SMADayRet",["SOXL", "IYK", "UPRO"], 22, False, 1, 1)
else:
self.Defence()
def Defence(self):
if self.STD('DBC', 20) > self.STD('SPY', 20):
if self.STD('DBC', 10) > 0.03:
if self.STD('TMV', 5) < self.STD('DBC', 5):
self.AppendHolding('TMV', 1, 40, 1)
else:
self.AppendHolding('DBC', 1, 40, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet",["TMV", "SOXS", "SPXU"], 5, True, 1, 1)
else:
self.Sort("CumReturn",["EFA", "EEM", "SPXS", "SOXS", "UCO", "TMV"], 5, False, 1, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet",["EPI", "SOXL", "UPRO", "IYK"], 5, False, 1, 1)
else:
self.Sort("CumReturn",["EWZ", "TECS", "SOXS", "EUO", "YCS", "TMV"], 5, False, 1, 1)
def BABRiskOffFallingRatesTMF(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.CumReturn('SPY', 2) < -0.02:
self.Sort("SMADayRet",["SPXS", "TECS", "SOXS", "SQQQ"], 5, True, 1, 1)
else:
if self.CumReturn('SPXU', 6) > self.CumReturn('UPRO', 3):
self.Sort("CumReturn",["BIL", "AGG", "TMF"], 5, False, 1, 1)
else:
self.Sort("SMADayRet",["TECL", "SOXL", "TQQQ", "EWZ", "TMF"], 5, False, 1, 1)
else:
if self.SMADayRet('SPY', 210) > self.SMADayRet('DBC', 360):
if self.EMA('SPY', 210) > self.EMA('SPY', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet",["TECL", "TQQQ", "SPXL", "EPI", "SOXL", "UPRO", "QLD", "EWZ", "MVV", "XLU", "IYK", "USD", "TMF"], 7, False, 1, 1)
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet",["TECL", "SPXL", "EPI", "SOXL", "UPRO", "MVV"], 7, False, 1, 1)
else:
self.Sort("CumReturn",["SOXS", "TMF"], 5, True, 1, 1)
else:
self.Sort("RSI",["SPXS", "SQQQ", "TECS", "SOXS"], 5, False, 1, 1)
else:
self.Defence2()
def Defence2(self):
if self.STD('DBC', 20) > self.STD('SPY', 20):
self.Sort("RSI",["SPXS", "EPI", "TECS", "SOXS", "SQQQ"], 5, False, 1, 1)
else:
self.Sort("SMADayRet",["TECL", "TQQQ", "SOXL", "TMF"], 5, True, 1, 1)
def BearStockMarketSTRIPPED022(self):
if self.RSI('TQQQ', 9) < 32:
if self.CumReturn('TQQQ', 2) > self.CumReturn('TQQQ', 5):
self.FiveandDime11()
else:
self.Sort("RSI",["TMF", "UCO", "USD", "SOXL", "SQQQ"], 5, False, 1, 1)
else:
self.BearStockMarketSTRIPPED201()
def FiveandDime11(self):
self.Substrategy1()
self.Substrategy2()
def Substrategy1(self):
self.Sort("RSI",["TECL", "SOXL", "SHY"], 10, False, 1, 0.5)
def Substrategy2(self):
self.Sort("RSI",["SHY", "SOXL"], 5, False, 1, 0.5)
def BearStockMarketSTRIPPED201(self):
if self.Securities['TLT'].Price > self.SMA('TLT', 200):
self.ABMediumtermTLT()
else:
self.BlongtermTLT()
def ABMediumtermTLT(self):
if self.SMADayRet('TLT', 20) < 0:
self.ABBARiskOffRisingRatesTMV()
else:
self.ABBBRiskOffFallingRatesTMF()
def ABBARiskOffRisingRatesTMV(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.RSI('TQQQ', 10) < 30:
self.Sort("SMADayRet",["TECL", "TQQQ", "SOXL", "UPRO"], 5, False, 1, 1)
else:
if self.CumReturn('SPXU', 6) > self.CumReturn('UPRO', 3):
self.Sort("CumReturn",["SOXS", "EUO", "YCS"], 5, True, 1,1)
else:
self.Sort("SMADayRet",["TECL", "SOXL", "TQQQ", "CURE"],5, False,1,1)
else:
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet",["SOXL", "TECL", "TMV", "TQQQ", "UPRO"],5, False,1,1)
def ABBBRiskOffFallingRatesTMF(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.RSI('TQQQ', 10) < 30:
self.Sort("SMADayRet",["TECL", "SOXL", "TQQQ"],5, False,1,1)
else:
if self.CumReturn('SPY', 2) < -0.02:
self.Sort("CumReturn",["TECS", "SOXS", "SQQQ"],5, True,1,1)
