Overall Statistics
Total Orders
242
Average Win
0.25%
Average Loss
-0.17%
Compounding Annual Return
11.749%
Drawdown
1.400%
Expectancy
0.156
Net Profit
2.484%
Sharpe Ratio
0.504
Sortino Ratio
0.775
Probabilistic Sharpe Ratio
61.565%
Loss Rate
54%
Win Rate
46%
Profit-Loss Ratio
1.50
Alpha
0.047
Beta
-0.065
Annual Standard Deviation
0.053
Annual Variance
0.003
Information Ratio
-2.48
Tracking Error
0.114
Treynor Ratio
-0.414
Total Fees
$-1.34
Estimated Strategy Capacity
$480000.00
Lowest Capacity Asset
EWA R735QTJ8XC9X
Portfolio Turnover
54.57%
#region imports
from AlgorithmImports import *
#endregion

from scipy.stats import linregress 
import math 
import numpy as np

class Consolidator:

    limits = False

    def __init__(self, s1, s2, algo, smooth, z):
        self.s1 = s1 
        self.s2 = s2 
        self.algo = algo 

        self.smooth = smooth 
        self.z = z 

        self.child = s1
        self.parent = s2

        self.s1_ask = None 
        self.s1_bid = None
        self.s2_bid = None 
        self.s2_ask = None

        self.warmed_up = False 

        self.S1 = Identity('S1')
        self.S2 = Identity('S2')



        self.sym_str = f'{self.s1}/{self.s2}'

        cons = self.algo.res

        self.is_invested = None
        self.order_tickets = []


        self.algo.RegisterIndicator(self.s1, self.S1, cons) #MAYBE dont use any consolidator? Just subscribe to self.algo.res? 
        self.algo.RegisterIndicator(self.s2, self.S2, cons)

        self.hedge_ratio = 1.0 # DEFAULT -- Null equivalent.

        try:
            self.GetHedgeRatio()
        except:
            self.algo.Debug(f'Error -- Cannot get hedge ratio (YET)')

        self.series = IndicatorExtensions.Minus(self.S1, IndicatorExtensions.Times( self.S2, self.hedge_ratio))

        self.bb = BollingerBands(self.smooth, self.z, MovingAverageType.Exponential)

        n_pairs = len(self.algo.universe)
        per_symbol = .9 / n_pairs # Take approx 2x leverage, little below 

        self.per_symbol = per_symbol

        self.long_targets = [PortfolioTarget(self.s1, per_symbol), PortfolioTarget(self.s2, -per_symbol)]
        self.short_targets = [PortfolioTarget(self.s1, -per_symbol), PortfolioTarget(self.s2, per_symbol)]
        self.flat_targets = [PortfolioTarget(self.s1, 0.0), PortfolioTarget(self.s2, 0.0)]

        
        try:
            self.WarmUp()
        except:
            self.algo.Debug(f'Cannot Run Warmup (No idea Why)')
            pass


    def WarmUp(self):
        n = max(1000, self.smooth + 10)
        history = self.algo.History([self.s1, self.s2], n, self.algo.res)
        hist = history.unstack(level=0).close
        hist.dropna(inplace=True)
        for tm, row in hist.iterrows():
            # NEED to calculate the hedged value, at point in time, and update manually... 
            value = row[self.s1] - row[self.s2] * self.hedge_ratio
            self.bb.Update(tm, value) 

        self.warmed_up = True

        
    def GetHedgeRatio(self, history = None):
        if history is None:
            try:
                history = self.algo.History([self.s1, self.s2], 500, Resolution.Hour)                   #TODO: Make this a PARAM
                hist = history.unstack(level=0).close
                hist.dropna(inplace=True)

                p1 = hist[self.s1]
                p2 = hist[self.s2]
            except: 
                self.algo.Debug(f' --------- CANNOT get History, therefore hedge ratio ------------- ')
                return False
        else:
            p1 = history.loc[self.s1].close 
            p2 = history.loc[self.s2].close

        
        # Think this could be backwards?
        reg = linregress(p1,p2)
        self.hedge_ratio = reg.slope 
        self.algo.Debug(f'{self.s1} / {self.s2} Hedge Ratio -- {self.hedge_ratio}')
        return True

    def OnData(self, data):
        qc = self.algo
        if (not data.Bars.ContainsKey(self.s1)) or (not data.Bars.ContainsKey(self.s2)):
            return

