Overall Statistics
Total Trades
116
Average Win
47.10%
Average Loss
-1.58%
Compounding Annual Return
80.898%
Drawdown
49.500%
Expectancy
15.242
Net Profit
334179.115%
Sharpe Ratio
1.579
Probabilistic Sharpe Ratio
83.985%
Loss Rate
47%
Win Rate
53%
Profit-Loss Ratio
29.86
Alpha
0.566
Beta
0.698
Annual Standard Deviation
0.4
Annual Variance
0.16
Information Ratio
1.396
Tracking Error
0.385
Treynor Ratio
0.904
Total Fees
$315989.22
Estimated Strategy Capacity
$140000.00
Lowest Capacity Asset
TQQQ 31SR6ZQI0X9BA|TQQQ UK280CGTCB51
"""
Based on 'In & Out' strategy by Peter Guenther 4 Oct 2020
expanded/inspired by Tentor Testivis, Dan Whitnable (Quantopian), Vladimir, Thomas Chang, 
Derek Melchin (QuantConnect), Nathan Swenson, and Goldie Yalamanchi.

https://www.quantopian.com/posts/new-strategy-in-and-out
https://www.quantconnect.com/forum/discussion/9597/the-in-amp-out-strategy-continued-from-quantopian/p1
"""

# Import packages
import numpy as np
import pandas as pd
import scipy as sc
from scipy import stats
from collections import deque
import statsmodels.formula.api as sm


class InOut(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2008, 2, 10)  # Set Start Date
        #self.SetStartDate(2021, 6, 1)
        self.cap = 100000
        self.SetCash(self.cap)  # Set Strategy Cash
        res = Resolution.Minute
        
        # Options Parameters
        self.useOptions = True
        self.ExitBeforeExp = 45 # number of days before expiry to exit or roll out
        self.DTE = 60 # target days till expiration for Put Contract
        self.OTM = 0.2 # target percentage Out of the Money of put strike
        self.opWeight = .01 # percentage of portfolio to devote to options put hedge
        self.opEquity = self.AddEquity("TQQQ", Resolution.Minute) # Underlying Equity to purchase put options in
        self.opEquity.SetDataNormalizationMode(DataNormalizationMode.Raw)
        self.opSymbol = self.opEquity.Symbol
        self.contract = str()
        self.contractsAdded = set()
        
        # Holdings
        ### 'Out' holdings and weights
        self.HLD_OUT = {self.AddEquity('TMF', res).Symbol: 1 - self.opWeight if self.useOptions else 1} #TLT; TMF for 3xlev
        ### 'In' holdings and weights (static stock selection strategy)
        # self.HLD_IN = {self.AddEquity('QQQ', res).Symbol: 1}
        self.HLD_IN = {self.AddEquity('TQQQ', res).Symbol: 1, self.AddEquity('QLD', res).Symbol: 0} #SPY or QQQ; TQQQ for 3xlev

        # Market and list of signals based on ETFs
        self.MRKT = self.AddEquity('QQQ', res).Symbol  # market; QQQ
        self.PRDC = self.AddEquity('XLI', res).Symbol  # production (industrials)
        self.METL = self.AddEquity('DBB', res).Symbol  # input prices (metals)
        self.NRES = self.AddEquity('IGE', res).Symbol  # input prices (natural res)
        self.DEBT = self.AddEquity('SHY', res).Symbol  # cost of debt (bond yield)
        self.USDX = self.AddEquity('UUP', res).Symbol  # safe haven (USD)
        self.GOLD = self.AddEquity('GLD', res).Symbol  # gold
        self.SLVA = self.AddEquity('SLV', res).Symbol  # vs silver
        self.UTIL = self.AddEquity('XLU', res).Symbol  # utilities
        self.INDU = self.PRDC  # vs industrials

        self.SIGNALS = [self.PRDC, self.METL, self.NRES, self.USDX, self.DEBT, self.MRKT]
        self.FORPAIRS = [self.GOLD, self.SLVA, self.UTIL, self.INDU]
        self.pairlist = ['G_S', 'U_I']

        # Initialize parameters and tracking variables
        self.lookback, self.shift_vars, self.stat_alpha, self.ema_f = [252*5, [11, 60, 45], 5, 2/(1+50)]
        self.be_in, self.portf_val, self.signal_dens, self.reg_slope = [[1], [self.cap], deque([0, 0, 0, 0, 0], maxlen = 100), deque([0, 0, 0, 0, 0], maxlen = 100)]
        
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('QQQ', 120),
            self.inout_check)
        
