| Overall Statistics |
|
Total Trades 1708 Average Win 1.15% Average Loss -0.85% Compounding Annual Return 39.404% Drawdown 21.600% Expectancy 0.559 Net Profit 7489.215% Sharpe Ratio 1.686 Probabilistic Sharpe Ratio 92.438% Loss Rate 34% Win Rate 66% Profit-Loss Ratio 1.35 Alpha 0.405 Beta 0.2 Annual Standard Deviation 0.263 Annual Variance 0.069 Information Ratio 0.801 Tracking Error 0.315 Treynor Ratio 2.219 Total Fees $4916.79 |
import pandas as pd
import numpy as np
class LiquidUniverseSelection(QCAlgorithm):
def Initialize(self):
self.SetBenchmark("QQQ")
self.SetStartDate(2008, 1, 1)
self.SetEndDate(2021,1,10)
self.SetCash(10000)
self.max_loss_frac = 0.15
self.asset_best_price = {}
res = Resolution.Hour
self.MRKT = self.AddEquity('SPY', res).Symbol
self.TLT = self.AddEquity('TLT', res).Symbol
self.S0=self.AddEquity('MCF',res).Symbol
self.S1=self.AddEquity('CF',res).Symbol
self.S2=self.AddEquity('RRC',res).Symbol
self.S3=self.AddEquity('CALM',res).Symbol
self.S4=self.AddEquity('WTI',res).Symbol
self.S5=self.AddEquity('COG',res).Symbol
self.S6=self.AddEquity('HP',res).Symbol
self.S7=self.AddEquity('SWN',res).Symbol
self.S8=self.AddEquity('ISRG',res).Symbol
self.S9=self.AddEquity('CPRT',res).Symbol
self.S10=self.AddEquity('EOG',res).Symbol
self.S11=self.AddEquity('WLL',res).Symbol
self.S12=self.AddEquity('HOV',res).Symbol
self.S13=self.AddEquity('XEC',res).Symbol
self.S14=self.AddEquity('BKE',res).Symbol
self.S15=self.AddEquity('BZH',res).Symbol
self.S16=self.AddEquity('CMP',res).Symbol
self.S17=self.AddEquity('MOS',res).Symbol
self.S18=self.AddEquity('PTEN',res).Symbol
self.S19=self.AddEquity('AAL',res).Symbol
self.S20=self.AddEquity('USNA',res).Symbol
self.S21=self.AddEquity('CSGS',res).Symbol
self.S22=self.AddEquity('UAL',res).Symbol
self.S23=self.AddEquity('CNC',res).Symbol
self.S24=self.AddEquity('SANM',res).Symbol
self.S25=self.AddEquity('NXGN',res).Symbol
self.S26=self.AddEquity('GCO',res).Symbol
self.S27=self.AddEquity('AMGN',res).Symbol
self.S28=self.AddEquity('MYGN',res).Symbol
self.S29=self.AddEquity('BR',res).Symbol
self.S30=self.AddEquity('RGLD',res).Symbol
self.S31=self.AddEquity('AKAM',res).Symbol
self.S32=self.AddEquity('CPSI',res).Symbol
self.S33=self.AddEquity('ADM',res).Symbol
self.S34=self.AddEquity('CXO',res).Symbol
self.S35=self.AddEquity('WDC',res).Symbol
self.S36=self.AddEquity('SNX',res).Symbol
self.S37=self.AddEquity('PDLI',res).Symbol
self.S38=self.AddEquity('NAV',res).Symbol
self.S39=self.AddEquity('RS',res).Symbol
self.S40=self.AddEquity('GPI',res).Symbol
self.S41=self.AddEquity('F',res).Symbol
self.S42=self.AddEquity('PAG',res).Symbol
self.S43=self.AddEquity('YRCW',res).Symbol
self.S44=self.AddEquity('WEX',res).Symbol
self.S45=self.AddEquity('PENN',res).Symbol
self.S46=self.AddEquity('EGLE',res).Symbol
self.S47=self.AddEquity('RAD',res).Symbol
self.S48=self.AddEquity('WYND',res).Symbol
self.S49=self.AddEquity('ODP',res).Symbol
self.S50=self.AddEquity('ASH',res).Symbol
self.S51=self.AddEquity('THC',res).Symbol
self.S52=self.AddEquity('DDS',res).Symbol
self.S53=self.AddEquity('CAR',res).Symbol
