Overall Statistics |
Total Trades 4425 Average Win 0.27% Average Loss -0.07% Compounding Annual Return 15.624% Drawdown 31.600% Expectancy 1.439 Net Profit 771.174% Sharpe Ratio 1.027 Probabilistic Sharpe Ratio 45.126% Loss Rate 47% Win Rate 53% Profit-Loss Ratio 3.61 Alpha 0.107 Beta 0.061 Annual Standard Deviation 0.109 Annual Variance 0.012 Information Ratio 0.178 Tracking Error 0.193 Treynor Ratio 1.842 Total Fees $7037.29 Estimated Strategy Capacity $1800000.00 Lowest Capacity Asset IEF SGNKIKYGE9NP |
#region imports from AlgorithmImports import * #endregion """ Based on 'In & Out' strategy by Peter Guenther 10-04-2020 expanded/inspired by Tentor Testivis, Dan Whitnable (Quantopian), Vladimir, and Thomas Chang. https://www.quantopian.com/posts/new-strategy-in-and-out """ # Import packages import numpy as np import pandas as pd import scipy as sc class InOut(QCAlgorithm): def Initialize(self): self.SetStartDate(2008, 1, 1) # Set Start Date self.cap = 100000 self.SetCash(self.cap) # Set Strategy Cash self.UniverseSettings.Resolution = Resolution.Minute # Feed-in constants self.INI_WAIT_DAYS = 15 # out for 3 trading weeks res = Resolution.Minute self.MRKT = self.AddEquity('SPY', res).Symbol self.TLT = self.AddEquity('TLT', res).Symbol self.IEF = self.AddEquity('IEF', res).Symbol # Market and list of signals based on ETFs self.PRDC = self.AddEquity('XLI', res).Symbol # production (industrials) self.METL = self.AddEquity('DBB', res).Symbol # input prices (metals) self.NRES = self.AddEquity('IGE', res).Symbol # input prices (natural res) self.DEBT = self.AddEquity('SHY', res).Symbol # cost of debt (bond yield) self.USDX = self.AddEquity('UUP', res).Symbol # safe haven (USD) self.GOLD = self.AddEquity('GLD', res).Symbol # gold self.SLVA = self.AddEquity('SLV', res).Symbol # VS silver self.UTIL = self.AddEquity('XLU', res).Symbol # utilities self.SHCU = self.AddEquity('FXF', res).Symbol # safe haven (CHF) self.RICU = self.AddEquity('FXA', res).Symbol # risk currency (AUD) self.INDU = self.PRDC # vs industrials self.FORPAIRS = [self.GOLD, self.SLVA, self.UTIL, self.SHCU, self.RICU] self.SIGNALS = [self.PRDC, self.METL, self.NRES, self.DEBT, self.USDX] # 'In' and 'out' holdings incl. weights self.HLD_IN = {self.MRKT: 1.0} self.HLD_OUT = {self.TLT: .5, self.IEF: .5} # Initialize variables ## 'In'/'out' indicator self.be_in = 1 ## Day count variables self.dcount = 0 # count of total days since start self.outday = 0 # dcount when self.be_in=0 ## Flexi wait days self.WDadjvar = self.INI_WAIT_DAYS self.spy = [] self.Schedule.On( self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 75), self.rebalance_when_out_of_the_market ) self.Schedule.On( self.DateRules.WeekEnd(), self.TimeRules.AfterMarketOpen('SPY', 75), self.rebalance_when_in_the_market ) def rebalance_when_out_of_the_market(self): # Returns sample to detect extreme observations hist = self.History( self.SIGNALS + [self.MRKT] + self.FORPAIRS, 252, Resolution.Daily)['close'].unstack(level=0).dropna() hist_shift = hist.rolling(66).apply(lambda x: x[:11].mean()) returns_sample = (hist / hist_shift - 1) # Reverse code USDX: sort largest changes to bottom returns_sample[self.USDX] = returns_sample[self.USDX] * (-1) # For pairs, take returns differential, reverse coded returns_sample['G_S'] = -(returns_sample[self.GOLD] - returns_sample[self.SLVA]) returns_sample['U_I'] = -(returns_sample[self.UTIL] - returns_sample[self.INDU]) returns_sample['C_A'] = -(returns_sample[self.SHCU] - returns_sample[self.RICU]) self.pairlist = ['G_S', 'U_I', 'C_A'] # Extreme observations; statist. significance = 1% pctl_b = np.nanpercentile(returns_sample, 1, axis=0) extreme_b = returns_sample.iloc[-1] < pctl_b # Determine waitdays empirically via safe haven excess returns, 50% decay self.WDadjvar = int( max(0.50 * self.WDadjvar, self.INI_WAIT_DAYS * max(1, returns_sample[self.GOLD].iloc[-1] / returns_sample[self.SLVA].iloc[-1], returns_sample[self.UTIL].iloc[-1] / returns_sample[self.INDU].iloc[-1], returns_sample[self.SHCU].iloc[-1] / returns_sample[self.RICU].iloc[-1] )) ) adjwaitdays = min(60, self.WDadjvar) # Determine whether 'in' or 'out' of the market if (extreme_b[self.SIGNALS + self.pairlist]).any(): self.be_in = False self.outday = self.dcount if self.dcount >= self.outday + adjwaitdays: self.be_in = True self.dcount += 1 # Swap to 'out' assets if applicable if not self.be_in: # Close 'In' holdings for asset, weight in self.HLD_IN.items(): self.SetHoldings(asset, 0) for asset, weight in self.HLD_OUT.items(): self.SetHoldings(asset, weight) self.Plot("In Out", "in_market", int(self.be_in)) self.Plot("In Out", "num_out_signals", extreme_b[self.SIGNALS + self.pairlist].sum()) self.Plot("Wait Days", "waitdays", adjwaitdays) # to plot SPY on the same chart as the performance of our algo self.spy.append(hist[self.MRKT].iloc[-1]) spy_perf = self.spy[-1] / self.spy[0] * self.cap self.Plot("Strategy Equity", "SPY", spy_perf) def rebalance_when_in_the_market(self): # Swap to 'in' assets if applicable if self.be_in: # Close 'Out' holdings for asset, weight in self.HLD_OUT.items(): self.SetHoldings(asset, 0) for asset, weight in self.HLD_IN.items(): self.SetHoldings(asset, weight)