else:
if self.CumReturn('SPXU', 6) > self.CumReturn('UPRO', 3):
self.Sort("CumReturn",["ERX", "EUO", "YCS"],5, True,1,1)
else:
self.Sort("SMADayRet",["EWZ", "SOXL", "MVV", "USD"],5, False,1,1)
else:
if self.SMADayRet('SPY', 210) > self.SMADayRet('DBC', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.AppendHolding('SOXL', 1, 40, 1)
else:
self.Sort("CumReturn",["EWZ", "UUP", "TMF", "UCO"],5, True,1,1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet",["TQQQ", "SPXL", "QLD", "USD", "TECL"],5, False,1,1)
else:
self.Sort("CumReturn",["EWZ", "EWZ", "TMF"],5, True,1,1)
else:
self.Defence3()
def Defence3(self):
if self.STD('DBC', 20) > self.STD('SPY', 20):
self.Sort("RSI",["SHY", "EWZ", "GLD", "SPXS", "TECS", "SOXS", "UCO", "YCS"],5, False,1,1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet",["SOXL", "USD", "TMF"],5, False,1,1)
else:
self.Sort("CumReturn",["EWZ", "SPXS", "SOXS", "UCO", "YCS"],5, True,1,1)
def BlongtermTLT(self):
if self.SMADayRet('TLT', 20) < 0:
self.BAARiskOffRisingRatesTMV2()
else:
self.BABRiskOffFallingRatesTMF()
def BAARiskOffRisingRatesTMV2(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.RSI('TQQQ', 10) < 30:
self.Sort("SMADayRet",["TQQQ", "SOXL", "UPRO"],5, True,1,1)
else:
if self.CumReturn('SPY', 2) < -0.02:
self.Sort("CumReturn",["SPXS", "TECS", "SOXS", "SQQQ", "ERX"],5,False,1,1)
else:
if self.CumReturn('SPXU', 6) > self.CumReturn('UPRO', 3):
self.Sort("CumReturn", ["SOXS", "SQQQ", "EPI"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "SOXL", "TMV"], 5, False, 1, 1)
else:
if self.SMADayRet('SPY', 210) > self.SMADayRet('DBC', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet",["SOXL", "IYK", "TMV"], 5, False, 1, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["TQQQ","SOXL", "IYK", "TMV", "UPRO", "TECL"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["SOXL", "IYK", "UPRO"], 22, False, 1, 1)
else:
self.Defence()
def BullStockMarket(self):
if self.RSI('SPY', 40) > 75:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.AppendHolding('QQQ', 1, 40, 1)
else:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.BullStockMarket222()
def BullStockMarket222(self):
if self.RSI('BIL', 7) > self.RSI('IEF', 7):
self.BullStockMarketSTRIPPED1()
else:
if self.RSI('SPY', 6) > 75:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.AppendHolding('SOXL', 1, 40, 1)
def BullStockMarketSTRIPPED1(self):
if self.RSI('TQQQ', 14) > 75:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.RSI('SPXL', 10) > 80:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.BullStockMarketSTRIPPED201()
def BullStockMarketSTRIPPED201(self):
if self.Securities['TLT'].Price > self.SMA('TLT', 200):
self.ALongTLTtrendingup()
else:
self.BLongTLTtrendingdown()
def ALongTLTtrendingup(self):
if self.RSI('TLT', 14) < 50:
self.AAMediumTLTnotOverbought()
else:
self.ABMediumTLTmayOverbought2()
def AAMediumTLTnotOverbought(self):
if self.Securities['TLT'].Price > self.SMA('TLT', 5):
self.AAAShortTLTtrendingup()
else:
self.AABShortTLTtrendingdown()
def AAAShortTLTtrendingup(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.RSI('TQQQ', 10) < 30:
self.Sort("SMADayRet", ["TQQQ", "SOXL", "UPRO", "TECL", "SPXL"], 5, True, 1, 1)
else:
if self.CumReturn('SPXU', 6) > self.CumReturn('UPRO', 3):
