| Overall Statistics |
|
Total Trades 8 Average Win 109.55% Average Loss -0.15% Compounding Annual Return 857.339% Drawdown 14.900% Expectancy 573.010 Net Profit 857.339% Sharpe Ratio 8.582 Probabilistic Sharpe Ratio 99.960% Loss Rate 20% Win Rate 80% Profit-Loss Ratio 716.51 Alpha 4.429 Beta 0.554 Annual Standard Deviation 0.515 Annual Variance 0.265 Information Ratio 8.66 Tracking Error 0.513 Treynor Ratio 7.977 Total Fees $5350.44 Estimated Strategy Capacity $51000000.00 Lowest Capacity Asset JNJ R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
"""
You are given $1 million to invest two stocks AMD and JNJ from 1/1/2018 to 1/1/2019.
You are given discretions to take long or short positions in these stocks, subject to
QC margin call. Your objective is to generate highest profit during this period subject
to the following conditions:
You must use momentum strategies involving BOTH indicators RSI and BB,
plus SMA indicators as needed. You can only use either trend following
or/and trend reversing strategy based on these indicators.
You are free to choose parameters for the strategies in terms of
lookback period, # of standard deviations, RSI upper/lower bands,
size of positions etc.
During the entire trading period, the absolute value of the market value
weight for each stock should be at least 25%.
You must ensure the drawdown amount is less than 15%, and the Sharpe Ratio > 1.0
5. Clear articulation as to why your performance result makes sense intuitively,
and list one or two significant factors that could make your strategy performance
worse or better.
• Your raw grade on this assignment will depend on your relative performance
ranking among all five groups.
• There will be qualitative adjustment on your grade based on clarity of
thoughts, explanations, potential areas of improvements as well as logic flows
of your codes.
"""
class FocusedMagentaBeaver(QCAlgorithm):
def Initialize(self):
# Requirements:
# weight >= 0.25 each
# drawdowown < 15%
# sharpe > 1.0
self.SetStartDate(2018, 1, 1) # Set Start Date
self.SetEndDate(2019, 1, 1)
self.SetCash(1000000) # Set Strategy Cash
self.SetWarmup(30)
self.amd = "AMD"
self.jnj = "JNJ"
self.symA = self.AddEquity(self.amd, Resolution.Daily)
self.symJ = self.AddEquity(self.jnj, Resolution.Daily)
self.amdrsi = self.RSI(self.amd, 20, Resolution.Daily)
self.amdbb = self.BB(self.amd, 20, 2, Resolution.Daily)
self.jnjrsi = self.RSI(self.jnj, 20, Resolution.Daily)
self.jnjbb = self.BB(self.jnj, 20, 2, Resolution.Daily)
self.wt = 0.25
self.bb_trend_reversal = True # False if Trend Following; True if Trend Reversing
self.rsi_calc = False
def OnData(self, data: Slice):
#Indicators for AMD
rsi_amd = self.amdrsi.Current.Value
bbup_amd = self.amdbb.UpperBand.Current.Value
bbdn_amd = self.amdbb.LowerBand.Current.Value
bbmd_amd = self.amdbb.MiddleBand.Current.Value
#Indicators for JNJ
rsi_jnj = self.jnjrsi.Current.Value
bbup_jnj = self.jnjbb.UpperBand.Current.Value
bbdn_jnj = self.jnjbb.LowerBand.Current.Value
bbmd_jnj = self.jnjbb.MiddleBand.Current.Value
#Follow trend-following strategy for RSI for JNJ
if not self.rsi_calc:
if rsi_jnj > 63 and not self.Portfolio[self.jnj].IsShort:
self.SetHoldings(self.symJ.Symbol, -1.5*self.wt)
elif rsi_jnj < 37 and not self.Portfolio[self.jnj].IsLong:
self.SetHoldings(self.symJ.Symbol, 1.5*self.wt)
elif self.Portfolio[self.jnj].IsLong and rsi_jnj > 37:
self.SetHoldings(self.symJ.Symbol, self.wt)
elif self.Portfolio[self.jnj].IsShort and rsi_jnj < 63:
self.SetHoldings(self.symJ.Symbol, -self.wt)