#region imports from AlgorithmImports import * #endregion """ Based on 'In & Out' strategy by Peter Guenther 10-04-2020 expanded/inspired by Tentor Testivis, Dan Whitnable (Quantopian), Vladimir, and Thomas Chang. https://www.quantopian.com/posts/new-strategy-in-and-out # Import packages import numpy as np import pandas as pd import scipy as sc def initialize(context): # Feed-in constants context.INI_WAIT_DAYS = 15 # out for 3 trading weeks # 'In' and 'out' holdings incl. weights context.HLD_IN = {symbol('SPY'): 1.0} context.HLD_OUT = {symbol('TLT'): .5, symbol('IEF'): .5} # Market and list of signals based on ETFs context.MRKT = symbol('SPY') context.PRDC = symbol('XLI') # production (industrials) context.METL = symbol('DBB') # input prices (metals) context.NRES = symbol('IGE') # input prices (natural res) context.DEBT = symbol('SHY') # cost of debt (bond yield) context.USDX = symbol('UUP') # safe haven (USD) context.SIGNALS = [context.PRDC, context.METL, context.NRES, context.DEBT, context.USDX] # Pairs for comparative returns signals context.GOLD = symbol('GLD') # gold context.SLVA = symbol('SLV') # VS silver context.UTIL = symbol('XLU') # utilities context.INDU = context.PRDC # vs industrials context.SHCU = symbol('FXF') # safe haven (CHF) context.RICU = symbol('FXA') # risk currency (AUD) context.FORPAIRS = [context.GOLD, context.SLVA, context.UTIL, context.SHCU, context.RICU] # Initialize variables ## 'In'/'out' indicator context.be_in = 1 ## Day count variables context.dcount = 0 # count of total days since start context.outday = 0 # dcount when context.be_in=0 ## Flexi wait days context.WDadjvar = context.INI_WAIT_DAYS # Commission set_commission(commission.PerShare(cost=0.0075, min_trade_cost=1.00)) # Schedule functions schedule_function( # daily rebalance if OUT of the market rebalance_when_out_of_the_market, date_rules.every_day(), time_rules.market_op en(minutes = 75) ) schedule_function( # weekly rebalance if IN the market rebalance_when_in_the_market, date_rules.week_start(days_offset=4), time_rules.market_op en(minutes = 75) ) def rebalance_when_out_of_the_market(context, data): # Returns sample to detect extreme observations hist = data.history(context.SIGNALS+[context.MRKT]+context.FORPAIRS, 'close', 253, '1d').iloc[:-1] hist_shift = hist.apply(lambda x: (x.shift(65)+x.shift(64)+x.shift(63)+x.shift(62)+x.shift(61)+x.shift(60)+x.shift(59)+x.shift(58)+x.shift(57)+x.shift(56)+x.shift(55))/11) returns_sample = (hist/hist_shift-1) # Reverse code USDX: sort largest changes to bottom returns_sample[context.USDX] = returns_sample[context.USDX]*(-1) # For pairs, take returns differential, reverse coded returns_sample['G_S'] = -(returns_sample[context.GOLD] - returns_sample[context.SLVA]) returns_sample['U_I'] = -(returns_sample[context.UTIL] - returns_sample[context.INDU]) returns_sample['C_A'] = -(returns_sample[context.SHCU] - returns_sample[context.RICU]) context.pairlist = ['G_S', 'U_I', 'C_A'] # Extreme observations; statist. significance = 1% pctl_b = np.nanpercentile(returns_sample, 1, axis=0) extreme_b = returns_sample.iloc[-1] < pctl_b # Determine waitdays empirically via safe haven excess returns, 50% decay context.WDadjvar = int(max(0.50*context.WDadjvar, context.INI_WAIT_DAYS * max(1,returns_sample[context.GOLD].iloc[-1] / returns_sample[context.SLVA].iloc[-1],returns_sample[context.UTIL].iloc[-1] / returns_sample[context.INDU].iloc[-1],returns_sample[context.SHCU].iloc[-1] / returns_sample[context.RICU].iloc[-1]))) adjwaitdays = min(60, context.WDadjvar) # Determine whether 'in' or 'out' of the market if (extreme_b[context.SIGNALS+context.pairlist]).any(): context.be_in = False context.outday = context.dcount if context.dcount >= context.outday + adjwaitdays: context.be_in = True context.dcount += 1 # Swap to 'out' assets if applicable if not context.be_in: for asset, weight in context.HLD_OUT.items(): order_target_percent(asset, weight) for asset in context.portfolio.positions: # Close 'In' holdings if asset not in context.HLD_OUT: order_target_percent(asset, 0) # Record record(in_market=context.be_in, num_out_signals=extreme_b[context.SIGNALS+context.pairlist].sum(), waitdays=adjwaitdays) def rebalance_when_in_the_market(context, data): # Swap to 'in' assets if applicable if context.be_in: for asset, weight in context.HLD_IN.items(): order_target_percent(asset, weight) for asset in context.portfolio.positions: # Close 'Out' holdings if asset not in context.HLD_IN: order_target_percent(asset, 0) """