| Overall Statistics |
|
Total Trades 18 Average Win 0.33% Average Loss -0.43% Compounding Annual Return 4.398% Drawdown 1.900% Expectancy 0.108 Net Profit 4.398% Sharpe Ratio 1.039 Probabilistic Sharpe Ratio 51.128% Loss Rate 38% Win Rate 62% Profit-Loss Ratio 0.77 Alpha 0.03 Beta -0.03 Annual Standard Deviation 0.03 Annual Variance 0.001 Information Ratio 0.355 Tracking Error 0.149 Treynor Ratio -1.013 Total Fees $993.39 Estimated Strategy Capacity $100000000.00 Lowest Capacity Asset CMB R735QTJ8XC9X |
# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020,1,1)
self.SetEndDate(2021,1,1)
self.SetCash(1000000)
# add securities
self.AddEquity("GOOG", Resolution.Daily)
self.GOOG = self.Symbol("GOOG")
self.AddEquity("AMZN", Resolution.Daily)
self.AMZN = self.Symbol("AMZN")
self.count = 0
def OnData(self, data: Slice):
if self.count == 0:
self.MarketOrder("GOOG", 6000)
self.MarketOrder("AMZN",-8000)
value = self.Portfolio.TotalPortfolioValue
self.Log('Portfolio Value : ' + str(value))
self.count += 1
if value < 900000:
order_ids = self.Liquidate()
# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020,1,1)
self.SetEndDate(2021,1,1)
self.SetCash(1000000)
# add securities
self.AddEquity("GOOG", Resolution.Daily)
self.AddEquity("AMZN", Resolution.Daily)
def OnData(self, data: Slice):
# get starting date prices
if self.Time.day == 1 and self.Time.month == 1 and self.Time.year == 2020:
self.AMZN_start = self.Securities["AMZN"].Price
self.GOOG_start = self.Securities["GOOG"].Price
self.LimitOrder("AMZN", -8000, 1.05 * self.AMZN_start)
self.LimitOrder("GOOG", 6000, 0.95 * self.GOOG_start)
value = self.Portfolio.TotalPortfolioValue
if value < 900000:
order_ids = self.Liquidate()
value = self.Portfolio.TotalPortfolioValue
if value < 900000:
order_ids = self.Liquidate()# region imports
from AlgorithmImports import *
# endregion
class MeasuredTanJackal(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020,1,1)
self.SetEndDate(2021,1,1)
self.SetCash(1000000)
# add securities
self.AddEquity("GOOG", Resolution.Daily)
self.AddEquity("AMZN", Resolution.Daily)
self.amzn_orders = -5628
self.goog_orders = round(self.amzn_orders * 3/4,0)
def OnData(self, data: Slice):
self.Debug(f"AMZN : {self.amzn_orders} \n GOOG : {self.goog_orders}")
if self.Time.day == 1 and self.Time.year == 2020 and self.Time.month == 1:
self.MarketOrder("AMZN", self.amzn_orders)
self.MarketOrder("GOOG", -self.goog_orders)# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
"""
1. (5 pts) Compute the Sharpe Ratio of a buy-and-hold strategy for each of the above stocks
individually for the given time period, that is, you need to compute four
Sharpe Ratios separately, one for each stock.
