Overall Statistics |
Total Trades 11932 Average Win 0.24% Average Loss -0.21% Compounding Annual Return 60.067% Drawdown 37.700% Expectancy 0.520 Net Profit 46202.947% Sharpe Ratio 1.674 Probabilistic Sharpe Ratio 90.635% Loss Rate 29% Win Rate 71% Profit-Loss Ratio 1.15 Alpha 0.536 Beta 0.205 Annual Standard Deviation 0.332 Annual Variance 0.11 Information Ratio 1.264 Tracking Error 0.362 Treynor Ratio 2.719 Total Fees $77826.11 |
''' v1.5. Intersection of ROC comparison using OUT_DAY approach by Vladimir (with dynamic stocks selector by fundamental factors and momentum) eliminated fee saving part of the code plus daily rebalence inspired by Peter Guenther, Tentor Testivis, Dan Whitnable, Thomas Chang, Miko M, Leandro Maia ''' from QuantConnect.Data.UniverseSelection import * import numpy as np import pandas as pd # --------------------------------------------------------------------------------------------------------------------------- BONDS = ['TLT']; VOLA = 126; BASE_RET = 85; STK_MOM = 126; N_COARSE = 100; N_FACTOR = 20; N_MOM = 5; LEV = 1.50; HEDGE = 0.00; # --------------------------------------------------------------------------------------------------------------------------- class Fundamental_Factors_Momentum_ROC_Comparison_OUT_DAY(QCAlgorithm): def Initialize(self): self.SetStartDate(2008, 1, 1) self.SetEndDate(2021, 1, 13) self.InitCash = 100000 self.SetCash(self.InitCash) self.MKT = self.AddEquity("SPY", Resolution.Hour).Symbol self.mkt = [] self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin) res = Resolution.Hour self.BONDS = [self.AddEquity(ticker, res).Symbol for ticker in BONDS] self.INI_WAIT_DAYS = 15 self.wait_days = self.INI_WAIT_DAYS self.GLD = self.AddEquity('GLD', res).Symbol self.SLV = self.AddEquity('SLV', res).Symbol self.XLU = self.AddEquity('XLU', res).Symbol self.XLI = self.AddEquity('XLI', res).Symbol self.UUP = self.AddEquity('UUP', res).Symbol self.DBB = self.AddEquity('DBB', res).Symbol self.pairs = [self.GLD, self.SLV, self.XLU, self.XLI, self.UUP, self.DBB] self.bull = 1 self.bull_prior = 0 self.count = 0 self.outday = (-self.INI_WAIT_DAYS+1) self.SetWarmUp(timedelta(350)) self.UniverseSettings.Resolution = res self.AddUniverse(self.CoarseFilter, self.FineFilter) self.data = {} self.RebalanceFreq = 60 self.UpdateFineFilter = 0 self.symbols = None self.RebalanceCount = 0 self.wt = {} self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 30), self.daily_check) self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 60), self.trade) 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, 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:] def derive_vola_waitdays(self): sigma = 0.6 * np.log1p(self.history[[self.MKT]].pct_change()).std() * np.sqrt(252) wait_days = int(sigma * BASE_RET) period = int((1.0 - sigma) * BASE_RET) return wait_days, period def CoarseFilter(self, coarse): if not (((self.count-self.RebalanceCount) == self.RebalanceFreq) or (self.count == self.outday + self.wait_days - 1)): self.UpdateFineFilter = 0 return Universe.Unchanged self.UpdateFineFilter = 1 selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 5)] filtered = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) return [x.Symbol for x in filtered[:N_COARSE]] def FineFilter(self, fundamental): if self.UpdateFineFilter == 0: return Universe.Unchanged filtered_fundamental = [x for x in fundamental if (x.ValuationRatios.EVToEBITDA > 0) and (x.EarningReports.BasicAverageShares.ThreeMonths > 0) and float(x.EarningReports.BasicAverageShares.ThreeMonths) * x.Price > 2e9 and x.SecurityReference.IsPrimaryShare and x.SecurityReference.SecurityType == "ST00000001" and x.SecurityReference.IsDepositaryReceipt == 0 and x.CompanyReference.IsLimitedPartnership == 0] top = sorted(filtered_fundamental, key = lambda x: x.ValuationRatios.EVToEBITDA, reverse=True)[:N_FACTOR] self.symbols = [x.Symbol for x in top] self.UpdateFineFilter = 0 self.RebalanceCount = self.count return self.symbols def OnSecuritiesChanged(self, changes): addedSymbols = [] for security in changes.AddedSecurities: addedSymbols.append(security.Symbol) if security.Symbol not in self.data: self.data[security.Symbol] = SymbolData(security.Symbol, STK_MOM, self) if len(addedSymbols) > 0: history = self.History(addedSymbols, 1 + STK_MOM, Resolution.Daily).loc[addedSymbols] for symbol in addedSymbols: try: self.data[symbol].Warmup(history.loc[symbol]) except: self.Debug(str(symbol)) continue def calc_return(self, stocks): ret = {} for symbol in stocks: try: ret[symbol] = self.data[symbol].Roc.Current.Value except: self.Debug(str(symbol)) continue df_ret = pd.DataFrame.from_dict(ret, orient='index') df_ret.columns = ['return'] sort_return = df_ret.sort_values(by = ['return'], ascending = False) return sort_return def daily_check(self): self.wait_days, period = self.derive_vola_waitdays() r = self.history.pct_change(period).iloc[-1] self.bear = ((r[self.SLV] < r[self.GLD]) and (r[self.XLI] < r[self.XLU]) and (r[self.DBB] < r[self.UUP])) if self.bear: self.bull = False self.outday = self.count if (self.count >= self.outday + self.wait_days): self.bull = True self.bull_prior = self.bull self.count += 1 def trade(self): if self.symbols is None: return output = self.calc_return(self.symbols) stocks = output.iloc[:N_MOM].index for sec in self.Portfolio.Keys: if sec not in stocks and sec not in self.BONDS: self.wt[sec] = 0. for sec in stocks: self.wt[sec] = LEV*(1.0 - HEDGE)/len(stocks) if self.bull else LEV*HEDGE/len(stocks); for sec in self.BONDS: self.wt[sec] = LEV*HEDGE/len(self.BONDS) if self.bull else LEV*(1.0 - HEDGE)/len(self.BONDS); for sec, weight in self.wt.items(): if weight == 0. and self.Portfolio[sec].IsLong: self.Liquidate(sec) for sec, weight in self.wt.items(): if weight != 0.: self.SetHoldings(sec, weight) def OnEndOfDay(self): mkt_price = self.Securities[self.MKT].Close self.mkt.append(mkt_price) mkt_perf = self.InitCash * self.mkt[-1] / self.mkt[0] self.Plot('Strategy Equity', self.MKT, mkt_perf) account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue self.Plot('Holdings', 'leverage', round(account_leverage, 2)) self.Plot('Holdings', 'Target Leverage', LEV) class SymbolData(object): def __init__(self, symbol, roc, algorithm): self.Symbol = symbol self.Roc = RateOfChange(roc) self.algorithm = algorithm self.consolidator = algorithm.ResolveConsolidator(symbol, Resolution.Daily) algorithm.RegisterIndicator(symbol, self.Roc, self.consolidator) def Warmup(self, history): for index, row in history.iterrows(): self.Roc.Update(index, row['close'])