# Trend Reversal strategy for AMD?
# if self.bb_trend_reversal:
#
# if not self.Portfolio[self.amd].Invested:
#
# if self.symA.Price > bbup_amd:
#
# self.SetHoldings(self.symA.Symbol, 1.5*self.wt)
#
# self.Debug("BB1 Reverse short")
#
# elif self.symA.Price < bbdn:
#
# self.SetHoldings(self.symA.Symbol, -1.5*self.wt)
#
# self.Debug("BB1 Reverse Long")
#
# elif self.Portfolio[self.amd].IsLong and self.symA.Price< bbdn_amd:
#
# self.SetHoldings(self.symA.Symbol, 1.25*self.wt)
#
# elif self.Portfolio[self.amd].IsShort and self.symA.Price> bbup_amd:
#
# self.SetHoldings(self.symA.Symbol, 1.25*self.wt)
# Trend following strategy for bb for JNJ?
# if not self.bb_trend_reversal:
#
# if not self.Portfolio[self.jnj].Invested:
#
# if self.symJ.Price > bbup_jnj:
#
# self.SetHoldings(self.symJ.Symbol, -1.5*self.wt)
#
# self.Debug("BB Trend Short")
#
# elif self.symJ.Price < bbdn_jnj:
#
# self.SetHoldings(self.symJ.Symbol, 1.5*self.wt)
#
# self.Debug("BB Trend Long")
#
# elif self.Portfolio[self.jnj].IsLong and self.symJ.Price< bbdn_jnj:
#
# self.SetHoldings(self.symJ.Symbol, self.wt)
#
# elif self.Portfolio[self.jnj].IsShort and self.symJ.Price> bbup_jnj:
#
# self.SetHoldings(self.symJ.Symbol, -self.wt)
#
# Trend reversal strategy for bb for AMD
if self.bb_trend_reversal:
if not self.Portfolio[self.amd].IsLong and self.symA.Price > bbup_amd:
self.SetHoldings(self.symA.Symbol, 2*self.wt)
elif not self.Portfolio[self.amd].IsShort and self.symA.Price < bbdn_amd:
self.SetHoldings(self.symA.Symbol, -2*self.wt)
elif self.Portfolio[self.amd].IsShort and self.symA.Price > bbdn_amd and self.symA.Price < bbmd_amd:
self.SetHoldings(self.symA.Symbol, self.wt)
elif self.Portfolio[self.amd].IsLong and self.symA.Price > bbup_amd and self.symA.Price > bbmd_amd:
self.SetHoldings(self.symA.Symbol, self.wt) # region imports
from AlgorithmImports import *
# endregion
"""
You are given $1 million to invest two stocks AMD and JNJ from 1/1/2018 to 1/1/2019.
You are given discretions to take long or short positions in these stocks, subject to
QC margin call. Your objective is to generate highest profit during this period subject
to the following conditions:
You must use momentum strategies involving BOTH indicators RSI and BB,
plus SMA indicators as needed. You can only use either trend following
or/and trend reversing strategy based on these indicators.
You are free to choose parameters for the strategies in terms of
lookback period, # of standard deviations, RSI upper/lower bands,
size of positions etc.
During the entire trading period, the absolute value of the market value
weight for each stock should be at least 25%.
You must ensure the drawdown amount is less than 15%, and the Sharpe Ratio > 1.0
5. Clear articulation as to why your performance result makes sense intuitively,
and list one or two significant factors that could make your strategy performance
worse or better.
• Your raw grade on this assignment will depend on your relative performance
ranking among all five groups.
• There will be qualitative adjustment on your grade based on clarity of
thoughts, explanations, potential areas of improvements as well as logic flows
of your codes.