"""
def Initialize(self):
self.SetStartDate(2019,2,1)
self.SetEndDate(2021,2,1)
self.SetCash(1000000)
#self.AddEquity('GS', Resolution.Daily)
#self.AddEquity('MS', Resolution.Daily)
#self.AddEquity('AMD', Resolution.Daily)
self.AddEquity('XOM', Resolution.Daily)
def OnData(self, data: Slice):
#self.SetHoldings('GS', 1)
#self.SetHoldings('MS', 1)
#self.SetHoldings('AMD', 1)
self.SetHoldings('XOM', 1)
# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019,2,1)
self.SetEndDate(2021,2,1)
self.SetCash(1000000)
# just commenting and uncommenting the below to find the statistic for
# the relevant ticker
#self.AddEquity('GS', Resolution.Daily)
self.AddEquity('MS', Resolution.Daily)
#self.AddEquity('AMD', Resolution.Daily)
#self.AddEquity('XOM', Resolution.Daily)
self.count = 0
def OnData(self, data: Slice):
if self.count == 0:
#self.SetHoldings('GS', 1)
self.SetHoldings('MS', 1)
#self.SetHoldings('AMD', 1)
#self.SetHoldings('XOM', 1)
value = self.Portfolio.TotalUnrealizedProfit
stop_loss = 0.07 * 1000000
self.count += 1
# with 1MM starting value, equates to losing or gaining $70,000
if (value <= -stop_loss) or (value >= stop_loss):
order = self.Liquidate()# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019,2,1)
self.SetEndDate(2021,2,1)
self.SetCash(1000000)
# just commenting and uncommenting the below to find the statistic for
# the relevant ticker
self.AddEquity('GS', Resolution.Daily)
self.AddEquity('MS', Resolution.Daily)
#self.AddEquity('AMD', Resolution.Daily)
#self.AddEquity('XOM', Resolution.Daily)
self.count = 0
def OnData(self, data: Slice):
if self.count == 0:
self.SetHoldings('GS', 0.5)
self.SetHoldings('MS', -0.5)
#self.SetHoldings('AMD', 1)
#self.SetHoldings('XOM', 1)
self.count += 1
# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019,2,1)
self.SetEndDate(2021,2,1)
self.SetCash(1000000)
# just commenting and uncommenting the below to find the statistic for
# the relevant ticker
self.AddEquity('GS', Resolution.Daily)
self.AddEquity('MS', Resolution.Daily)
self.AddEquity('AMD', Resolution.Daily)
self.AddEquity('XOM', Resolution.Daily)
self.count = 0
def OnData(self, data: Slice):
if self.count == 0:
self.SetHoldings('GS', 0.25)
self.SetHoldings('MS', -0.25)
self.SetHoldings('AMD', 0.25)
self.SetHoldings('XOM', -.25)
self.count += 1
#region imports
from AlgorithmImports import *
#endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019,8,20)
self.SetEndDate(2020,7,20)
self.SetCash(2000000)
self.ticker ='ROKU'
self.sym = self.AddEquity(self.ticker, Resolution.Daily) #S1
self.sma = self.SMA(self.ticker, 20, Resolution.Daily)
self.port = False
if self.port:
self.wt = 0.25 # if we have two stocks, each wt will be 25%
else:
self.wt = 0.5 # single stock wt 50%
def OnData(self, data: Slice):
ind = self.sma.Current.Value
if not self.Portfolio[self.ticker].Invested:
if self.sym.Price > ind:
self.SetHoldings(self.sym.Symbol, self.wt)
elif self.sym.Price < ind:
self.SetHoldings(self.sym.Symbol, -self.wt)
elif (self.Portfolio[self.ticker].IsLong and self.sym.Price< ind) or (self.Portfolio[self.ticker].IsShort and self.sym.Price> ind):
self.SetHoldings(self.sym.Symbol, 0.0)
#region imports
from AlgorithmImports import *
#endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019,8,20)
self.SetEndDate(2020,7,20)
self.SetCash(2000000)
self.ticker1 ='AMD'