        # self.algo.Debug(f'data: {data.Bars[self.s1].Close}')

        for symbol, quote_bar in data.QuoteBars.items():
            if symbol == self.s1:
                self.s1_bid = quote_bar.Bid.Close
                self.s1_ask = quote_bar.Ask.Close
                self.s1_time = quote_bar.EndTime

        
            if symbol == self.s2:
                self.s2_bid = quote_bar.Bid.Close
                self.s2_ask = quote_bar.Ask.Close
                self.s2_time = quote_bar.EndTime

        if self.hedge_ratio == 1:
            self.GetHedgeRatio()


        # Ensure on same event, of both products.
        if self.s1_time != self.s2_time:
            return

        # Ensure warmed up, 
        if not self.bb.IsReady:
            return

        serie = self.series.Current.Value
        self.bb.Update(self.algo.Time, serie)

        if self.bb.IsReady:
            if self.hedge_ratio != 1.0:
                self.EntryLogic()

            # if self.algo.plot:
            #     self.PlotSpread()


    @property
    def QuoteReady(self):
        return self.s1_ask != None and self.s1_bid != None and self.s2_ask != None and self.s2_bid != None

    def EntryLogic(self):

        if not self.bb.IsReady: return 
        if not self.series.IsReady: return 
        if not self.QuoteReady: return 
        
        serie = self.series.Current.Value

        if self.hedge_ratio > 0:
            buy_price = self.s1_ask - self.hedge_ratio * self.s2_bid
            sell_price = self.s1_bid - self.hedge_ratio * self.s2_ask
        else:
            buy_price = self.s1_ask - self.hedge_ratio * self.s2_ask
            sell_price = self.s1_bid - self.hedge_ratio * self.s2_bid


        # # if it is not invested, see if there is an entry point
        if not self.is_invested:
            # if our portfolio is bellow the lower band, enter long
            if buy_price < self.bb.LowerBand.Current.Value:
                self.algo.SetHoldings(self.long_targets)
                # self.SpreadLimitOrder(dir=1)
                

                # self.Debug('Entering Long')
                self.is_invested = 'long'
                if self.algo.db_lvl >= 2: self.algo.Debug(f'{self.sym_str}  {buy_price} < {self.bb.LowerBand.Current.Value}')
                if self.algo.db_lvl >= 1: self.algo.Debug(f'LE : {self.sym_str}')


            # if our portfolio is above the upper band, go short
            if sell_price > self.bb.UpperBand.Current.Value:
                self.algo.SetHoldings(self.short_targets)
                # self.SpreadLimitOrder(dir=-1)             #Drastically harms performance... need a more detailed limit order to execute properly (AllOrNone)
                
                # self.Debug('Entering Short')
                self.is_invested = 'short'

                if self.algo.db_lvl >= 2: self.algo.Debug(f'{self.sym_str}  {sell_price} > {self.bb.UpperBand.Current.Value}')
                if self.algo.db_lvl >= 1: self.algo.Debug(f'SE: {self.sym_str}')
        
        # if it is invested in something, check the exiting signal (when it crosses the mean)   
        elif self.is_invested == 'long':
            if sell_price > self.bb.MiddleBand.Current.Value:
                self.algo.SetHoldings(self.flat_targets)
                # self.Debug('Exiting Long')
                self.is_invested = None

                if self.algo.db_lvl >= 2: self.algo.Debug(f'{self.sym_str}  {sell_price} > {self.bb.MiddleBand.Current.Value}')
                if self.algo.db_lvl >= 1: self.algo.Debug(f'LX {self.sym_str}')

        elif self.is_invested == 'short':
            if buy_price < self.bb.MiddleBand.Current.Value:
                # self.Liquidate()
                self.algo.SetHoldings(self.flat_targets)
                # self.Debug('Exiting Short')
                self.is_invested = None

                if self.algo.db_lvl >= 2: self.algo.Debug(f'{self.sym_str}  {buy_price} < {self.bb.MiddleBand.Current.Value}')
                if self.algo.db_lvl >= 1: self.algo.Debug(f'SX {self.sym_str}')

    def PlotSpread(self):
        # if self.algo.db_lvl >= 2: self.algo.Debug(f'{self.sym_str}  {serie} < {self.bb.LowerBand.Current.Value}')
        self.algo.Plot("Strategy Equity", f"{self.sym_str}", serie)
        self.algo.Plot("Strategy Equity", f"{self.sym_str}_Upper", self.bb.UpperBand.Current.Value)
        self.algo.Plot("Strategy Equity", f"{self.sym_str}_Middle", self.bb.MiddleBand.Current.Value)
        self.algo.Plot("Strategy Equity", f"{self.sym_str}_Lower", self.bb.LowerBand.Current.Value)
        self.algo.Debug(f'Spread Plotted...')