"""
class FocusedMagentaBeaver(QCAlgorithm):
def Initialize(self):
# Requirements:
# weight >= 0.25 each
# drawdowown < 15%
# sharpe > 1.0
self.SetStartDate(2018, 1, 1) # Set Start Date
self.SetEndDate(2019, 1, 1)
self.SetCash(1000000) # Set Strategy Cash
# self.SetWarmup(30)
self.amd = "AMD"
self.jnj = "JNJ"
self.symA = self.AddEquity(self.amd, Resolution.Daily)
self.symJ = self.AddEquity(self.jnj, Resolution.Daily)
self.amdsma = self.SMA(self.amd, 30, Resolution.Daily)
self.amdrsi = self.RSI(self.amd, 20, Resolution.Daily)
self.amdbb = self.BB(self.amd, 20, 2, Resolution.Daily)
self.jnjrsi = self.RSI(self.jnj, 20, Resolution.Daily)
self.jnjbb = self.BB(self.jnj, 20, 2.1, Resolution.Daily)
self.jnjsma = self.SMA(self.amd, 30, Resolution.Daily)
self.wt = 0.25
self.bb_trend_reversal = True # False if Trend Following; True if Trend Reversing
self.count = 1
def OnData(self, data: Slice):
if self.count == 1:
# Buy Both Stock on First Day
self.SetHoldings(self.symJ.Symbol, -6*self.wt)
self.SetHoldings(self.symA.Symbol,self.wt)
self.count+=1
self.amd_holding = 1
self.jnj_holding = 1
else:
#Indicators for AMD
sma_amd = self.amdsma.Current.Value
rsi_amd = self.amdrsi.Current.Value
bbup_amd = self.amdbb.UpperBand.Current.Value
bbdn_amd = self.amdbb.LowerBand.Current.Value
bbmd_amd = self.amdbb.MiddleBand.Current.Value
#Indicators for JNJ
sma_jnj = self.jnjsma.Current.Value
rsi_jnj = self.jnjrsi.Current.Value
bbup_jnj = self.jnjbb.UpperBand.Current.Value
bbdn_jnj = self.jnjbb.LowerBand.Current.Value
bbmd_jnj = self.jnjbb.MiddleBand.Current.Value
# Trend-reversal strategy for AMD based on RSI and SMA
self.Debug( " Time: " + str(self.Time) + "Price: " + str(self.symJ.Price)+" SMA: "+str()+" "+str(bbdn_jnj))
# If see decresing trend and only hold initial holding, long 150%
if self.symA.Price - sma_amd < -1.8 and self.amd_holding == 1:
self.SetHoldings(self.symA.Symbol, 5.6*self.wt)
self.amd_holding += 5
# Trend Reversal for AMD based on RSI and SMA
if rsi_amd>80 and self.symA.Price - sma_amd > 9 and not self.Portfolio[self.amd].IsShort:
self.SetHoldings(self.symA.Symbol, -7.6*self.wt)
self.amd_holding = -7.6
elif rsi_amd < 30.4 and sma_amd < 27.6 and self.Portfolio[self.amd].IsShort:
self.SetHoldings(self.symA.Symbol, self.wt)
# Trend-reversal strategy for JNJ based on BB
if bbdn_jnj > self.symJ.Price and not self.Portfolio[self.jnj].IsLong:
self.SetHoldings(self.symJ.Symbol,2*self.wt)
elif bbup_jnj < self.symJ.Price and not self.Portfolio[self.jnj].IsShort:
self.SetHoldings(self.symJ.Symbol,-1*self.wt)
# region imports
from AlgorithmImports import *
# endregion
class GroupProject1(QCAlgorithm):
def Initialize(self):
# Requirements:
# weight >= 0.25 each
# drawdowown < 15%
# sharpe > 1.0
self.SetStartDate(2018, 1, 1) # Set Start Date
self.SetEndDate(2019, 1, 1)
self.SetCash(1000000) # Set Strategy Cash
self.SetWarmup(30)
self.amd = "AMD"
self.jnj = "JNJ"
self.symA = self.AddEquity(self.amd, Resolution.Daily)
self.symJ = self.AddEquity(self.jnj, Resolution.Daily)
self.amdrsi = self.RSI(self.amd, 20, Resolution.Daily)
self.amdbb = self.BB(self.amd, 20, 2, Resolution.Daily)
self.jnjrsi = self.RSI(self.jnj, 20, Resolution.Daily)
self.jnjbb = self.BB(self.jnj, 20, 2, Resolution.Daily)
self.wt = 0.25
self.bb_trend_reversal = True # False if Trend Following; True if Trend Reversing
self.rsi_calc = False
self.count = 1