self.sym1 = self.AddEquity(self.ticker1, Resolution.Daily) #S1
self.sma = self.SMA(self.ticker1, 20, Resolution.Daily)
self.port = False
if self.port:
self.wt = 0.25 # if we have two stocks, each wt will be 25%
else:
self.wt = 0.5 # single stock wt 50%
def OnData(self, data: Slice):
ind1 = self.sma.Current.Value
if not self.Portfolio[self.ticker1].Invested:
if self.sym1.Price > ind1:
self.SetHoldings(self.sym1.Symbol, -self.wt)
elif self.sym1.Price < ind1:
self.SetHoldings(self.sym1.Symbol, self.wt)
elif self.Portfolio[self.ticker1].IsLong and self.sym1.Price< ind1 or self.Portfolio[self.ticker1].IsShort and self.sym1.Price> ind1:
self.SetHoldings(self.sym1.Symbol, 0.0)
# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2019,8,20)
self.SetEndDate(2020,7,20)
self.SetCash(2000000)
self.ticker1 ='ROKU'
self.sym1 = self.AddEquity(self.ticker1, Resolution.Daily) #S1
self.sma1 = self.SMA(self.ticker1, 20, Resolution.Daily)
self.ticker2 = 'AMD'
self.sym2 = self.AddEquity(self.ticker2, Resolution.Daily) #S2
self.sma2 = self.SMA(self.ticker2, 20, Resolution.Daily)
self.port = True
if self.port:
self.wt = 0.25 # if we have two stocks, each wt will be 25%
else:
self.wt = 0.5 # single stock wt 50%
def OnData(self, data: Slice):
ind1 = self.sma1.Current.Value
ind2 = self.sma2.Current.Value
self.Debug("Price1 " + str(self.sym1.Price) + "indicator " +str(ind1))
self.Debug("Price2 " + str(self.sym2.Price) + "indicator " +str(ind2))
if not self.Portfolio[self.ticker1].Invested:
if self.sym1.Price > ind1:
self.SetHoldings(self.sym1.Symbol, self.wt)
elif self.sym1.Price < ind1:
self.SetHoldings(self.sym1.Symbol, -self.wt)
elif self.Portfolio[self.ticker1].IsLong and self.sym1.Price< ind1 or \
self.Portfolio[self.ticker1].IsShort and self.sym1.Price> ind1:
self.SetHoldings(self.sym1.Symbol, 0.0)
#Trend-reversal Strategy for self.ticker1
if self.port:
if not self.Portfolio[self.ticker2].Invested:
if self.sym2.Price > ind2:
self.SetHoldings(self.sym2.Symbol, -self.wt)
elif self.sym2.Price <ind2:
self.SetHoldings(self.sym2.Symbol, self.wt)
elif self.Portfolio[self.ticker2].IsLong and self.sym2.Price< ind2 or \
self.Portfolio[self.ticker2].IsShort and self.sym2.Price> ind2:
self.SetHoldings(self.sym2.Symbol, 0.0)
# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018,1,1)
self.SetEndDate(2018,1,5)
self.SetCash(1000000)
self.AddUniverse(self.Coarse, self.Fine)
self.UniverseSettings.Resolution = Resolution.Daily
self.SetSecurityInitializer(lambda x: x.SetDataNormalizationMode(DataNormalizationMode.Raw))
def Coarse(self, coarse):
sortedByDollarVolume = sorted(coarse, key=lambda c: c.DollarVolume, reverse=True)
filteredByPrice = [c.Symbol for c in sortedByDollarVolume if c.Price>10]
self.filter_coarse = filteredByPrice[:100]
return self.filter_coarse
def Fine(self, fine):
fine1 = [x for x in fine if x.AssetClassification.MorningstarSectorCode == MorningstarSectorCode.FinancialServices]
sortedByMarketCap = sorted(fine1, key=lambda c: c.MarketCap, reverse=True)
self.filter_fine = [i.Symbol for i in sortedByMarketCap][0:3]
return self.filter_fine
def OnData(self, data: Slice):
self.Log(f"OnData({self.UtcTime}): Keys: {', '.join([key.Value for key in data.Keys])}")
import statsmodels.api as sm
from statsmodels.tsa.stattools import coint, adfuller
