Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio -1.544 Tracking Error 0.153 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
# Stock-Bond Correlation from scipy.stats.stats import pearsonr # --------------------------------------- STOCK = 'SPY'; BOND = 'TLT'; PERIOD = 21; # --------------------------------------- class StockBondCorrelation(QCAlgorithm): def Initialize(self): self.SetStartDate(2020, 3, 25) self.SetEndDate(2022, 3, 25) self.SetCash(100000) self.stock = self.AddEquity(STOCK, Resolution.Daily).Symbol self.bond = self.AddEquity(BOND, Resolution.Daily).Symbol self.SetWarmUp(PERIOD + 1, Resolution.Daily) def OnData(self, data): if self.IsWarmingUp: return stock_roc = self.History(self.stock, PERIOD + 1, Resolution.Daily)["close"].pct_change()[1:-1] bond_roc = self.History(self.bond , PERIOD + 1, Resolution.Daily)["close"].pct_change()[1:-1] if len(stock_roc) != len(bond_roc): return correl = pearsonr(stock_roc, bond_roc)[0] self.Plot('Correl', 'Stock-Bond Correlation', correl)