| Overall Statistics |
|
Total Trades 1071 Average Win 3.14% Average Loss -0.95% Compounding Annual Return 52.528% Drawdown 22.800% Expectancy 2.442 Net Profit 9603651.844% Sharpe Ratio 2.349 Probabilistic Sharpe Ratio 100.000% Loss Rate 20% Win Rate 80% Profit-Loss Ratio 3.32 Alpha 0.332 Beta 0.354 Annual Standard Deviation 0.151 Annual Variance 0.023 Information Ratio 1.7 Tracking Error 0.171 Treynor Ratio 1 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset CASH.CASH 2S |
class AccelDualMomentum(QCAlgorithm):
def Initialize(self):
self.SetStartDate(1995, 1, 3) # Set Start Date
self.SetEndDate(2022,2,28) # Set End Date
self.SetCash(10000) # Set Strategy Cash
self.aVFINX = self.AddData(VFINX, "VFINX", Resolution.Daily).Symbol
self.aQQQ = self.AddData(QQQ, "QQQ", Resolution.Daily).Symbol
self.aVINEX = self.AddData(VINEX, "VINEX", Resolution.Daily).Symbol
self.aVUSTX = self.AddData(VUSTX, "VUSTX", Resolution.Daily).Symbol
self.aLBMA = self.AddData(LBMA, "LBMA", Resolution.Daily).Symbol
#self.aGLD = self.AddData(GLD, "GLD", Resolution.Daily).Symbol
self.aVIPSX = self.AddData(VIPSX, "VIPSX", Resolution.Daily).Symbol
self.aCASH = self.AddData(CASH, "CASH", Resolution.Daily).Symbol
self.indicator = self.AddData(MOMENTUM, "MOMENTUM", Resolution.Daily).Symbol
self.leverage = 1 # Set leverage | A value of 1 indicates no leverage | A value of 2 indicates 100% leverage
self.Securities["VFINX"].SetLeverage(self.leverage)
self.Securities["QQQ"].SetLeverage(self.leverage)
self.Securities["VINEX"].SetLeverage(self.leverage)
self.Securities["VUSTX"].SetLeverage(self.leverage)
self.Securities["LBMA"].SetLeverage(self.leverage)
#self.Securities["GLD"].SetLeverage(self.leverage)
self.Securities["VIPSX"].SetLeverage(self.leverage)
self.Securities["CASH"].SetLeverage(self.leverage)
# Set trading frequency
self.monthly = 0
self.annual = 0
self.trading_fee = 5 # Fee per trade
self.trading_day = 21 # Set trading day | Value = 21 is last trading day of month
self.GetParameter("trading_day")
def shiftAssets(self, target):
if not (self.Portfolio[target].Invested):
for symbol in self.Portfolio.Keys:
self.Liquidate(symbol)
if not self.Portfolio.Invested:
self.SetHoldings(target, 1*self.leverage)
def getMonthTradingDay(self):
month_last_day = DateTime(self.Time.year, self.Time.month, DateTime.DaysInMonth(self.Time.year, self.Time.month))
tradingDays = self.TradingCalendar.GetDaysByType(TradingDayType.BusinessDay, DateTime(self.Time.year, self.Time.month, 1), month_last_day)
tradingDays = [day.Date.date() for day in tradingDays]
return tradingDays[-22 + self.trading_day]
def getYearLastTradingDay(self):
year_last_day = DateTime(self.Time.year, 12, DateTime.DaysInMonth(self.Time.year, 12))
tradingDays = self.TradingCalendar.GetDaysByType(TradingDayType.BusinessDay, DateTime(self.Time.year, 12, 1), year_last_day)
tradingDays = [day.Date.date() for day in tradingDays]
return tradingDays [-1]
def OnData(self, data):
if data.ContainsKey(self.indicator):
ticker = data[self.indicator].GetProperty('Indicator')
if (ticker =="VINEX"):
#self.Securities["VINEX"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aVINEX)
elif (ticker =="QQQ"):
#self.Securities["QQQ"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aQQQ)
elif (ticker =="VUSTX"):
#self.Securities["VUSTX"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aVUSTX)
elif (ticker =="LBMA"):
#self.Securities["LBMA"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aLBMA)
elif (ticker =="VIPSX"):
#self.Securities["VIPSX"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aVIPSX)
elif (ticker =="CASH"):
#self.Securities["CASH"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aCASH)
elif (ticker =="GLD"):
#self.Securities["GLD"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aGLD)
if (self.monthly ==1):
if (self.Time.date() == self.getMonthTradingDay()):
if data.ContainsKey(self.indicator):
ticker = data[self.indicator].GetProperty('Indicator')
if (ticker =="VINEX"):
self.Securities["VINEX"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aVINEX)
elif (ticker =="VFINX"):
self.Securities["VFINX"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aVFINX)
elif (ticker =="VUSTX"):
self.Securities["VUSTX"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aVUSTX)
elif (ticker =="LBMA"):
self.Securities["LBMA"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aLBMA)
elif (ticker =="VIPSX"):
self.Securities["VIPSX"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aVIPSX)
elif (ticker =="CASH"):
self.Securities["CASH"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aCASH)
elif (ticker =="GLD"):
self.Securities["GLD"].SetFeeModel(MonthlyCustomFeeModel())
self.shiftAssets(self.aGLD)
if (self.annual ==1):
if (self.Time.date() == self.getYearLastTradingDay()):
if data.ContainsKey(self.indicator):
ticker = data[self.indicator].GetProperty('Indicator')
if (ticker =="VINEX"):
self.Securities["VINEX"].FeeModel = ConstantFeeModel(self.trading_fee)
self.shiftAssets(self.aVINEX)
elif (ticker =="VFINX"):
self.Securities["VFINX"].FeeModel = ConstantFeeModel(self.trading_fee)
self.shiftAssets(self.aVFINX)
elif (ticker =="VUSTX"):
