| Overall Statistics |
|
Total Trades 200 Average Win 0.64% Average Loss -0.30% Compounding Annual Return 5.183% Drawdown 5.000% Expectancy 0.503 Net Profit 16.881% Sharpe Ratio 0.626 Sortino Ratio 0.709 Probabilistic Sharpe Ratio 52.946% Loss Rate 53% Win Rate 47% Profit-Loss Ratio 2.17 Alpha 0.02 Beta 0.01 Annual Standard Deviation 0.034 Annual Variance 0.001 Information Ratio -0.49 Tracking Error 0.187 Treynor Ratio 2.248 Total Fees $310.54 Estimated Strategy Capacity $0 Lowest Capacity Asset CXO TUTEE1U0PY05 Portfolio Turnover 1.40% |
from AlgorithmImports import *
class WellDressedYellowCat(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 9, 1) # Set Start Date
self.SetEndDate(2021, 10, 1) # Set End Date
self.SetCash(100000) # Set Strategy Cash
self.AddRiskManagement(TrailingStopRiskManagementModel(0.05))
tickerList = ['PCG', 'CMCSK', 'MHS', 'GPN', 'CHD', 'T', 'CCK', 'FOXA', 'SYF', 'AMD', 'TLAB', 'PETM', 'LEH', 'STJ', 'ANF', 'FBHS', 'TSG', 'FDO', 'AMZN', 'LYB', 'PSX', 'TRIP', 'X', 'SMS', 'EQIX', 'VTR', 'OI', 'WLTW', 'NVR', 'JEF', 'COV', 'FLS', 'KFT', 'PLL', 'RRD', 'CA', 'MAT', 'FL', 'MTD', 'MSCI', 'MEE', 'FDC', 'TECH', 'MFE', 'MON', 'SWN', 'LEG', 'ODFL', 'AWK', 'ANR', 'LYV', 'PAYC', 'CPRI', 'ESRX', 'DLTR', 'CSRA', 'NDSN', 'TIF', 'BCR', 'EPAM', 'HAR', 'JCP', 'V', 'DOW', 'FRX', 'MKTX', 'BRO', 'CAM', 'APOL', 'WYN', 'UHS', 'JWN', 'TSCO', 'TMC', 'HOT', 'TSO', 'PVH', 'VAR', 'MAA', 'RAI', 'DXC', 'RMD', 'ATVI', 'RIG', 'R', 'FMC', 'ALK', 'BHF', 'SWKS', 'QEP', 'FOSL', 'JNPR', 'TTWO', 'STR', 'AET', 'IEX', 'MOH', 'FRE', 'CEPH', 'PRGO', 'KMI', 'DG', 'DLPH', 'TDG', 'SBAC', 'ALLE', 'CNC', 'ABMD', 'KSS', 'CBE', 'CTX', 'USL', 'CFN', 'WU', 'HPE', 'TEL', 'PCL', 'DRE', 'IR', 'PCLN', 'RDC', 'SBNY', 'DNB', 'TSLA', 'BIG', 'LRCX', 'TYC', 'BTU', 'LNT', 'XRX', 'KG', 'DWDP', 'ALB', 'CDAY', 'GMCR', 'BWA', 'FLIR', 'BXLT', 'DISH', 'RAD', 'ICE', 'AV', 'NFLX', 'BMC', 'REG', 'DF', 'TYL', 'ETFC', 'GOOGL', 'FFIV', 'NLSN', 'SLR', 'CFG', 'FDS', 'XYL', 'HBI', 'CIEN', 'ESS', 'EQT', 'RCL', 'HRL', 'PNR', 'GNW', 'LXK', 'MIL', 'NBR', 'CPRT', 'HSIC', 'DTV', 'CBOE', 'PCS', 'TRMB', 'MGM', 'EP', 'SBUX', 'YHOO', 'AAP', 'HWM', 'CZR', 'OMX', 'COTY', 'NCLH', 'LIFE', 'FII', 'LDOS', 'TGNA', 'PYPL', 'VRSK', 'BEAM', 'SEDG', 'LW', 'BIO', 'TRB', 'CCE', 'HSP', 'TMUS', 'CPWR', 'LLTC', 'MUR', 'TER', 'NSM', 'UNM', 'CHK', 'CVG', 'WB', 'LDW', 'AMCR', 'NCR', 'ABS', 'CTLT', 'GME', 'AN', 'PTC', 'GENZ', 'CHTR', 'SBL', 'APC', 'JBHT', 'SCG', 'HOG', 'CMG', 'ILMN', 'BR', 'ITT', 'LSI', 'SIAL', 'BRCM', 'RRC', 'COG', 'ZTS', 'HFC', 'JBL', 'DYN', 'SWY', 'NAVI', 'HCA', 'Q', 'FTI', 'SHLD', 'STE', 'TE', 'TIE', 'JEC', 'GGP', 'WST', 'CCI', 'KORS', 'COO', 'VRTX', 'SLG', 'EXPE', 'ROL', 'JNY', 'KMX', 'PENN', 'CVC', 'AJG', 'WIN', 'UDR', 'UAA', 'INFO', 'MRNA', 'HNZ', 'CPT', 'O', 'CB', 'FLT', 'COL', 'DJ', 'DXCM', 'STX', 'WPX', 'GRA', 'MOS', 'NOW', 'UA', 'UAL', 