| Overall Statistics |
|
Total Trades 190 Average Win 1.07% Average Loss -0.37% Compounding Annual Return 12.597% Drawdown 8.000% Expectancy 1.638 Net Profit 77.624% Sharpe Ratio 1.688 Probabilistic Sharpe Ratio 94.671% Loss Rate 32% Win Rate 68% Profit-Loss Ratio 2.89 Alpha 0.07 Beta 0.121 Annual Standard Deviation 0.051 Annual Variance 0.003 Information Ratio -0.341 Tracking Error 0.147 Treynor Ratio 0.718 Total Fees $190.00 Estimated Strategy Capacity $45000000.00 Lowest Capacity Asset DBC TFVSB03UY0DH |
from datetime import datetime
from collections import *
class AllWeatherStrategy(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017, 1, 1)
#self.SetEndDate(2009, 1, 1)
self.SetCash(10000)
self.monthCounter = 0
self.etfs = [
(self.AddEquity('QQQ', Resolution.Daily).Symbol,0.35), #Invesco QQQ Trust
(self.AddEquity('TLT', Resolution.Daily).Symbol,0.4), #iShares 20+ Year Treasury ETF (TLT)
(self.AddEquity('VEA', Resolution.Daily).Symbol,0.15), #Vanguard FTSE Developed Markets ETF
(self.AddEquity('BITO', Resolution.Daily).Symbol,0.075), #ProShares Bitcoin ETF
(self.AddEquity('DBC', Resolution.Daily).Symbol,0.075) # PowerShares DB Commodity Index Tracking Fund (DBC)
]
self.Schedule.On(self.DateRules.MonthStart(self.etfs[0][0]), self.TimeRules.AfterMarketOpen(self.etfs[0][0]), self.Rebalance)
self.leverage = 1.0
self.vix_price = self.GetParameter("vix-price")
self.vix_price = float(self.vix_price) if self.vix_price else 30
self.vix = self.AddIndex("VIX", Resolution.Minute).Symbol
def OnData(self, data):
if self.Securities[self.vix].Price > self.vix_price:
self.Liquidate()
self.Log("ONDATA VIX CHECK FAILED LIQUIDATING")
pass
def Rebalance(self):
if not self.Securities[self.vix].Price > self.vix_price:
self.SetHoldings([PortfolioTarget(etf,target*self.leverage) for etf,target in self.etfs])
else: pass