Overall Statistics |
Total Trades 1 Average Win 0% Average Loss 0% Compounding Annual Return -6.313% Drawdown 13.100% Expectancy 0 Net Profit -5.823% Sharpe Ratio -0.631 Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha -0.135 Beta 5.334 Annual Standard Deviation 0.078 Annual Variance 0.006 Information Ratio -0.836 Tracking Error 0.078 Treynor Ratio -0.009 Total Fees $0.00 |
# https://quantpedia.com/Screener/Details/100 from QuantConnect.Data import SubscriptionDataSource from QuantConnect.Python import PythonData from datetime import date, timedelta, datetime from decimal import Decimal import numpy as np from sklearn import datasets, linear_model from QuantConnect.Python import PythonQuandl class TradeSpreadAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2018, 1, 1) self.SetEndDate(2018, 12, 1) self.SetCash(100000) # import the custom data self.Forex = self.AddForex("AUDUSD", Resolution.Daily, Market.Oanda) self.Forex = self.AddForex("USDSGD", Resolution.Daily, Market.Oanda) #self.Data = self.AddData(Quandl, "BCIW/_DXY", Resolution.Daily) #self.dxy_sma = SimpleMovingAverage(25) # initialize the indicator with the history request #dxy_smaHistory = self.History("BCIW/_DXY", 25*10, Resolution.Daily) #audsgdHistory = self.History(("AUDUSD", "USDSGD"), 25*10, Resolution.Daily) '''for tuple in dxy_smaHistory.loc["BCIW/_DXY"].itertuples(): self.dxy_sma.Update(tuple.Index, tuple.value)''' self.audsgd_sma = SimpleMovingAverage(25) prices = self.History(["AUDUSD", "USDSGD"], 200, Resolution.Daily) self.Debug(str(prices)) self.Debug(str(self.audsgd_sma.Current.Value)) self.Debug(str(self.History)) def OnData(self, data): if not self.Portfolio.Invested: self.SetHoldings("AUDUSD", 1) ''' prices = whathist.close.unstack(level=0).dropna() hist_20days = hist[-20:] price = (hist_20days["AUDUSD"] - hist_20days["USDSGD"]).dropna() for index, value in price.items(): self.audsgd_sma.Update(index, value) # create the SMA of 2 correlated pairs = aud price - sgd price self.SpreadSMA = SimpleMovingAverage(20) hist = self.History(["AUDUSD", "USDSGD"], 400, Resolution.Daily)["value"].unstack(level=0).dropna() hist_20days = hist[-20:] price = (hist_20days["AUDUSD"] - hist_20days["USDSGD"]).dropna() for index, value in price.items(): self.priceSMA.Update(index, value) # Add the spread plot and mark the long/short spread point spreadPlot = Chart("Spread Plot") spreadPlot.AddSeries(Series("Spread", SeriesType.Line, 0)) spreadPlot.AddSeries(Series("Long Spread Trade", SeriesType.Scatter, 0)) spreadPlot.AddSeries(Series("Short Spread Trade", SeriesType.Scatter, 0)) self.AddChart(spreadPlot)''' ''' def OnData(self, data): if not (data.ContainsKey("WTI") and data.ContainsKey("BRENT")): return self.Plot("Spread Plot", "Spread", data["WTI"].Price - data["BRENT"].Price) self.SpreadSMA.Update(self.Time, data["WTI"].Price - data["BRENT"].Price) if not self.SpreadSMA.IsReady: return spread = self.Securities["WTI"].Price - self.Securities["BRENT"].Price fair_value =self.Securities["WTI"].Price - Decimal(self.regr.predict(self.Securities["WTI"].Price)[0]) if spread > self.SpreadSMA.Current.Value and not (self.Portfolio["WTI"].IsShort and self.Portfolio["BRENT"].IsLong): self.SetHoldings("WTI", -0.5) self.SetHoldings("BRENT", 0.5) self.Plot("Spread Plot", "Long Spread Trade", data["WTI"].Price - data["BRENT"].Price) elif spread < self.SpreadSMA.Current.Value and not (self.Portfolio["WTI"].IsLong and self.Portfolio["BRENT"].IsShort): self.SetHoldings("WTI", 0.5) self.SetHoldings("BRENT", -0.5) self.Plot("Spread Plot", "Short Spread Trade", data["WTI"].Price - data["BRENT"].Price) if self.Portfolio["WTI"].IsShort and self.Portfolio["BRENT"].IsLong and spread < fair_value: self.Liquidate() if self.Portfolio["WTI"].IsLong and self.Portfolio["BRENT"].IsShort and spread > fair_value: self.Liquidate() ''' ''' class WTI(PythonData): "Class to import WTI Spot Price(Dollars per Barrel) data from Dropbox" def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource("https://www.dropbox.com/s/jpie3z6j0stp97d/wti-crude-oil-prices-10-year-daily.csv?dl=1", SubscriptionTransportMedium.RemoteFile) def Reader(self, config, line, date, isLiveMode): if not (line.strip() and line[1].isdigit()): return None index = WTI() index.Symbol = config.Symbol try: # Example File Format: (Data starts from 08/11/2008) # date value # 8/11/08 114.44 data = line.split(',') index.Time = datetime.strptime(data[0], "%Y-%m-%d") index.Value = Decimal(data[1]) except: return None return index'''