'SUN', 'ZBRA', 'FHN', 'PGN', 'CNX', 'ULTA', 'CSC', 'GNRC', 'MI', 'NFX', 'VNT', 'SAI', 'ALTR', 'XLNX', 'ACN', 'MLM', 'DLR', 'HLT', 'ANET', 'NWS', 'GHC', 'BBBY', 'AMG', 'BMS', 'JNS', 'PCP', 'FAST', 'CDW', 'EVRG', 'SNI', 'STZ', 'MTCH', 'PKG', 'MBI', 'ABK', 'IPGP', 'ARNC', 'QRVO', 'BS', 'EVHC', 'BJS', 'MWW', 'TEG', 'RJF', 'SLM', 'TFX', 'AOS', 'SIG', 'ALXN', 'GR', 'MHK', 'NXPI', 'FTR', 'XL', 'MPWR', 'S', 'NYX', 'WCG', 'FANG', 'ACE', 'TDY', 'AME', 'FNM', 'VIAB', 'AGN', 'AA', 'POOL', 'MAC', 'GRMN', 'LUK', 'MJN', 'HCBK', 'PDCO', 'FRT', 'CERN', 'DPZ', 'LKQ', 'AVGO', 'MNST', 'DELL', 'FB', 'CVH', 'IGT', 'CXO', 'AVB', 'NBL', 'FTV', 'BLK', 'AYI', 'ANDV', 'ACAS', 'OGN', 'ABBV', 'DO', 'NKTR', 'IT', 'FSLR', 'TWC', 'DV', 'GT', 'LLL', 'SVU', 'SE', 'JOY', 'JDSU', 'ROST', 'CE', 'KSE', 'SII', 'M', 'EXR', 'PBCT', 'KEYS', 'WFM', 'MOLX', 'MXIM', 'NVLS', 'CLF', 'OTIS', 'DNR', 'CELG', 'WFR', 'BC', 'ANSS', 'TWTR', 'DPS', 'HII', 'LVS', 'CTVA', 'DAL', 'NOV', 'GPS', 'DFS', 'URBN', 'SNPS', 'ATI', 'AYE', 'SPLS', 'ESV', 'LM', 'ODP', 'PTV', 'KSU', 'URI', 'XTO', 'KRFT', 'SRCL', 'DD', 'TWX', 'FTNT', 'WAB', 'CEG', 'ARG', 'ADT', 'INCY', 'SGP', 'RX', 'AIV', 'GAS', 'ENPH', 'THC', 'LVLT', 'CARR', 'SIVB', 'STI', 'AKS', 'ARE', 'MPC', 'ADS', 'KHC', 'RE', 'PBI', 'RSH', 'TDC', 'EK', 'ENDP', 'FLR', 'RHT', 'XEC', 'SLE', 'JKHY', 'MMI', 'AAL', 'GM', 'TSS', 'NYT', 'LO', 'HP', 'CPGX', 'KBH', 'QTRN', 'INTU', 'REGN', 'MNK', 'NOVL', 'HRB', 'FRC', 'CRM', 'HRS', 'IDXX', 'WRB', 'EW', 'ATO', 'HOLX', 'RTN', 'CDNS', 'FOX', 'GLK', 'AVP', 'EMC', 'DISCK', 'POM', 'NE', 'ETSY', 'SNDK', 'ALGN', 'CRL']
for ticker in tickerList:
self.AddEquity(ticker, Resolution.Hour)
self.change = self.AddData(SPXChange, "change", Resolution.Hour).Symbol
def OnData(self, data: Slice):
if self.change in data:
targets = []
for ticker in data[self.change].Added:
if ticker in data:
targets.append(PortfolioTarget(ticker, 0.1))
for ticker in data[self.change].Removed:
if ticker in data:
targets.append(PortfolioTarget(ticker, -0.05))
self.SetHoldings(targets)
def OnEndOfDay(self, symbol):
longs = 0
shorts = 0
for sec in self.Portfolio.Keys:
if self.Portfolio[sec].IsLong:
longs += 1
elif self.Portfolio[sec].IsShort:
shorts -= 1
self.Plot("Positions", "longs", longs)
self.Plot("Positions", "shorts", shorts)
class SPXChange(PythonData):
def GetSource(self, config, date, isLive):
source = "https://www.dropbox.com/s/ksi5liwjja8fxzv/SPYChanges.csv?dl=1"
return SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile);
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
data = line.split(',')
change = SPXChange()
try:
change.Symbol = config.Symbol
change.Time = datetime.strptime(data[0], '%Y-%m-%d') + timedelta(hours=10) #- timedelta(days=5)
change.Value = 0
change["Added"] = str(data[1]).split(" ")
change["Removed"] = str(data[2]).split(" ")
except ValueError:
return None
return change