self.Securities["VUSTX"].FeeModel = ConstantFeeModel(self.trading_fee)
self.shiftAssets(self.aVUSTX)
elif (ticker =="LBMA"):
self.Securities["LBMA"].FeeModel = ConstantFeeModel(self.trading_fee)
self.shiftAssets(self.aLBMA)
elif (ticker =="VIPSX"):
self.Securities["VIPSX"].FeeModel = ConstantFeeModel(self.trading_fee)
self.shiftAssets(self.aVIPSX)
elif (ticker =="CASH"):
self.Securities["CASH"].FeeModel = ConstantFeeModel(self.trading_fee)
self.shiftAssets(self.aCASH)
elif (ticker =="GLD"):
self.Securities["GLD"].FeeModel = ConstantFeeModel(self.trading_fee)
self.shiftAssets(self.aGLD)
# Charts
self.Plot("Margin", "Remaining", self.Portfolio.MarginRemaining)
self.Plot("Margin", "Used", self.Portfolio.TotalMarginUsed)
self.Plot("Cash", "Remaining", self.Portfolio.Cash)
self.Plot("Cash", "Remaining", self.Portfolio.TotalHoldingsValue)
self.Plot("VFINX", "Held", self.Portfolio["VFINX"].Quantity)
self.Plot("VINEX", "Held", self.Portfolio["VINEX"].Quantity)
self.Plot("VUSTX", "Held", self.Portfolio["VUSTX"].Quantity)
self.Plot("VIPSX", "Held", self.Portfolio["VIPSX"].Quantity)
#self.Plot("GLD", "Held", self.Portfolio["GLD"].Quantity)
self.Plot("CASH", "Held", self.Portfolio["CASH"].Quantity)
self.Plot("LBMA", "Held", self.Portfolio["LBMA"].Quantity)
class LBMA(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/81ixmlr8cx1uxgq/LBMA.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = LBMA()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%d/%m/%Y")
index.EndTime = index.Time + timedelta(days=1)
index.Value = data[1]
index["LBMA"] = float(data[1])
return index
class VIPSX(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/51npkwxesct345x/VIPSX.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = VIPSX()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%d/%m/%Y")
index.EndTime = index.Time + timedelta(days=1)
index.Value = data[4]
index["Open"] = float(data[1])
index["High"] = float(data[2])
index["Low"] = float(data[3])
index["Close"] = float(data[4])
return index
class VUSTX(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/hnv2swusm9wra5w/VUSTX.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = VUSTX()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%d/%m/%Y")
index.EndTime = index.Time + timedelta(days=1)
index.Value = data[4]
index["Open"] = float(data[1])
index["High"] = float(data[2])
index["Low"] = float(data[3])
index["Close"] = float(data[4])
return index
class VFINX(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/zzh0ydo8t8l5ds4/VFINX.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = VFINX()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%d/%m/%Y")
index.EndTime = index.Time + timedelta(days=1)
index.Value = data[4]
index["Open"] = float(data[1])
index["High"] = float(data[2])
index["Low"] = float(data[3])
index["Close"] = float(data[4])
return index
class VINEX(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/3otgob32pyl0hz8/VINEX.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = VINEX()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%d/%m/%Y")
index.EndTime = index.Time + timedelta(days=1)
index.Value = data[4]
index["Open"] = float(data[1])
index["High"] = float(data[2])
index["Low"] = float(data[3])
index["Close"] = float(data[4])
return index
class GLD(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/c9asn799ugf8kja/GLD.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = GLD()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%d/%m/%Y")
index.EndTime = index.Time + timedelta(days=1)
index.Value = data[4]
index["Open"] = float(data[1])
index["High"] = float(data[2])
index["Low"] = float(data[3])
index["Close"] = float(data[4])
return index
class CASH(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/496wpuy5qrlq9za/CASH.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = CASH()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%d/%m/%Y")
index.EndTime = index.Time + timedelta(days=1)
index.Value = data[1]
index["Close"] = float(data[1])
return index
class QQQ(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/nkifhu1jfinx231/QQQ.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = QQQ()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%Y-%m-%d")
index.EndTime = index.Time + timedelta(days=1)
index.Value = data[1]
index["Close"] = float(data[1])
return index
class MOMENTUM(PythonData):
def GetSource(self, config, date, isLiveMode):
return SubscriptionDataSource("https://www.dropbox.com/s/j9lacl1a67xpdpx/Indicator_QQQ.csv?dl=1", SubscriptionTransportMedium.RemoteFile)
def Reader(self, config, line, date, isLive):
if not (line.strip() and line[0].isdigit()):
return None
index = MOMENTUM()
index.Symbol = config.Symbol
data = line.split(',')
index.Time = datetime.strptime(data[0], "%Y-%m-%d")
index.EndTime = index.Time + timedelta(days=1)
index.SetProperty("Indicator", str(data[1]))
return index
class MonthlyCustomFeeModel:
def GetOrderFee(self, parameters):
self.margin_rate = 0.015 #Set Margin Fee
self.trading_fee = 5 #Set fee per trade
fee = self.trading_fee + (parameters.Security.Leverage-1)*parameters.Security.Price*parameters.Order.AbsoluteQuantity*(self.margin_rate/12)
return OrderFee(CashAmount(fee, 'USD'))