    # region QuoteLogic

    def SpreadLimitOrder(self, dir=1):
        s1 = self.s1
        s2 = self.s2
        ps = self.per_symbol 

        if not self.QuoteReady: return 
        
        p1 = self.algo.Portfolio[s1].Price
        p2 = self.algo.Portfolio[s2].Price

        if dir == 1:
            q1 = self.algo.CalculateOrderQuantity(s1, ps)
            q2 = self.algo.CalculateOrderQuantity(s2, -ps * np.sign(self.hedge_ratio))


            p1 = self.s1_ask
            p2 = self.s2_bid if self.hedge_ratio > 0 else self.s2_ask

        else:
            q1 = self.algo.CalculateOrderQuantity(s1, -ps)
            q2 = self.algo.CalculateOrderQuantity(s2, ps * np.sign(self.hedge_ratio))

            p1 = self.s1_bid
            p2 = self.s2_ask if self.hedge_ratio > 0 else self.s2_bid

        self.s1_ticket = self.algo.LimitOrder(s1,  q1, p1)
        self.s2_ticket = self.algo.LimitOrder(s2, q2, p2)
        self.order_tickets.append(self.s1_ticket)
        self.order_tickets.append(self.s2_ticket)


    @property 
    def OrderIds(self):
        if not self.order_tickets: return []
        return [i.OrderId for i in self.order_tickets]

    def OnParentUpdate(self, order: OrderEvent):
        order = self.algo.Transactions.GetOrderById(orderEvent.OrderId)

    def OnChildUpdate(self, order: OrderEvent):
        order = self.algo.Transactions.GetOrderById(orderEvent.OrderId)
        # if orderEvent.Status == OrderStatus.Filled:
        #     self.Debug(f"{self.Time}: {order.Type}: {orderEvent}")

    def OnOrderUdate(self, order: OrderEvent):
        """
        Treated as a delegate method, called via Algo.main, if routed via id to this instance 

        https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/order-events#01-Introduction
        """
        order = self.algo.Transactions.GetOrderById(orderEvent.OrderId)
        if order.Symbol == inst.child:
            inst.OnChildUpdate(order)
        
        if order.Symbol == inst.parent:
            inst.OnParentUpdate(order)

    # endregion
#region imports
from AlgorithmImports import *

from scipy.stats import linregress 
import math 
from Consolidator import Consolidator 
#endregion


class Run:
    
    def __init__(self, child, parent, smooth, z):
        self.child = child
        self.parent = parent 
        self.smooth = smooth 
        self.z = z


class EMAMomentumUniverse(QCAlgorithm):


    res = Resolution.Minute # Could do Tick/ Second...

    # DISC, DISCA, NWS, NWSA, UA, UAA, HPE, HPQ ? Others?

    # OPTIMIZE these values !!! 

    bb_len = 120
    n_sig = .8

    db_lvl = 1
    plot = False


    runs = [
        Run('GOOG','GOOGL', 150, 1.5),
        Run('EWA','EWC', 150, 1.5),
        Run('CVX','XOM', 150, 1.5),
        Run('XOM','PXD', 150, 1.5),
        Run('DOW','DD', 150, 1.5),
    ]

    
    
    def Initialize(self):
        self.SetStartDate(2024,1,1)
        self.SetCash(100000)
        self.AddEquity('SPY')

        self.universe = [[i.child, i.parent] for i in self.runs]

        self.SafeOpt()

        self.Pairs = {}

        # for _s1, _s2 in self.universe:
        for i in self.runs:
            try:
                s1 = self.AddEquity(i.child, self.res).Symbol 
                s2 = self.AddEquity(i.parent, self.res).Symbol
                self.Pairs[(i.child, i.parent)] = Consolidator(s1, s2, self, i.smooth, i.z)
            except:
                self.Debug(f'Cannot Add {i}')


        for symbol, security in self.Securities.items():
            security.SetSlippageModel(ConstantSlippageModel(0))
            security.SetFeeModel(MakerTakerModel())

        
        self.Schedule.On(self.DateRules.WeekStart("SPY"),
                 self.TimeRules.AfterMarketOpen("SPY", -10),
                 self.WeeklyBeforeMkt)


    def WeeklyBeforeMkt(self):
        for pair, inst in self.Pairs.items():
            # inst.OnData(data)
            inst.GetHedgeRatio()

    def OnData(self, data):
        for pair, inst in self.Pairs.items():
                inst.OnData(data)


    def SafeOpt(self):
        tst = self.GetParameter('bb-len')
        if tst: self.bb_len = int(tst)

        tst = self.GetParameter('n-sig')
        if tst: self.n_sig = float(tst)
    

    def OnOrderEvent(self, orderEvent: OrderEvent) -> None:
        # order = self.Transactions.GetOrderById(orderEvent.OrderId)        
        for parent_child, inst in self.Pairs.items():
            if orderEvent.OrderId in inst.OrderIds:
                inst.OnOrderUpdate(orderEvent)
        