# region imports
from AlgorithmImports import *
# endregion
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.lookback = 60
self.SetStartDate(2018,1,1)
self.SetEndDate(2019,1,1)
self.SetCash(1000000)
self.enter = 2 # Set the enter threshold
self.exit = 0 # Set the exit threshold
self.lookback = 90 # Set the loockback period 90 days
# BAC, BRK.B, JPM
self.pairs =['JPM','BAC']
self.ticker1 = self.pairs[0]
self.ticker2 = self.pairs[1]
self.AddEquity(self.ticker1, Resolution.Daily)
self.AddEquity(self.ticker2, Resolution.Daily)
self.symbols = [self.Symbol(self.ticker1), self.Symbol(self.ticker2)]
# borrowing code presented in class, lecture 8 p. 162
def stats(self, symbols):
#symbols is a pair of QC Symbol Object
self.df = self.History(symbols, self.lookback)
self.dg = self.df["open"].unstack(level=0)
Y = self.dg[self.ticker1].apply(lambda x: math.log(x))
X = self.dg[self.ticker2].apply(lambda x: math.log(x))
X = sm.add_constant(X)
model = sm.OLS(Y,X)
results = model.fit()
sigma = math.sqrt(results.mse_resid) #standard deviation of the residual
slope = results.params[1]
intercept = results.params[0]
res = results.resid #regression residual has mean =0 by definition
zscore = res/sigma
adf = adfuller(res)
return [adf, zscore, slope]
def OnData(self, data: Slice):
# get the adf and the actual adf score per the docs
adf = self.stats(self.symbols)[0]
self.Log(f"ADF for {self.ticker1} and {self.ticker2} : {adf[0]}; p-value : {adf[1]}")#region imports
from AlgorithmImports import *
#endregion
import numpy as np
import pandas as pd
from datetime import timedelta, datetime
import math
import statsmodels.api as sm
from statsmodels.tsa.stattools import coint, adfuller
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.lookback = 60
self.SetStartDate(2018,1,1)
self.SetEndDate(2019,1,1)
self.SetCash(1000000)
self.enter = 2
self.exit = 0
self.lookback = 20
# BAC, BRK.B, JPM
self.pairs =['JPM','BAC']
self.ticker1 = self.pairs[0]
self.ticker2 = self.pairs[1]
self.AddEquity(self.ticker1, Resolution.Daily)
self.AddEquity(self.ticker2, Resolution.Daily)
self.symbols = [self.Symbol(self.ticker1), self.Symbol(self.ticker2)]
self.sym1 = self.symbols[0]
self.sym2 = self.symbols[1]
# borrowing code presented in class, lecture 8 p. 162
def stats(self, symbols):
#symbols is a pair of QC Symbol Object
self.df = self.History(symbols, self.lookback)
self.dg = self.df["open"].unstack(level=0)
Y = self.dg[self.ticker1].apply(lambda x: math.log(x))
X = self.dg[self.ticker2].apply(lambda x: math.log(x))
X = sm.add_constant(X)
model = sm.OLS(Y,X)
results = model.fit()
sigma = math.sqrt(results.mse_resid) #standard deviation of the residual
slope = results.params[1]
intercept = results.params[0]
res = results.resid #regression residual has mean =0 by definition
zscore = res/sigma
adf = adfuller(res)
return [adf, zscore, slope]
def OnData(self, data):
self.IsInvested = (self.Portfolio[self.sym1].Invested) or (self.Portfolio[self.sym2].Invested)
self.ShortSpread = self.Portfolio[self.sym1].IsShort
self.LongSpread = self.Portfolio[self.sym2].IsLong
stats = self.stats([self.sym1, self.sym2])
self.beta = stats[2]
zscore= stats[1][-1]
self.wt1 = 1/(1+self.beta)
self.wt2 = self.beta/(1+self.beta)
self.pos1 = self.Portfolio[self.sym1].Quantity
self.px1 = self.Portfolio[self.sym1].Price
self.pos2 = self.Portfolio[self.sym2].Quantity
