Overall Statistics |
Total Trades 71 Average Win 9.78% Average Loss -3.64% Compounding Annual Return 15.822% Drawdown 27.900% Expectancy 1.106 Net Profit 244.530% Sharpe Ratio 0.733 Loss Rate 43% Win Rate 57% Profit-Loss Ratio 2.68 Alpha 0.182 Beta -0.063 Annual Standard Deviation 0.24 Annual Variance 0.058 Information Ratio 0.252 Tracking Error 0.333 Treynor Ratio -2.807 Total Fees $197.66 |
namespace QuantConnect.Rotation { public class GlobalRotation : QCAlgorithm { // we'll use this to tell us when the month has ended DateTime LastRotationTime = DateTime.MinValue; TimeSpan RotationInterval = TimeSpan.FromDays(30); // these are the growth symbols we'll rotate through List<string> GrowthSymbols = new List<string> { "MDY", // US S&P mid cap 400 "IEV", // iShares S&P europe 350 "EEM", // iShared MSCI emerging markets "ILF", // iShares S&P latin america "EPP" // iShared MSCI Pacific ex-Japan }; // these are the safety symbols we go to when things are looking bad for growth List<string> SafetySymbols = new List<string> { "EDV", // Vangaurd TSY 25yr+ "SHY" // Barclays Low Duration TSY }; // we'll hold some computed data in these guys List<SymbolData> SymbolData = new List<SymbolData>(); public override void Initialize() { SetCash(25000); SetStartDate(2007, 1, 1); SetEndDate(2015, 6, 1); foreach (var symbol in GrowthSymbols.Union(SafetySymbols)) { // ideally we would use daily data AddSecurity(SecurityType.Equity, symbol, Resolution.Minute); var oneMonthPerformance = MOM(symbol, 30, Resolution.Daily); var threeMonthPerformance = MOM(symbol, 90, Resolution.Daily); SymbolData.Add(new SymbolData { Symbol = symbol, OneMonthPerformance = oneMonthPerformance, ThreeMonthPerformance = threeMonthPerformance }); } } private bool first = true; public void OnData(TradeBars data) { try { // the first time we come through here we'll need to do some things such as allocation // and initializing our symbol data if (first) { first = false; LastRotationTime = data.Time; return; } var delta = Time.Subtract(LastRotationTime); if (delta > RotationInterval) { LastRotationTime = data.Time; // pick which one is best from growth and safety symbols var orderedObjScores = SymbolData.OrderByDescending(x => x.ObjectiveScore).ToList(); foreach (var orderedObjScore in orderedObjScores) { Log(">>SCORE>>" + orderedObjScore.Symbol + ">>" + orderedObjScore.ObjectiveScore); } var bestGrowth = orderedObjScores.First(); if (bestGrowth.ObjectiveScore > 0) { if (Portfolio[bestGrowth.Symbol].Quantity == 0) { Log("PREBUY>>LIQUIDATE>>"); Liquidate(); } Log(">>BUY>>" + bestGrowth.Symbol + "@" + (100 * bestGrowth.OneMonthPerformance).ToString("00.00")); SetHoldings(bestGrowth.Symbol, 1.0); } else { // if no one has a good objective score then let's hold cash this month to be safe Log(">>LIQUIDATE>>CASH"); Liquidate(); } } } catch (Exception ex) { Error("OnTradeBar: " + ex.Message + "\r\n\r\n" + ex.StackTrace); } } } class SymbolData { public string Symbol; public Momentum OneMonthPerformance { get; set; } public Momentum ThreeMonthPerformance { get; set; } public decimal ObjectiveScore { get { // we weight the one month performance higher decimal weight1 = 100; decimal weight2 = 75; return (weight1 * OneMonthPerformance + weight2 * ThreeMonthPerformance) / (weight1 + weight2); } } } }