        # Can do any bookkeeping, order tracking, logging here.


        
class MakerTakerModel(FeeModel):
    def __init__(self, maker = -.0016, taker = .003):
        self.maker = maker 
        self.taker = taker

    def GetOrderFee(self, parameters: OrderFeeParameters) -> OrderFee:
        qty = parameters.Order.Quantity
        ord_type = parameters.Order.Type
        # self.Debug(f'Order Type: {ord_type}')

        if ord_type in [OrderType.Market, OrderType.StopMarket]:
            fee_usd = self.taker * qty 
        else:
            fee_usd = self.maker * qty

        return OrderFee(CashAmount(fee_usd, 'USD'))
#region imports



'''
Ratio taken from Research (06 - 12)
Tested out of sample from 12 +
'''
from AlgorithmImports import *
#endregion



from scipy.stats import linregress 
import math 

class EMAMomentumUniverse(QCAlgorithm):


    res = Resolution.Hour

    s1 = 'GOOG'
    s2 = 'GOOGL'

    # DISC, DISCA, NWS, NWSA, UA, UAA, HPE, HPQ ? Others?

    bb_len = 120
    n_sig = .8
    
    def Initialize(self):
        # Define backtest window and portfolio cash
        self.SetStartDate(2012, 6, 10)
        self.SetEndDate(2012, 6, 20)
        # self.SetEndDate(2012 + 5, 6, 10)            # Try running for 3 years after?
        # self.SetEndDate(2021, 6, 9)                # Try running for 10 yrs after?
        self.SetCash(100000)


        

        # Add the assets to be fed into the algorithm and save the symbol objects (to be referred later)
        self.ewc_symbol = self.AddEquity(self.s1, self.res).Symbol
        self.ewa_symbol = self.AddEquity(self.s2, self.res).Symbol
        
        # Create two identity indicators (a indicator that repeats the value without any processing)
        self.ewc_identity = Identity("My_EWC")
        self.ewa_identity = Identity("My_EWA")

        # Set these indicators to receive the data from EWC and EWA        
        self.RegisterIndicator(self.ewc_symbol, self.ewc_identity, self.res)
        self.RegisterIndicator(self.ewa_symbol, self.ewa_identity, self.res)

        # ---------------------------------------------- ADDIT ------------------------------------------  

        # h = self.History(self.Securities.Keys, 500, self.res)                                       # Maybe not working? 
        # p1 = h.loc[self.s1]


        # p1 = self.History(self.ewa_symbol, 500, self.res).loc[self.ewa_symbol].close
        # p2 = self.History(self.ewc_symbol, 500, self.res).loc[self.ewc_symbol].close
        

        # reg = linregress(p1, p2)

        # self.hedge = reg.slope

        # self.hedge = 1.3188 #Original 
        self.hedge = None

        # ---------------------------------------- End 


        # create the portfolio as a new indicator
        # this is handy as the portfolio will be updated as new data comes in, without the necessity of updating the values manually
        # as the QCAlgorithm already has a Portfolio attribute, we will call our combined portfolio as series
        self.series = IndicatorExtensions.Minus(self.ewc_identity, IndicatorExtensions.Times(self.ewa_identity, 1.3188))

        # We then create a bollinger band with 120 steps for lookback period
        self.bb = BollingerBands(self.bb_len, self.n_sig, MovingAverageType.Exponential)
        # Register indicator here...
        
        # Define the objectives when going long or going short (long=buy EWC and sell EWA) (short=sell EWC and buy EWA)
        self.long_targets = [PortfolioTarget(self.ewc_symbol, 0.9), PortfolioTarget(self.ewa_symbol, -0.9)]
        self.short_targets = [PortfolioTarget(self.ewc_symbol, -0.9), PortfolioTarget(self.ewa_symbol, 0.9)]

        self.is_invested = None

        self.first_time = True
        



        for symbol, security in self.Securities.items():
            security.SetSlippageModel(ConstantSlippageModel(0))
            # kvp.SetFeeModel(ConstantFeeModel(.008)) #This is a raw price I think... #TODO: unsure how to write a fee model ?
            security.SetFeeModel(MakerTakerModel())

    def GetHedgeRatio(self):
        p1 = self.History(self.ewa_symbol, 500, self.res).loc[self.ewa_symbol].close
        p2 = self.History(self.ewc_symbol, 500, self.res).loc[self.ewc_symbol].close