self.S54=self.AddEquity('SAH',res).Symbol
self.S55=self.AddEquity('TEN',res).Symbol
self.S56=self.AddEquity('UIS',res).Symbol
self.S57=self.AddEquity('MTOR',res).Symbol
self.S58=self.AddEquity('XPER',res).Symbol
self.S59=self.AddEquity('DAN',res).Symbol
self.S60=self.AddEquity('UFS',res).Symbol
self.S61=self.AddEquity('ATNI',res).Symbol
self.S62=self.AddEquity('EBIX',res).Symbol
self.S63=self.AddEquity('RRD',res).Symbol
self.S64=self.AddEquity('MTW',res).Symbol
self.S65=self.AddEquity('MSTR',res).Symbol
self.S66=self.AddEquity('DECK',res).Symbol
self.S67=self.AddEquity('BKNG',res).Symbol
self.S68=self.AddEquity('AJRD',res).Symbol
self.S69=self.AddEquity('HUN',res).Symbol
self.S70=self.AddEquity('QMCO',res).Symbol
self.S71=self.AddEquity('ENLC',res).Symbol
self.S72=self.AddEquity('TGNA',res).Symbol
self.S73=self.AddEquity('AAWW',res).Symbol
self.S74=self.AddEquity('NOG',res).Symbol
self.S75=self.AddEquity('DPZ',res).Symbol
self.S76=self.AddEquity('GPRE',res).Symbol
self.S77=self.AddEquity('NFLX',res).Symbol
self.S78=self.AddEquity('CPE',res).Symbol
self.S79=self.AddEquity('LSCC',res).Symbol
self.S80=self.AddEquity('PEIX',res).Symbol
self.S81=self.AddEquity('SNBR',res).Symbol
self.S82=self.AddEquity('KIRK',res).Symbol
self.S83=self.AddEquity('URI',res).Symbol
self.S84=self.AddEquity('PXD',res).Symbol
self.S85=self.AddEquity('RGR',res).Symbol
self.S86=self.AddEquity('CRUS',res).Symbol
self.S87=self.AddEquity('FFIV',res).Symbol
self.S88=self.AddEquity('CLW',res).Symbol
self.S89=self.AddEquity('ADTN',res).Symbol
self.S90=self.AddEquity('HLF',res).Symbol
self.S91=self.AddEquity('VHC',res).Symbol
self.S92=self.AddEquity('ARLP',res).Symbol
self.S93=self.AddEquity('TZOO',res).Symbol
self.S94=self.AddEquity('ACTG',res).Symbol
self.S95=self.AddEquity('SCCO',res).Symbol
self.S96=self.AddEquity('FCX',res).Symbol
self.S97=self.AddEquity('HL',res).Symbol
self.S98=self.AddEquity('MSB',res).Symbol
self.S99=self.AddEquity('DRQ',res).Symbol
self.S100=self.AddEquity('CVI',res).Symbol
self.S101=self.AddEquity('CEVA',res).Symbol
self.S102=self.AddEquity('PDCE',res).Symbol
self.S103=self.AddEquity('GNTX',res).Symbol
self.S104=self.AddEquity('IDCC',res).Symbol
self.S105=self.AddEquity('SM',res).Symbol
self.S106=self.AddEquity('TA',res).Symbol
self.S107=self.AddEquity('IPGP',res).Symbol
self.S108=self.AddEquity('TER',res).Symbol
self.S109=self.AddEquity('WW',res).Symbol
self.S110=self.AddEquity('SBGI',res).Symbol
self.S111=self.AddEquity('MKSI',res).Symbol
self.S112=self.AddEquity('RES',res).Symbol
self.S113=self.AddEquity('DHX',res).Symbol
self.S114=self.AddEquity('GT',res).Symbol
self.S115=self.AddEquity('TPX',res).Symbol
self.S116=self.AddEquity('BIIB',res).Symbol
self.S117=self.AddEquity('SPPI',res).Symbol
self.S118=self.AddEquity('AXAS',res).Symbol
self.S119=self.AddEquity('LAD',res).Symbol
self.S120=self.AddEquity('CLR',res).Symbol
self.S121=self.AddEquity('HMSY',res).Symbol
self.S122=self.AddEquity('ITT',res).Symbol
self.S123=self.AddEquity('FAST',res).Symbol
self.S124=self.AddEquity('MIND',res).Symbol
self.S125=self.AddEquity('SWKS',res).Symbol
