| Overall Statistics |
|
Total Trades 782 Average Win 0.19% Average Loss -0.08% Compounding Annual Return 6.886% Drawdown 16.400% Expectancy 1.823 Net Profit 140.996% Sharpe Ratio 0.864 Probabilistic Sharpe Ratio 29.495% Loss Rate 17% Win Rate 83% Profit-Loss Ratio 2.40 Alpha 0.059 Beta -0.021 Annual Standard Deviation 0.066 Annual Variance 0.004 Information Ratio -0.082 Tracking Error 0.193 Treynor Ratio -2.653 Total Fees $1039.19 |
from datetime import datetime
from collections import *
### <summary>
### All Weather Strategy (Dalio)
### #https://www.iwillteachyoutoberich.com/blog/all-weather-portfolio/
### </summary>>
# https://www.quantconnect.com/forum/discussion/7411/ray-dalio-039-s-all-weather-strategy/p1
class AllWeatherStrategy(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2007, 1, 1)
self.SetCash(1000000)
self.monthCounter = 0
# # Country index ETFs according to https://seekingalpha.com/etfs-and-funds/etf-tables/countries
# self.etfs_alt = [
# (self.AddEquity('QQQ', Resolution.Daily).Symbol,0.25),
# (self.AddEquity('XLU', Resolution.Daily).Symbol,0.25),
# (self.AddEquity('NVDA', Resolution.Daily).Symbol,0.25),
# (self.AddEquity('GLD', Resolution.Daily).Symbol,0.25),
# (self.AddEquity('MSFT', Resolution.Daily).Symbol,0.25),
# ]
# Country index ETFs according to https://seekingalpha.com/etfs-and-funds/etf-tables/countries
self.etfs = [
(self.AddEquity('VTI', Resolution.Daily).Symbol,0.3), #Vanguard Total Stock Market ETF
(self.AddEquity('TLT', Resolution.Daily).Symbol,0.4), # iShares 20+ Year Treasury ETF (TLT)
(self.AddEquity('IEF', Resolution.Daily).Symbol,0.15), #iShares 7 – 10 Year Treasury ETF (IEF)
(self.AddEquity('GLD', Resolution.Daily).Symbol,0.075), #SPDR Gold Shares ETF (GLD), #SPDR Gold Shares (GLD)
(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
def OnData(self, data):
pass
def Rebalance(self):
self.SetHoldings([PortfolioTarget(etf,target*self.leverage) for etf,target in self.etfs])