self.px2 = self.Portfolio[self.sym2].Price
self.equity =self.Portfolio.TotalPortfolioValue
if self.IsInvested:
if self.ShortSpread and zscore <= self.exit or \
self.LongSpread and zscore >= self.exit:
self.Liquidate()
else:
if zscore > self.enter:
self.SetHoldings(self.sym1, -self.wt1)
self.SetHoldings(self.sym2, self.wt2)
if zscore < -self.enter:
self.SetHoldings(self.sym1, self.wt1)
self.SetHoldings(self.sym2, -self.wt2)
self.pos1 = self.Portfolio[self.sym1].Quantity
self.pos2 = self.Portfolio[self.sym2].Quantity
self.Debug("sym1 " + str(self.sym1.Value) + " /w "+ str(self.pos1) + " sym2 " +str(self.sym2.Value) + " /w "+str(self.pos2))
self.Debug("Total Account Equity: "+ str( self.equity) + "Total Marginused: "+ str( self.Portfolio.TotalMarginUsed))#region imports
from AlgorithmImports import *
#endregion
import numpy as np
import pandas as pd
from datetime import timedelta, datetime
import math
import statsmodels.api as sm
from statsmodels.tsa.stattools import coint, adfuller
class EnergeticYellowGreenGiraffe(QCAlgorithm):
def Initialize(self):
self.lookback = 60
self.SetStartDate(2018,1,1)
self.SetEndDate(2019,1,1)
self.SetCash(1000000)
self.enter = 2
self.exit = 0
self.lookback = 20
# BAC, BRK.B, JPM
self.pairs =['JPM','BAC']
self.ticker1 = self.pairs[0]
self.ticker2 = self.pairs[1]
self.AddEquity(self.ticker1, Resolution.Daily)
self.AddEquity(self.ticker2, Resolution.Daily)
self.symbols = [self.Symbol(self.ticker1), self.Symbol(self.ticker2)]
self.sym1 = self.symbols[0]
self.sym2 = self.symbols[1]
# borrowing code presented in class, lecture 8 p. 162
def stats(self, symbols):
#symbols is a pair of QC Symbol Object
self.df = self.History(symbols, self.lookback)
self.dg = self.df["open"].unstack(level=0)
Y = self.dg[self.ticker1].apply(lambda x: math.log(x))
X = self.dg[self.ticker2].apply(lambda x: math.log(x))
X = sm.add_constant(X)
model = sm.OLS(Y,X)
results = model.fit()
sigma = math.sqrt(results.mse_resid) #standard deviation of the residual
slope = results.params[1]
intercept = results.params[0]
res = results.resid #regression residual has mean =0 by definition
zscore = res/sigma
adf = adfuller(res)
return [adf, zscore, slope]
def OnData(self, data):
self.IsInvested = (self.Portfolio[self.sym1].Invested) or (self.Portfolio[self.sym2].Invested)
self.ShortSpread = self.Portfolio[self.sym1].IsShort
self.LongSpread = self.Portfolio[self.sym2].IsLong
stats = self.stats([self.sym1, self.sym2])
self.beta = stats[2]
zscore= stats[1][-1]
abs_z = abs(zscore)
self.wt1 = 1/(1+self.beta)
self.wt2 = self.beta/(1+self.beta)
self.pos1 = self.Portfolio[self.sym1].Quantity
self.px1 = self.Portfolio[self.sym1].Price
self.pos2 = self.Portfolio[self.sym2].Quantity
self.px2 = self.Portfolio[self.sym2].Price
self.equity =self.Portfolio.TotalPortfolioValue
if self.IsInvested:
if self.ShortSpread and zscore <= self.exit or \
self.LongSpread and zscore >= self.exit or \
abs_z > 3:
self.Liquidate()
else:
if zscore > self.enter:
self.SetHoldings(self.sym1, -self.wt1)
self.SetHoldings(self.sym2, self.wt2)
if zscore < -self.enter:
self.SetHoldings(self.sym1, self.wt1)
self.SetHoldings(self.sym2, -self.wt2)
self.pos1 = self.Portfolio[self.sym1].Quantity
self.pos2 = self.Portfolio[self.sym2].Quantity
self.Debug(f"z-score : {zscore}; abs z-score : {abs_z}")