        # Symbols for charts
        self.SPY = self.AddEquity('SPY', res).Symbol
        self.QQQ = self.MRKT
        
        # Setup daily consolidation
        symbols = list(set(self.SIGNALS + [self.MRKT] + self.FORPAIRS + list(self.HLD_OUT.keys()) + list(self.HLD_IN.keys()) + [self.SPY] + [self.QQQ]))
        for symbol in symbols:
            self.consolidator = TradeBarConsolidator(timedelta(days=1))
            self.consolidator.DataConsolidated += self.consolidation_handler
            self.SubscriptionManager.AddConsolidator(symbol, self.consolidator)
        
        # Warm up history
        self.history = self.History(symbols, self.lookback, Resolution.Daily)
        if self.history.empty or 'close' not in self.history.columns:
            return
        self.history = self.history['close'].unstack(level=0).dropna()
        self.update_history_shift()
        
        # Benchmarks for charts
        self.benchmarks = [self.history[self.SPY].iloc[-2], self.history[self.QQQ].iloc[-2]]    
        
    def consolidation_handler(self, sender, consolidated):
        self.history.loc[consolidated.EndTime, consolidated.Symbol] = consolidated.Close
        self.history = self.history.iloc[-self.lookback:]
        self.update_history_shift()
        
    def update_history_shift(self):
        self.history_shift = self.history.rolling(self.shift_vars[0], center=True).mean().shift(self.shift_vars[1])

    def replace_tqqq(self):
        if self.Time.date() <= datetime.strptime('2010-02-09', '%Y-%m-%d').date():
            self.HLD_IN[list(self.HLD_IN.keys())[0]] = 0; self.HLD_IN[list(self.HLD_IN.keys())[1]] = 1
        else: self.HLD_IN[list(self.HLD_IN.keys())[0]] = 1; self.HLD_IN[list(self.HLD_IN.keys())[1]] = 0

    def inout_check(self):
        if self.history.empty: return
    
        if Symbol.Create('TQQQ', SecurityType.Equity, Market.USA) in self.HLD_IN.keys(): self.replace_tqqq()
    
        # Load saved signal density (for live interruptions):
        if self.LiveMode and sum(list(self.signal_dens))==0 and self.ObjectStore.ContainsKey('OS_signal_dens'):
            OS = self.ObjectStore.ReadBytes('OS_signal_dens')
            OS = pickle.loads(bytearray(OS))
            self.signal_dens = deque(OS, maxlen = 100)
    
        # Returns sample to detect extreme observations
        returns_sample = (self.history / self.history_shift - 1)
        # Reverse code USDX: sort largest changes to bottom
        returns_sample[self.USDX] = returns_sample[self.USDX] * (-1)
        # For pairs, take returns differential, reverse coded
        returns_sample['G_S'] = -(returns_sample[self.GOLD] - returns_sample[self.SLVA])
        returns_sample['U_I'] = -(returns_sample[self.UTIL] - returns_sample[self.INDU])

        # Extreme observations; statistical significance = X% (stat_alpha)
        extreme_b = returns_sample.iloc[-1] < np.nanpercentile(returns_sample, self.stat_alpha, axis=0)
        
        # Re-assess/disambiguate double-edged signals
        abovemedian = returns_sample.iloc[-1] > np.nanmedian(returns_sample, axis=0)
        ### Interest rate expectations (cost of debt) may increase because the economic outlook improves (showing in rising input prices) = actually not a negative signal
        extreme_b.loc[self.DEBT] = np.where((extreme_b.loc[self.DEBT].any()) & (abovemedian[[self.METL, self.NRES]].any()), False, extreme_b.loc[self.DEBT])
        
        cur_signal_dens = extreme_b[self.SIGNALS + self.pairlist].sum() / len(self.SIGNALS + self.pairlist)
        add_dens = np.array((1-self.ema_f) * self.signal_dens[-1] + self.ema_f * cur_signal_dens)
        self.signal_dens.append(add_dens)
        
        # Check is option contract is near expiry
        if self.contract:
            self.Log("Option: " + self.contract.Value + " Bid: " + str(self.Securities[self.contract].BidPrice) + " Ask: " + str(self.Securities[self.contract].AskPrice))
            if (self.contract.ID.Date - self.Time) <= timedelta(self.ExitBeforeExp):
                self.Liquidate(self.contract)
                self.Log("Closed: too close to expiration")
                self.HLD_OUT.pop(self.contract)
                self.contract = str()
        
        # Determine whether 'in' or 'out' of the market
        if self.signal_dens[-1] > self.signal_dens[-2]:
            self.be_in.append(0)
        if self.signal_dens[-1] < min(list(self.signal_dens)[-(self.shift_vars[2]):-2]):
            self.be_in.append(1)

        # Swap to 'out' assets if applicable
        if not self.be_in[-1]:
            #get contract here
            if self.contract == str() and self.useOptions:
                self.contract = self.OptionsFilter()
                self.HLD_OUT[self.contract] = self.opWeight
            self.trade({**dict.fromkeys(self.HLD_IN, 0), **self.HLD_OUT})
        if self.be_in[-1]:
            self.trade({**self.HLD_IN, **dict.fromkeys(self.HLD_OUT, 0)})
            if self.contract: #remove contract from self.HLD_OUT
                self.HLD_OUT.pop(self.contract)
                self.contract = str()

        self.charts(extreme_b)
        