        reg = linregress(p1,p2)
        self.hedge = reg.slope 

        # Define the objectives when going long or going short (long=buy EWC and sell EWA) (short=sell EWC and buy EWA)
        self.long_targets = [PortfolioTarget(self.ewc_symbol, 0.9), PortfolioTarget(self.ewa_symbol, -0.9)]
        self.short_targets = [PortfolioTarget(self.ewc_symbol, -0.9), PortfolioTarget(self.ewa_symbol, 0.9)]


    def OnEndOfDay(self):

        if not self.hedge:
            try:
                self.GetHedgeRatio()
                self.first_time = False 
                self.Debug(f' ------------------------------------- HEDGE QTY SET {self.hedge} --------------------------------------------------- ')
            except:
                pass 
        


    def OnData(self, data):

        # for daily bars data is delivered at 00:00 of the day containing the closing price of the previous day (23:59:59)
        if (not data.Bars.ContainsKey(self.ewc_symbol)) or (not data.Bars.ContainsKey(self.ewa_symbol)):
            return

        #update the Bollinger Band value
        self.bb.Update(self.Time, self.series.Current.Value)

        # check if the bolllinger band indicator is ready (filled with 120 steps)
        if not self.bb.IsReady:
            return

        serie = self.series.Current.Value

        # self.Plot("EWA Prices", "Open", self.Securities[self.ewa_symbol].Open)
        # self.Plot("EWA Prices", "Close", self.Securities[self.ewa_symbol].Close)
        
        # self.Plot("Indicators", "Serie", serie)
        # self.Plot("Indicators", "Middle", self.bb.MiddleBand.Current.Value)
        # self.Plot("Indicators", "Upper", self.bb.UpperBand.Current.Value)
        # self.Plot("Indicators", "Lower", self.bb.LowerBand.Current.Value)

        s1, s2 = self.ewc_symbol, self.ewa_symbol 
        
        # if it is not invested, see if there is an entry point
        if not self.is_invested:
            # if our portfolio is bellow the lower band, enter long
            if serie < self.bb.LowerBand.Current.Value:
                self.SetHoldings(self.long_targets)
                
                q1 = self.CalculateOrderQuantity(s1, .9)
                q2 = self.CalculateOrderQuantity(s2, -.9)
                # ask = self.Portfolio[s1].AskPrice
                # ask = data.Bars[s1].AskPrice
                p1 = self.Portfolio[s1].Price
                p2 = self.Portfolio[s2].Price

                # self.LimitOrder(s1,  q1, p1)
                # self.LimitOrder(s2, q1, p2)

                # self.Debug('Entering Long')
                self.is_invested = 'long'
            
            # if our portfolio is above the upper band, go short
            if serie > self.bb.UpperBand.Current.Value:
                self.SetHoldings(self.short_targets)

                q1 = self.CalculateOrderQuantity(s1, -.9)
                q2 = self.CalculateOrderQuantity(s2, .9)
                # ask = self.Portfolio[s1].AskPrice
                # ask = data.Bars[s1].AskPrice
                p1 = self.Portfolio[s1].Price
                p2 = self.Portfolio[s2].Price

                # Pricing model not working? 
                # self.LimitOrder(s1,  q1, p1)
                # self.LimitOrder(s2, q1, p2)
                
                # self.Debug('Entering Short')
                self.is_invested = 'short'
        
        # if it is invested in something, check the exiting signal (when it crosses the mean)   
        elif self.is_invested == 'long':
            if serie > self.bb.MiddleBand.Current.Value:
                self.Liquidate()
                # self.Debug('Exiting Long')
                self.is_invested = None
                
        elif self.is_invested == 'short':
            if serie < self.bb.MiddleBand.Current.Value:
                self.Liquidate()
                # self.Debug('Exiting Short')
                self.is_invested = None
                
        
        
class MakerTakerModel(FeeModel):

    # def __init__(maker = -.0016, taker = .003):
    #     self.maker = maker 
    #     self.taker = taker

    def GetOrderFee(self, parameters: OrderFeeParameters) -> OrderFee:
        qty = parameters.Order.Quantity
        ord_type = parameters.Order.Type
        # self.Debug(f'Order Type: {ord_type}')

        # fee_in_usd = .0008

        make_ps = -.0016 #Rebate
        take_ps = .003

        if ord_type in [OrderType.Market, OrderType.StopMarket]:
            fee_usd = take_ps * qty 
        else:
            fee_usd = make_ps * qty

        # fee_usd = make_ps * qty 

        return OrderFee(CashAmount(fee_usd, 'USD'))