self.Sort("CumReturn", ["TECS", "SOXS", "SQQQ", "TMF", "SHY"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "SOXL", "UPRO", "EWZ", "TMF", "TQQQ"], 5, False, 1, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
self.Sort("SMADayRet", ["TECL", "TQQQ", "TMF"], 7, False, 1, 1)
else:
self.Sort("SMADayRet", ["SOXL", "TMF"], 7, False, 1, 1)
def AABShortTLTtrendingdown(self):
if self.RSI('TLT', 14) < 20:
self.AppendHolding('SHY', 1, 40, 1)
else:
if self.SMADayRet('TLT', 20) < 0:
self.AABBARiskOffRisingRatesTMV()
else:
self.AABBBRiskOffFallingRatesTMF()
def AAMediumTLTnotOverbought(self):
if self.Securities['TLT'].Price > self.SMA('TLT', 5):
self.AAAShortTLTtrendingup()
else:
self.AABShortTLTtrendingdown()
def AABBARiskOffRisingRatesTMV(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.CumReturn('SPXU', 6) >= self.CumReturn('UPRO', 3):
self.Sort("CumReturn", ["SOXS", "ERX", "SHY"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["TQQQ", "SOXL", "CURE", "EWZ", "SHY"], 5, False, 1, 1)
else:
if self.SMA('SPY', 210) > self.SMA('DBC', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "UPRO", "TMV", "SHY"], 5, False, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "UPRO", "TMV", "SHY"], 5, True, 1, 1)
else:
self.DefenseModified4()
def DefenseModified4(self):
if self.STD('DBC', 20) > self.STD('SPY', 20):
self.Sort("RSI", ["EEM", "TECS", "SOXS", "TMV"], 5, False, 1, 1)
else:
self.Sort("RSI", ["EEM", "TECS", "SOXS", "TMV"], 10, False, 1, 1)
def AABBBRiskOffFallingRatesTMF(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.CumReturn('SPXU', 6) >= self.CumReturn('UPRO', 3):
self.Sort("SMADayRet", ["TQQQ", "SOXL", "UPRO", "TECL", "TMF"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "TMF"], 5, False, 1, 1)
elif self.SMADayRet('SPY', 210) > self.SMADayRet('DBC', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
elif self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SPXL", "EPI", "SOXL", "UPRO", "QLD", "EWZ", "MVV", "PUI", "IYK", "USD", "TMF"], 7, False, 1, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "PUI"], 5, False, 1, 1)
else:
self.Sort("CumReturn", ["SOXS", "SQQQ", "UCO", "DIG"], 5, False, 1, 1)
else:
self.Sort("SMADayRet", ["EPI", "UPRO", "SOXL", "TQQQ"], 5, True, 1, 1)
def ABMediumTLTmayOverbought2(self):
if self.RSI('TLT', 14) > 80:
self.ABAMediumtermTLTisoverbought()
else:
if self.Securities['TLT'].Price < self.SMA('TLT', 21):
self.ABBARiskOffRisingRatesTMV()
else:
self.ABBBRiskOffFallingRatesTMF()
def ABAMediumtermTLTisoverbought(self):
if self.SMADayRet('SPY', 210) > self.SMADayRet('DBC', 360):
if self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "UPRO"], 5, False, 1, 1)
else:
self.Sort("RSI", ["SQQQ", "TECS", "SOXS", "TMV"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["EPI", "UPRO", "SOXL", "TQQQ", "TMV"], 5, True, 1, 1)
def BLongTLTtrendingdown(self):
if self.Securities['TLT'].Price < self.SMA('TLT', 21):
self.BAARiskOffRisingRatesTMV2()
else:
self.BABRiskOffFallingRatesTMF2()
def BABRiskOffFallingRatesTMF2(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.CumReturn('SPY', 2) <= -0.02:
self.Sort("CumReturn", ["SPXS", "TECS", "SOXS", "SQQQ"], 5, True, 1, 1)
elif self.CumReturn('SPXU', 6) >= self.CumReturn('UPRO', 3):
self.Sort("CumReturn", ["BIL", "AGG", "TMF"], 5, False, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "EWZ", "TMF"], 5, False, 1, 1)
elif self.SMADayRet('SPY', 210) > self.SMADayRet('DBC', 360):
