Overall Statistics |
Total Trades 195 Average Win 1.69% Average Loss -2.28% Compounding Annual Return 29.751% Drawdown 21.900% Expectancy 0.296 Net Profit 118.439% Sharpe Ratio 1.184 Probabilistic Sharpe Ratio 63.721% Loss Rate 25% Win Rate 75% Profit-Loss Ratio 0.74 Alpha 0.238 Beta -0.033 Annual Standard Deviation 0.198 Annual Variance 0.039 Information Ratio 0.484 Tracking Error 0.231 Treynor Ratio -7.076 Total Fees $197.32 |
# Taken from https://www.quantconnect.com/forum/discussion/3377/momentum-strategy-with-market-cap-and-ev-ebitda # Created by Jing Wu # Edited by Nathan Wells trying to mirror Original by: Christopher Cain, CMT & Larry Connors #Posted here: https://www.quantopian.com/posts/new-strategy-presenting-the-quality-companies-in-an-uptrend-model-1 from clr import AddReference AddReference("System.Core") AddReference("System.Collections") AddReference("QuantConnect.Common") AddReference("QuantConnect.Algorithm") from System import * from System.Collections.Generic import List from QuantConnect import * from QuantConnect.Algorithm import QCAlgorithm from QuantConnect.Data.UniverseSelection import * from QuantConnect.Indicators import * import math import numpy as np import pandas as pd import scipy as sp # import statsmodels.api as sm class FundamentalFactorAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2017, 1, 1) #Set Start Date self.SetEndDate(2019, 12, 31) #Set End Date self.SetCash(10000) #Set Strategy Cash #changed from Daily to Monthly self.UniverseSettings.Resolution = Resolution.Daily #self.AddUniverse(self.Universe.Index.QC500) #self.AddUniverse(self.Universe.Index.QC500, self.FineSelectionFunction) self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction) #changed from Minuite to Daily self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol self.holding_months = 1 self.num_screener = 100 self.num_stocks = 5 self.formation_days = 126 self.lowmom = False self.month_count = self.holding_months self.Schedule.On(self.DateRules.MonthEnd("SPY"), self.TimeRules.AfterMarketOpen("SPY", 1), Action(self.monthly_rebalance)) self.Schedule.On(self.DateRules.MonthEnd("SPY"), self.TimeRules.AfterMarketOpen("SPY", 1), Action(self.rebalance)) # rebalance the universe selection once a month self.rebalence_flag = 0 # make sure to run the universe selection at the start of the algorithm even it's not the manth start self.first_month_trade_flag = 1 self.trade_flag = 0 self.symbols = None self.periodCheck = -1 self.symboldict = {} def CoarseSelectionFunction(self, coarse): if self.rebalence_flag or self.first_month_trade_flag: # drop stocks which have no fundamental data or have too low prices #selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 10)] selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 10)] topDollarVolume = sorted(selected, key=lambda k : k.DollarVolume, reverse=True)[:1500] return [ x.Symbol for x in topDollarVolume] else: return self.symbols def FineSelectionFunction(self, fine): if self.rebalence_flag or self.first_month_trade_flag: #self.periodCheck = algorithm.Time.year # Filter by Market Capitalization and USA filtered = [f for f in fine if f.CompanyReference.CountryId == "USA" and f.CompanyReference.PrimaryExchangeID in ["NYS","NAS"] and f.MarketCap > 5e8] #filter_market_cap = [f for f in fine if f.MarketCap > 500000000] # Filter for top quality top_quality = sorted(filtered, key=lambda x: x.OperationRatios.ROIC.ThreeMonths + x.OperationRatios.LongTermDebtEquityRatio.ThreeMonths + (x.ValuationRatios.CashReturn + x.ValuationRatios.FCFYield), reverse=True)[:60] # When we get new symbols, we add them to the dict and warm up the indicator symbols = [x.Symbol for x in top_quality if x.Symbol not in self.symboldict] history = self.History(symbols, 146, Resolution.Daily) if not history.empty: history = history.close.unstack(0) for symbol in symbols: if str(symbol) not in history: continue df = history[symbol].dropna() if not df.empty: self.symboldict[symbol] = SymbolData(self, df) # Now, we update the dictionary with the latest data for x in fine: symbol = x.Symbol if symbol in self.symboldict: self.symboldict[symbol].Update(x.EndTime, x.Price) topMOM = sorted(self.symboldict.items(), key=lambda x: x[1].DeltaMOM, reverse=True)[:10] #return [x[0] for x in topMOM] #self.symbols = [x.Symbol for x in topMOM] self.symbols = [x[0] for x in topMOM] self.rebalence_flag = 0 self.first_month_trade_flag = 0 self.trade_flag = 1 return self.symbols else: return self.symbols def OnData(self, data): pass def monthly_rebalance(self): self.rebalence_flag = 1 def rebalance(self): #Looks like this sells if they drop below the mean of SPY, so I disabled it #spy_hist = self.History([self.spy], self.formation_days, Resolution.Daily).loc[str(self.spy)]['close'] #if self.Securities[self.spy].Price < spy_hist.mean(): # for symbol in self.Portfolio.Keys: # if symbol.Value != "TLT": # self.Liquidate() # self.AddEquity("TLT") # self.SetHoldings("TLT", 1) # return if self.symbols is None: return chosen_df = self.calc_return(self.symbols) chosen_df = chosen_df.iloc[:self.num_stocks] self.existing_pos = 0 add_symbols = [] for symbol in self.Portfolio.Keys: #if symbol.Value == 'SPY': continue if (symbol.Value not in chosen_df.index): #self.SetHoldings(symbol, 0) self.Liquidate(symbol) elif (symbol.Value in chosen_df.index): self.existing_pos += 1 weight = 0.99/len(chosen_df) for symbol in chosen_df.index: self.AddEquity(symbol) self.SetHoldings(symbol, weight) def calc_return(self, stocks): #Need to change this to just be an uptrend or downtrend...and buy bonds in downtrend. hist = self.History(stocks, self.formation_days, Resolution.Daily) current = self.History(stocks, 10, Resolution.Daily) self.price = {} ret = {} for symbol in stocks: if str(symbol) in hist.index.levels[0] and str(symbol) in current.index.levels[0]: self.price[symbol.Value] = list(hist.loc[str(symbol)]['close']) self.price[symbol.Value].append(current.loc[str(symbol)]['close'][0]) for symbol in self.price.keys(): ret[symbol] = (self.price[symbol][-1] - self.price[symbol][0]) / self.price[symbol][0] df_ret = pd.DataFrame.from_dict(ret, orient='index') df_ret.columns = ['return'] sort_return = df_ret.sort_values(by = ['return'], ascending = self.lowmom) return sort_return class SymbolData: def __init__(self, symbol, history): self.mom10 = Momentum(10) self.mom146 = Momentum(146) for time, close in history.iteritems(): self.Update(time, close) def Update(self, time, close): self.mom10.Update(time, close) self.mom146.Update(time, close) @property def DeltaMOM(self): return self.mom10.Current.Value - self.mom146.Current.Value def __repr__(self): return f'{self.DeltaMOM}'