| Overall Statistics |
|
Total Trades 11 Average Win 10.54% Average Loss -2.29% Compounding Annual Return 34.362% Drawdown 10.800% Expectancy 2.361 Net Profit 30.927% Sharpe Ratio 1.651 Probabilistic Sharpe Ratio 70.685% Loss Rate 40% Win Rate 60% Profit-Loss Ratio 4.60 Alpha 0.078 Beta 0.899 Annual Standard Deviation 0.145 Annual Variance 0.021 Information Ratio 0.539 Tracking Error 0.111 Treynor Ratio 0.267 Total Fees $16.05 Estimated Strategy Capacity $45000000.00 Lowest Capacity Asset TLT SGNKIKYGE9NP |
import numpy as np
# -------------------------------------------------------------------------
STK = ['QQQ']; BND = ['TLT']; VOLA = 126; BASE_RET = 85; DAY = 85 ;LEV = 1.00; #85
PAIRS = ['SLV', 'GLD', 'XLI', 'XLU', 'DBB', 'UUP'] ; res = Resolution.Daily
moltvola = 0.7;
# -------------------------------------------------------------------------
class DualMomentumInOut(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021,1,1)
# self.SetEndDate(2020, 8, 1)
self.cap = 50000
self.SetCash(self.cap)
self.AddEquity('QQQ', res).Symbol
self.SetBenchmark('SPY')
self.STK = self.AddEquity('QQQ', res).Symbol
self.BND = self.AddEquity('TLT', res).Symbol
self.ASSETS = [self.STK, self.BND]
self.SLV = self.AddEquity('SLV', res).Symbol
self.GLD = self.AddEquity('GLD', res).Symbol
self.XLI = self.AddEquity('XLI', res).Symbol
self.XLU = self.AddEquity('XLU', res).Symbol
self.DBB = self.AddEquity('DBB', res).Symbol
self.UUP = self.AddEquity('UUP', res).Symbol
# self.SPY = self.AddEquity('SPY', res).Symbol
# self.TLT = self.AddEquity('TLT', res).Symbol
self.MKT = self.AddEquity('SPY', res).Symbol
self.BNCH = self.AddEquity('SPY', res).Symbol
self.pairs = [self.XLI, self.XLU, self.GLD, self.SLV, self.DBB, self.UUP] #self.TVC, self.TIP
self.bull = 1
self.count = 0
self.outday = 0
self.wt = {}
self.real_wt = {}
self.mkt = []
self.SetWarmUp(timedelta(350))
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 100), #100), #1000), #1005 0), #100), #1000), #100100), #100), #1000), #1005 0), #100), #1000), #100
self.daily_check)
symbols = [self.MKT] + self.pairs
for symbol in symbols:
self.consolidator = TradeBarConsolidator(timedelta(days=1))
self.consolidator.DataConsolidated += self.consolidation_handler
self.SubscriptionManager.AddConsolidator(symbol, self.consolidator)
self.history = self.History(symbols, VOLA + 1, Resolution.Daily)
if self.history.empty or 'close' not in self.history.columns:
return
self.history = self.history['close'].unstack(level=0).dropna()
def consolidation_handler(self, sender, consolidated):
self.history.loc[consolidated.EndTime, consolidated.Symbol] = consolidated.Close
self.history = self.history.iloc[-(VOLA + 1):]
def daily_check(self):
vola = self.history[[self.MKT]].pct_change().std() * np.sqrt(252)
wait_days = int((moltvola*vola) * DAY)
self.Debug('{}'.format(wait_days))
period = int((1.0 - (moltvola*vola)) * BASE_RET)
r = self.history.pct_change(period).iloc[-1]
exit = (r[self.XLI] < r[self.XLU]) and (r[self.SLV] < r[self.GLD]) and (r[self.DBB] < r[self.UUP])
if exit:
self.bull = False
self.outday = self.count
if self.count >= self.outday + wait_days:
self.bull = True
self.count += 1
if not self.bull:
for sec in self.ASSETS:
self.wt[sec] = LEV if sec is self.BND else 0
self.trade()
elif self.bull:
for sec in self.ASSETS:
self.wt[sec] = LEV if sec is self.STK else 0
self.trade()
def trade(self):
for sec, weight in self.wt.items():
if weight == 0 and self.Portfolio[sec].IsLong:
self.Liquidate(sec)
cond1 = weight == 0 and self.Portfolio[sec].IsLong
cond2 = weight > 0 and not self.Portfolio[sec].Invested
if cond1 or cond2:
self.SetHoldings(sec, weight)
def OnEndOfDay(self):
vola = self.history[[self.MKT]].pct_change().std() * np.sqrt(252)
period = int((1.0 - (moltvola*vola)) * (BASE_RET))
r = self.history.pct_change(period).iloc[-1]
rGLD = round(((r[self.GLD] - r[self.SLV]) * 50), 100)
rXLU = round(((r[self.XLU] - r[self.XLI]) * 50), 100)
rUUP = round(((r[self.UUP] - r[self.DBB]) * 50), 100)
# rI = round(((r[self.RINF] - r[self.TLT]) * 50), 100)
self.Plot('ROC', 'GOLD/SLV', rGLD)
self.Plot('ROC', 'XLU/XLI', rXLU)
self.Plot('ROC', 'UUP/DBB', rUUP)
# self.Plot('ROC', 'RINF/TLT', rI)
vola = self.history[[self.MKT]].pct_change().std() * np.sqrt(252)
wait_days = int(vola * DAY)
self.Plot('Wait_days', 'Days', wait_days)
mkt_price = self.Securities[self.BNCH].Close
self.mkt.append(mkt_price)
mkt_perf = self.mkt[-1] / self.mkt[0] * self.cap
self.Plot('Strategy Equity', 'SPY', mkt_perf)
account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue
self.Plot('Holdings', 'leverage', round(account_leverage, 1))