        # Save data: signal density from live trading for interruptions (note: backtest saves data at the end so that it's available for live trading).      
        if self.LiveMode: self.SaveData()
        
        
    def trade(self, weight_by_sec):
        # sort: execute largest sells first, largest buys last
        hold_wt = {k: (self.Portfolio[k].Quantity*self.Portfolio[k].Price)/self.Portfolio.TotalPortfolioValue for k in self.Portfolio.Keys}
        order_wt = {k: weight_by_sec[k] - hold_wt.get(k, 0) for k in weight_by_sec}
        weight_by_sec = {k: weight_by_sec[k] for k in dict(sorted(order_wt.items(), key=lambda item: item[1]))}
        for sec, weight in weight_by_sec.items(): 
            # Check that we have data in the algorithm to process a trade
            if not self.CurrentSlice.ContainsKey(sec) or self.CurrentSlice[sec] is None:
                continue
            # Only trade if holdings fundamentally change
            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 OptionsFilter(self):

        contracts = self.OptionChainProvider.GetOptionContractList(self.opSymbol, self.Time)
        self.underlyingPrice = self.Securities[self.opSymbol].Price
        # filter the out-of-money put options from the contract list which expire close to self.DTE num of days from now
        otm_puts = [i for i in contracts if i.ID.OptionRight == OptionRight.Put and
                                            self.underlyingPrice - i.ID.StrikePrice > self.OTM * self.underlyingPrice and
                                            self.DTE - 8 < (i.ID.Date - self.Time).days < self.DTE + 8]
        if len(otm_puts) > 0:
            # sort options by closest to self.DTE days from now and desired strike, and pick first
            contract = sorted(sorted(otm_puts, key = lambda x: abs((x.ID.Date - self.Time).days - self.DTE)),
                                                     key = lambda x: self.underlyingPrice - x.ID.StrikePrice)[0]
            if contract not in self.contractsAdded:
                self.contractsAdded.add(contract)
                # use AddOptionContract() to subscribe the data for specified contract
                self.AddOptionContract(contract, Resolution.Minute)
            return contract
        else:
            return str()            
                
    def charts(self, extreme_b):
        # Market comparisons
        spy_perf = self.history[self.SPY].iloc[-1] / self.benchmarks[0] * self.cap
        qqq_perf = self.history[self.QQQ].iloc[-1] / self.benchmarks[1] * self.cap
        self.Plot('Strategy Equity', 'SPY', spy_perf)
        self.Plot('Strategy Equity', 'QQQ', qqq_perf)
        
        # Signals
        self.Plot("In Out", "in_market", self.be_in[-1])
        self.Plot("In Out", "signal_dens", self.signal_dens[-1])
        self.Plot("In Out", "reg_slope", self.reg_slope[-1])
        
        # self.Plot("Signals", "PRDC", int(extreme_b[self.SIGNALS + self.pairlist][0]))
        # self.Plot("Signals", "METL", int(extreme_b[self.SIGNALS + self.pairlist][1]))
        # self.Plot("Signals", "NRES", int(extreme_b[self.SIGNALS + self.pairlist][2]))
        # self.Plot("Signals", "USDX", int(extreme_b[self.SIGNALS + self.pairlist][3]))
        # self.Plot("Signals", "DEBT", int(extreme_b[self.SIGNALS + self.pairlist][4]))
        # self.Plot("Signals", "MRKT", int(extreme_b[self.SIGNALS + self.pairlist][5]))
        # self.Plot("Signals", "G_S", int(extreme_b[self.SIGNALS + self.pairlist][6]))
        # self.Plot("Signals", "U_I", int(extreme_b[self.SIGNALS + self.pairlist][7]))
        
        # Comparison of out returns
        self.portf_val.append(self.Portfolio.TotalPortfolioValue)
        if not self.be_in[-1] and len(self.be_in)>=2:
            period = np.where(np.array(self.be_in)[:-1] != np.array(self.be_in)[1:])[0][-1] - len(self.be_in)
            mrkt_ret = self.history[self.MRKT].iloc[-1] / self.history[self.MRKT].iloc[period] - 1
            strat_ret = self.portf_val[-1] / self.portf_val[period] - 1
            strat_vs_mrkt = round(float(strat_ret - mrkt_ret), 4)
        else: strat_vs_mrkt = 0
        self.Plot('Out return', 'PF vs MRKT', strat_vs_mrkt)
        
        
    def SaveData(self):
        self.ObjectStore.SaveBytes('OS_signal_dens', pickle.dumps(self.signal_dens))