if self.EMA('SPY', 210) > self.EMA('SPY', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
elif self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SPXL", "EPI", "SOXL", "UPRO", "QLD", "EWZ", "MVV", "XLU", "IYK", "USD", "TMF"], 7, False, 1, 1)
elif self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["TECL", "SPXL", "EPI", "SOXL", "UPRO", "MVV", "UGE"], 7, False, 1, 1)
else:
self.Sort("CumReturn", ["SOXS", "TMF"], 5, True, 1, 1)
else:
self.Sort("RSI", ["SPXS", "SQQQ", "TECS", "SOXS"], 5, False, 1, 1)
else:
self.Defence2()
def NewApollo(self):
if self.Securities['SPY'].Price > self.SMA('SPY', 200):
if self.RSI('QQQ', 14) > 80:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.RSI('SPY', 10) > 80:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.V201ABetterLETFBasketDJKeyholeNoUGEPUI()
else:
if self.RSI('TQQQ', 9) < 32:
if self.CumReturn('TQQQ', 2) >= self.CumReturn('TQQQ', 5):
self.FiveandDime11()
else:
if self.RSI('SPY', 10) < 30:
self.FiveandBelow12()
else:
if self.Securities['TQQQ'].Price > self.SMA('TQQQ', 20):
if self.RSI('SQQQ', 10) < 31:
self.AppendHolding('SQQQ', 1, 40, 1)
else:
self.AppendHolding('TQQQ', 1, 40, 1)
else:
self.Sort("RSI", ["TMF", "UCO", "USD", "SOXL", "SQQQ"], 5, False, 1, 1)
else:
self.V201ABetterLETFBasketDJKeyholeNoUGEPUI()
def V201ABetterLETFBasketDJKeyholeNoUGEPUI(self):
if self.Securities['TLT'].Price > self.SMA('TLT', 200):
self.AIfLongTermTLTIsTrendingUp2()
else:
self.BLongTLTtrendingdown2()
def AIfLongTermTLTIsTrendingUp2(self):
if self.RSI('TLT', 14) < 50:
self.AAIfMediumTermTLTIsNotOverbought2()
else:
self.ABMediumTermTLTMayBeOverbought3()
def AAIfMediumTermTLTIsNotOverbought2(self):
if self.Securities['TLT'].Price > self.SMA('TLT', 5):
self.AAAShortTermTLTIsTrendingUpBuy3xLeveragedBullTreasuryBonds2()
else:
self.AABIfShortTermTLTIsTrendingDown2()
def AAAShortTermTLTIsTrendingUpBuy3xLeveragedBullTreasuryBonds2(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.RSI('TQQQ', 10) < 30:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "UPRO"], 5, True, 1, 1)
else:
if self.CumReturn('SPXU', 6) >= self.CumReturn('UPRO', 3):
self.Sort("CumReturn", ["TECS", "SOXS", "SQQQ", "TMF", "SHY"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "UPRO", "EWZ", "TMF"], 5, False, 1, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
self.Sort("SMADayRet", ["TECL", "TQQQ", "TMF"], 7, False, 1, 1)
else:
self.Sort("SMADayRet", ["SOXL", "TMF"], 7, False, 1, 1)
def AABIfShortTermTLTIsTrendingDown2(self):
if self.RSI('TLT', 14) < 20:
self.AppendHolding('TMF', 1, 40, 1)
else:
if self.SMADayRet('TLT', 20) < 0:
self.AABBARiskOffRisingRatesTMV()
else:
self.AABBBRiskOffFallingRatesTMF2()
def AABBBRiskOffFallingRatesTMF2(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.CumReturn('SPXU', 6) >= self.CumReturn('UPRO', 3):
self.Sort("SMADayRet", ["TQQQ", "SOXL", "UPRO", "TECL", "TMF"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "TMF"], 5, False, 1, 1)
elif self.SMA('SPY', 210) > self.SMA('DBC', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
elif self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "EPI", "SOXL", "UPRO", "QLD", "EWZ", "MVV", "XLU", "USD", "TMF"], 7, False, 1, 1)
elif self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "XLU"], 5, False, 1, 1)
else:
self.Sort("CumReturn", ["SOXS", "SQQQ", "UCO", "DIG"], 5, False, 1, 1)