def OnData(self, data: Slice):
if self.count == 1:
self.SetHoldings(self.symJ.Symbol, 0.5*self.wt)
self.SetHoldings(self.symA.Symbol, 0.5*self.wt)
#Indicators for AMD
rsi_amd = self.amdrsi.Current.Value
bbup_amd = self.amdbb.UpperBand.Current.Value
bbdn_amd = self.amdbb.LowerBand.Current.Value
bbmd_amd = self.amdbb.MiddleBand.Current.Value
#Indicators for JNJ
rsi_jnj = self.jnjrsi.Current.Value
bbup_jnj = self.jnjbb.UpperBand.Current.Value
bbdn_jnj = self.jnjbb.LowerBand.Current.Value
bbmd_jnj = self.jnjbb.MiddleBand.Current.Value
#Follow trend-following strategy for RSI for JNJ
if not self.rsi_calc:
if rsi_jnj > 63 and not self.Portfolio[self.jnj].IsShort:
self.SetHoldings(self.symJ.Symbol, -1.5*self.wt)
elif rsi_jnj < 37 and not self.Portfolio[self.jnj].IsLong:
self.SetHoldings(self.symJ.Symbol, 1.5*self.wt)
elif self.Portfolio[self.jnj].IsLong and rsi_jnj > 37:
self.SetHoldings(self.symJ.Symbol, self.wt)
elif self.Portfolio[self.jnj].IsShort and rsi_jnj < 63:
self.SetHoldings(self.symJ.Symbol, -self.wt)
# Trend Reversal strategy for AMD?
# if self.bb_trend_reversal:
#
# if not self.Portfolio[self.amd].Invested:
#
# if self.symA.Price > bbup_amd:
#
# self.SetHoldings(self.symA.Symbol, 1.5*self.wt)
#
# self.Debug("BB1 Reverse short")
#
# elif self.symA.Price < bbdn:
#
# self.SetHoldings(self.symA.Symbol, -1.5*self.wt)
#
# self.Debug("BB1 Reverse Long")
#
# elif self.Portfolio[self.amd].IsLong and self.symA.Price< bbdn_amd:
#
# self.SetHoldings(self.symA.Symbol, 1.25*self.wt)
#
# elif self.Portfolio[self.amd].IsShort and self.symA.Price> bbup_amd:
#
# self.SetHoldings(self.symA.Symbol, 1.25*self.wt)
# Trend following strategy for bb for JNJ?
# if not self.bb_trend_reversal:
#
# if not self.Portfolio[self.jnj].Invested:
#
# if self.symJ.Price > bbup_jnj:
#
# self.SetHoldings(self.symJ.Symbol, -1.5*self.wt)
#
# self.Debug("BB Trend Short")
#
# elif self.symJ.Price < bbdn_jnj:
#
# self.SetHoldings(self.symJ.Symbol, 1.5*self.wt)
#
# self.Debug("BB Trend Long")
#
# elif self.Portfolio[self.jnj].IsLong and self.symJ.Price< bbdn_jnj:
#
# self.SetHoldings(self.symJ.Symbol, self.wt)
#
# elif self.Portfolio[self.jnj].IsShort and self.symJ.Price> bbup_jnj:
#
# self.SetHoldings(self.symJ.Symbol, -self.wt)
#
# Trend reversal strategy for bb for AMD
if self.bb_trend_reversal:
if not self.Portfolio[self.amd].IsLong and self.symA.Price > bbup_amd:
self.SetHoldings(self.symA.Symbol, 2*self.wt)
elif not self.Portfolio[self.amd].IsShort and self.symA.Price < bbdn_amd:
self.SetHoldings(self.symA.Symbol, -2*self.wt)
elif self.Portfolio[self.amd].IsShort and self.symA.Price > bbdn_amd and self.symA.Price < bbmd_amd:
self.SetHoldings(self.symA.Symbol, self.wt)
elif self.Portfolio[self.amd].IsLong and self.symA.Price > bbup_amd and self.symA.Price > bbmd_amd:
self.SetHoldings(self.symA.Symbol, self.wt) # region imports
from AlgorithmImports import *
# endregion
"""
You are given $1 million to invest two stocks AMD and JNJ from 1/1/2018 to 1/1/2019.
You are given discretions to take long or short positions in these stocks, subject to
QC margin call. Your objective is to generate highest profit during this period subject
to the following conditions:
You must use momentum strategies involving BOTH indicators RSI and BB,
plus SMA indicators as needed. You can only use either trend following
or/and trend reversing strategy based on these indicators.
