| Overall Statistics |
|
Total Trades 15 Average Win 0.97% Average Loss -0.68% Compounding Annual Return 0.060% Drawdown 5.800% Expectancy 0.037 Net Profit 0.127% Sharpe Ratio 0.031 Probabilistic Sharpe Ratio 4.534% Loss Rate 57% Win Rate 43% Profit-Loss Ratio 1.42 Alpha -0.002 Beta 0.064 Annual Standard Deviation 0.041 Annual Variance 0.002 Information Ratio -0.33 Tracking Error 0.155 Treynor Ratio 0.019 Total Fees $482.20 Estimated Strategy Capacity $1900000.00 Lowest Capacity Asset BIL TT1EBZ21QWKL |
# region imports
from AlgorithmImports import *
# endregion
class AdaptableYellowLeopard(QCAlgorithm):
def Initialize(self):
start = datetime(2021, 1, 1) # Start date
end = datetime(2024, 12, 30) # End date
cash = 1000000 # Starting capital
self.period = 200 # rolling period to consider for drawup and drawdown calculations
self.SetStartDate(start) # Set Start Date
self.SetEndDate(end)
self.SetCash(cash) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.AddEquity("BIL", Resolution.Minute)
self.AddEquity("TLT", Resolution.Minute)
self.AddEquity("IEF", Resolution.Minute)
self.AddEquity("IAU", Resolution.Minute)
self.AddEquity("HYG", Resolution.Minute)
# self.AddEquity("VCLT", Resolution.Minute)
self.AddEquity("QQQ", Resolution.Minute)
self.AddEquity("VBR", Resolution.Minute)
# self.AddEquity("VWEHX", Resolution.Minute)
self.high = RollingWindow[float](self.period)
self.low = RollingWindow[float](self.period)
self.close = RollingWindow[float](self.period)
self.state1 = False
self.state2 = False
self.state3 = False
# self.spy
# self.Schedule.On(self.DateRules.MonthEnd("SPY", 1),
self.Schedule.On(self.DateRules.EveryDay("SPY"),
self.TimeRules.BeforeMarketClose("SPY", 2),
self.FunctionBeforeMarketClose)
def OnData(self, slice: Slice):
pass
def LiquidateExisting(self, symbols):
for symbol in symbols:
quantity = self.Portfolio[symbol].Quantity
if quantity != 0:
self.MarketOrder(symbol, -quantity, tag=f"Rebalancing {symbol}")
def FunctionBeforeMarketClose(self):
self.close = self.Securities['SPY'].Close
self.high.Add(self.Securities['SPY'].High)
self.low.Add(self.Securities['SPY'].Low)
# self.close = self.Securities['HYG'].Close
# self.high.Add(self.Securities['HYG'].High)
# self.low.Add(self.Securities['HYG'].Low)
if self.high.IsReady:
dd = abs((self.close / max(self.high)) - 1) * 100
du = (1 - (min(self.low) / self.close)) * 100
if dd == 0:
dd = .0000001
if du == 0:
du = .0001
# if dd != 0:
ddd = dd
# ddd = dd / du
if ddd < 3.75 and not self.state1:
# 100% SPY
self.LiquidateExisting(['BIL', 'TLT', 'IAU', 'IEF','VBR'])
# quantity = self.CalculateOrderQuantity("SPY", 1.0)
# self.MarketOrder('SPY', quantity, tag='100% SPY')
quantity = self.CalculateOrderQuantity("SPY", 1.)
self.MarketOrder('SPY', quantity, tag='100% SPY')
# quantity = self.CalculateOrderQuantity("VBR", 0.1)
# self.MarketOrder('VBR', quantity, tag='40% VBR')
# quantity = self.CalculateOrderQuantity("IEF", 0.1)
# self.MarketOrder('IEF', quantity, tag='40% IEF')
self.state1 = True
self.state2 = False
self.state3 = False
if ddd >= 3.75 and not self.state2:
# 50% BIL, 40% TLT, 10% IAU
self.LiquidateExisting(['SPY','QQQ','IEF', 'VBR'])
# self.LiquidateExisting(['QQQ'])
quantity = self.CalculateOrderQuantity("BIL", .7)
self.MarketOrder('BIL', quantity, tag='50% BIL')
# quantity = self.CalculateOrderQuantity("TLT", 0.2)
# self.MarketOrder('TLT', quantity, tag='40% TLT')
# quantity = self.CalculateOrderQuantity("IEF", 0.17)
# self.MarketOrder('IEF', quantity, tag='40% IEF')
# quantity = self.CalculateOrderQuantity("IAU", 0.30)
# self.MarketOrder('IAU', quantity, tag='10% IAU')
# quantity = self.CalculateOrderQuantity("VBR", 0.33)
# self.MarketOrder('VBR', quantity, tag='10% VBR')
# quantity = self.CalculateOrderQuantity("BIL", 0.25)
# self.MarketOrder('BIL', quantity, tag='50% BIL')
# quantity = self.CalculateOrderQuantity("TLT", 0.2)
# self.MarketOrder('TLT', quantity, tag='40% TLT')
# quantity = self.CalculateOrderQuantity("IAU", 0.5)
# self.MarketOrder('IAU', quantity, tag='10% IAU')
self.state2 = True
self.state1 = False
self.state3 = False
# if 1.2 >= ddd >= 0.8 and not self.state3:
# # 50% SPY, 50% BIL
# self.LiquidateExisting(['TLT', 'IAU'])
# quantity = self.CalculateOrderQuantity("SPY", 0.25)
# self.MarketOrder('SPY', quantity, tag='50% SPY')
# quantity = self.CalculateOrderQuantity("BIL", 0.25)
# self.MarketOrder('BIL', quantity, tag='50% BIL')
# self.state3 = True
# self.state1 = False
# self.state2 = False