else:
self.Sort("SMADayRet", ["EPI", "UPRO", "SOXL", "TQQQ"], 5, True, 1, 1)
def ABMediumTermTLTMayBeOverbought3(self):
if self.RSI('TLT', 14) > 80:
self.ABAMediumtermTLTisoverbought()
else:
self.ABBLeveragedSafety()
def ABBLeveragedSafety(self):
if self.SMADayRet('TLT', 20) < 0:
self.ABBARiskOffRisingRatesTMV()
else:
self.ABBARiskOffFallingRatesTMF2()
def ABBARiskOffFallingRatesTMF2(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.RSI('TQQQ', 10) < 30:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL"], 5, False, 1, 1)
elif self.CumReturn('SPY', 2) <= -0.02:
self.Sort("CumReturn", ["TECS", "SOXS", "SQQQ"], 5, True, 1, 1)
elif self.CumReturn('SPXU', 6) >= self.CumReturn('UPRO', 3):
self.Sort("CumReturn", ["ERX", "EUO", "YCS"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["SOXL", "EWZ", "MVV", "USD"], 5, False, 1, 1)
elif self.SMADayRet('SPY', 210) > self.SMADayRet('DBC', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
elif self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
elif self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.AppendHolding('SOXL', 1, 40, 1)
else:
self.Sort("CumReturn", ["EWZ", "UUP", "TMF", "UCO"], 5, True, 1, 1)
elif self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["TECL", "TQQQ", "UPRO", "QLD", "USD"], 5, False, 1, 1)
else:
self.Sort("CumReturn", ["EWZ", "UUP", "TMF"], 5, True, 1, 1)
else:
self.DefenseModified5()
def DefenseModified5(self):
if self.STD('DBC', 20) > self.STD('SPY', 20):
self.Sort("RSI", ["SHY", "EWZ", "GLD", "SPXU", "TECS", "SOXS", "UCO", "YCS"], 5, False, 1, 1)
elif self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["SOXL", "USD", "TMF"], 5, False, 1, 1)
else:
self.Sort("CumReturn", ["EWZ", "SPXU", "SOXS", "UCO", "YCS"], 5, True, 1, 1)
def BLongTLTtrendingdown2(self):
if self.Securities['TLT'].Price < self.SMA('TLT', 21):
self.BAARiskOffRisingRatesTMV3()
else:
self.BABRiskOffFallingRatesTMF3()
def BAARiskOffRisingRatesTMV3(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.RSI('TQQQ', 10) < 30:
self.Sort("SMADayRet", ["TQQQ", "SOXL", "UPRO"], 5, True, 1, 1)
else:
if self.CumReturn('SPY', 2) <= -0.02:
self.Sort("CumReturn", ["SPXU", "TECS", "SOXS", "SQQQ", "ERX"], 5, False, 1, 1)
else:
if self.CumReturn('SPXU', 6) >= self.CumReturn('UPRO', 3):
self.Sort("CumReturn", ["SOXS", "SQQQ", "EPI"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "SOXL", "TMV"], 5, False, 1, 1)
else:
if self.SMA('SPY', 210) > self.SMA('DBC', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet", ["SOXL", "IYK", "TMV"], 5, False, 1, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["TQQQ", "SOXL", "UPRO", "TMV", "TECL"], 5, True, 1, 1)
else:
self.Sort("SMADayRet", ["SOXL", "UPRO", "IYK"], 22, False, 1, 1)
else:
self.DefenseModified6()
def DefenseModified6(self):
if self.STD('DBC', 20) > self.STD('SPY', 20):
if self.STD('DBC', 10) >= 0.03:
if self.STD('TMV', 5) <= self.STD('DBC', 5):
self.AppendHolding('TMV', 1, 40, 1)
else:
self.AppendHolding('DBC', 1, 40, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["TMV", "SOXS", "SPXU"], 5, True, 1, 1)
else:
self.Sort("CumReturn", ["EFA", "EEM", "SPXU", "SOXS", "UCO", "TMV"], 5, False, 1, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["EPI", "SOXL", "UPRO"], 5, False, 1, 1)
else:
self.Sort("CumReturn", ["EWZ", "TECS", "SOXS", "EUO", "YCS", "TMV"], 5, True, 1, 1)