You are free to choose parameters for the strategies in terms of
lookback period, # of standard deviations, RSI upper/lower bands,
size of positions etc.
During the entire trading period, the absolute value of the market value
weight for each stock should be at least 25%.
You must ensure the drawdown amount is less than 15%, and the Sharpe Ratio > 1.0
5. Clear articulation as to why your performance result makes sense intuitively,
and list one or two significant factors that could make your strategy performance
worse or better.
• Your raw grade on this assignment will depend on your relative performance
ranking among all five groups.
• There will be qualitative adjustment on your grade based on clarity of
thoughts, explanations, potential areas of improvements as well as logic flows
of your codes.
"""
class FocusedMagentaBeaver(QCAlgorithm):
def Initialize(self):
# Requirements:
# weight >= 0.25 each
# drawdowown < 15%
# sharpe > 1.0
self.SetStartDate(2018, 1, 1) # Set Start Date
self.SetEndDate(2019, 1, 1)
self.SetCash(1000000) # Set Strategy Cash
# self.SetWarmup(30)
self.amd = "AMD"
self.jnj = "JNJ"
self.symA = self.AddEquity(self.amd, Resolution.Daily)
self.symJ = self.AddEquity(self.jnj, Resolution.Daily)
self.amdsma = self.SMA(self.amd, 30, Resolution.Daily)
self.amdrsi = self.RSI(self.amd, 20, Resolution.Daily)
self.amdbb = self.BB(self.amd, 20, 2, Resolution.Daily)
self.jnjrsi = self.RSI(self.jnj, 20, Resolution.Daily)
self.jnjbb = self.BB(self.jnj, 20, 2.1, Resolution.Daily)
self.jnjsma = self.SMA(self.amd, 30, Resolution.Daily)
self.wt = 0.25
self.bb_trend_reversal = True # False if Trend Following; True if Trend Reversing
self.count = 1
def OnData(self, data: Slice):
if self.count == 1:
# Buy Both Stock on First Day
self.SetHoldings(self.symJ.Symbol, -6*self.wt)
self.SetHoldings(self.symA.Symbol,self.wt)
self.count+=1
self.amd_holding = 1
self.jnj_holding = 1
else:
#Indicators for AMD
sma_amd = self.amdsma.Current.Value
rsi_amd = self.amdrsi.Current.Value
bbup_amd = self.amdbb.UpperBand.Current.Value
bbdn_amd = self.amdbb.LowerBand.Current.Value
bbmd_amd = self.amdbb.MiddleBand.Current.Value
#Indicators for JNJ
sma_jnj = self.jnjsma.Current.Value
rsi_jnj = self.jnjrsi.Current.Value
bbup_jnj = self.jnjbb.UpperBand.Current.Value
bbdn_jnj = self.jnjbb.LowerBand.Current.Value
bbmd_jnj = self.jnjbb.MiddleBand.Current.Value
# Trend-reversal strategy for AMD based on RSI and SMA
self.Debug( " Time: " + str(self.Time) + "Price: " + str(self.symJ.Price)+" SMA: "+str()+" "+str(bbdn_jnj))
# If see decresing trend and only hold initial holding, long 150%
if self.symA.Price - sma_amd < -1.8 and self.amd_holding == 1:
self.SetHoldings(self.symA.Symbol, 5.6*self.wt)
self.amd_holding += 5
# Trend Reversal for AMD based on RSI and SMA
if rsi_amd>80 and self.symA.Price - sma_amd > 9 and not self.Portfolio[self.amd].IsShort:
self.SetHoldings(self.symA.Symbol, -7.6*self.wt)
self.amd_holding = -7.6
elif rsi_amd < 30.4 and sma_amd < 27.6 and self.Portfolio[self.amd].IsShort:
self.SetHoldings(self.symA.Symbol, self.wt)
# Trend-reversal strategy for JNJ based on BB
if bbdn_jnj > self.symJ.Price and not self.Portfolio[self.jnj].IsLong:
self.SetHoldings(self.symJ.Symbol,2*self.wt)
elif bbup_jnj < self.symJ.Price and not self.Portfolio[self.jnj].IsShort:
self.SetHoldings(self.symJ.Symbol,-1*self.wt)