def BABRiskOffFallingRatesTMF3(self):
if self.EMA('SPY', 210) <= self.SMA('SPY', 360):
if self.CumReturn('SPY', 2) < -0.02:
self.Sort("CumReturn", ["SPXU", "TECS", "SOXS", "SQQQ"], 5, True, 1, 1)
else:
if self.CumReturn('SPXU', 6) >= self.CumReturn('UPRO', 3):
self.Sort("CumReturn", ["BIL", "AGG", "TMF"], 5, False, 1, 1)
else:
self.Sort("CumReturn", ["TECL", "TQQQ", "SOXL", "EWZ", "TMF"], 5, False, 1, 1)
else:
if self.SMA('SPY', 210) > self.SMA('DBC', 360):
if self.EMA('SPY', 210) > self.EMA('SPY', 360):
if self.RSI('TQQQ', 11) > 77:
self.AppendHolding('UVXY', 1, 40, 1)
else:
if self.CumReturn('TQQQ', 6) < -0.1:
if self.CumReturn('TQQQ', 1) > 0.055:
self.AppendHolding('UVXY', 1, 40, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "EPI", "SOXL", "UPRO", "QLD", "EWZ", "MVV", "XLU", "USD", "TMF"], 7, True, 1, 1)
else:
if self.RSI('BIL', 7) < self.RSI('IEF', 7):
self.Sort("SMADayRet", ["TECL", "EPI", "SOXL", "UPRO", "MVV"], 7, False, 1, 1)
else:
self.Sort("CumReturn", ["SOXS", "TMF"], 5, True, 1, 1)
else:
self.Sort("RSI", ["SPXU", "SQQQ", "TECS", "SOXS"], 5, False, 1, 1)
else:
self.DefenseModified7()
def DefenseModified7(self):
if self.STD('DBC', 20) > self.STD('SPY', 20):
self.Sort("RSI", ["SPXU", "EPI", "TECS", "SOXS", "SQQQ"], 5, False, 1, 1)
else:
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "TMF"], 5, True, 1, 1)
def FiveandBelow12(self):
self.Sort("SMADayRet", ["TECL", "TQQQ", "SOXL", "UPRO", "QLD"], 5, False, 1, 1)
def ExecuteTrade(self):
group = {
'HTS': [self.HTS40[i][0] if len(self.HTS40[i]) == 1 else self.HTS40[i] for i in self.HTS40],
'HT': [self.HT40[i] for i in self.HT40]
}
df = pd.DataFrame(group)
df = pd.concat([df])
df['HTS'] = df['HTS'].astype(str)
result = df.groupby(['HTS']).sum().reset_index()
for equity in self.equities:
if all(not pd.isnull(result.iloc[i, 0]) and not equity == result.iloc[i, 0] for i in range(len(result))):
if self.Portfolio[equity].HoldStock:
self.Liquidate(equity)
output = "*****"
for i in range(len(result)):
if result.iloc[i, 0]:
percentage = round(result.iloc[i, 1] * 100, 2)
output += "{}: {}% - ".format(result.iloc[i, 0], percentage)
output = output.rstrip(" - ")
self.Log(output)
for i in range(len(result)):
if not result.iloc[i, 1] == 0 and not result.iloc[i, 0] == 'BIL':
percentage_equity = self.Portfolio[result.iloc[i, 0]].HoldingsValue / self.Portfolio.TotalPortfolioValue
quantity = (result.iloc[i, 1] - percentage_equity) * self.Portfolio.TotalPortfolioValue / self.Securities[result.iloc[i, 0]].Price
if result.iloc[i, 1] < percentage_equity and abs(result.iloc[i, 1] / percentage_equity - 1) > self.buffer_pct:
self.SetHoldings(result.iloc[i, 0], result.iloc[i, 1])
else:
pass
for i in range(len(result)):
if not result.iloc[i, 1] == 0 and not result.iloc[i, 0] == 'BIL':
percentage_equity = self.Portfolio[result.iloc[i, 0]].HoldingsValue / self.Portfolio.TotalPortfolioValue
quantity = (result.iloc[i, 1] - percentage_equity) * self.Portfolio.TotalPortfolioValue / self.Securities[result.iloc[i, 0]].Price
if result.iloc[i, 1] > percentage_equity and abs(percentage_equity / result.iloc[i, 1] - 1) > self.buffer_pct:
self.SetHoldings(result.iloc[i, 0], result.iloc[i, 1])
else:
pass
self.HT40 = {str(i).zfill(2): 0 for i in range(1, 21)}
self.HTS40 = {str(i).zfill(2): [] for i in range(1, 21)}