self.S126=self.AddEquity('BYD',res).Symbol
self.S127=self.AddEquity('EGY',res).Symbol
self.S128=self.AddEquity('AAPL',res).Symbol
self.S129=self.AddEquity('FICO',res).Symbol
self.S130=self.AddEquity('FUN',res).Symbol
self.S131=self.AddEquity('DK',res).Symbol
self.S132=self.AddEquity('CAL',res).Symbol
self.S133=self.AddEquity('BAH',res).Symbol
self.S134=self.AddEquity('NEU',res).Symbol
self.S135=self.AddEquity('EGHT',res).Symbol
self.S136=self.AddEquity('CDE',res).Symbol
self.S137=self.AddEquity('RMD',res).Symbol
self.S138=self.AddEquity('VLO',res).Symbol
self.S139=self.AddEquity('HFC',res).Symbol
self.S140=self.AddEquity('GNRC',res).Symbol
self.S141=self.AddEquity('TMUS',res).Symbol
self.S142=self.AddEquity('LOPE',res).Symbol
self.S143=self.AddEquity('GEOS',res).Symbol
self.S144=self.AddEquity('VRA',res).Symbol
self.S145=self.AddEquity('GILD',res).Symbol
self.S146=self.AddEquity('CTB',res).Symbol
self.S147=self.AddEquity('FLT',res).Symbol
self.S148=self.AddEquity('HCA',res).Symbol
self.S149=self.AddEquity('TKR',res).Symbol
self.S150=self.AddEquity('MPC',res).Symbol
self.S151=self.AddEquity('KRO',res).Symbol
self.S152=self.AddEquity('PPC',res).Symbol
self.S153=self.AddEquity('CYH',res).Symbol
self.S154=self.AddEquity('SAM',res).Symbol
self.S155=self.AddEquity('NXST',res).Symbol
self.S156=self.AddEquity('HPQ',res).Symbol
self.S157=self.AddEquity('BBY',res).Symbol
self.S158=self.AddEquity('STMP',res).Symbol
self.S159=self.AddEquity('FSLR',res).Symbol
self.S160=self.AddEquity('EVC',res).Symbol
self.S161=self.AddEquity('GTN',res).Symbol
self.S162=self.AddEquity('NUS',res).Symbol
self.S163=self.AddEquity('CAMP',res).Symbol
self.S164=self.AddEquity('UI',res).Symbol
self.S165=self.AddEquity('LGND',res).Symbol
self.S166=self.AddEquity('REGI',res).Symbol
self.S167=self.AddEquity('AAXN',res).Symbol
self.S168=self.AddEquity('MTDR',res).Symbol
self.S169=self.AddEquity('ANIK',res).Symbol
self.S170=self.AddEquity('LPI',res).Symbol
self.S171=self.AddEquity('SLCA',res).Symbol
self.S172=self.AddEquity('ALGN',res).Symbol
self.S173=self.AddEquity('FB',res).Symbol
self.S174=self.AddEquity('UTHR',res).Symbol
self.S175=self.AddEquity('FONR',res).Symbol
self.S176=self.AddEquity('MU',res).Symbol
self.S177=self.AddEquity('WYNN',res).Symbol
self.S178=self.AddEquity('RGEN',res).Symbol
self.S179=self.AddEquity('ALXN',res).Symbol
self.S180=self.AddEquity('AVGO',res).Symbol
self.S181=self.AddEquity('HA',res).Symbol
self.S182=self.AddEquity('SYNA',res).Symbol
self.S183=self.AddEquity('SWBI',res).Symbol
self.S184=self.AddEquity('TRN',res).Symbol
self.S185=self.AddEquity('ECOL',res).Symbol
self.S186=self.AddEquity('FANG',res).Symbol
self.S187=self.AddEquity('LCI',res).Symbol
self.S188=self.AddEquity('WLK',res).Symbol
self.S189=self.AddEquity('ZBRA',res).Symbol
self.S190=self.AddEquity('REX',res).Symbol
self.S191=self.AddEquity('INTC',res).Symbol
self.S192=self.AddEquity('EW',res).Symbol
self.S193=self.AddEquity('COO',res).Symbol
self.S194=self.AddEquity('IMKTA',res).Symbol
self.S195=self.AddEquity('ANIP',res).Symbol
self.S196=self.AddEquity('MANH',res).Symbol
self.S197=self.AddEquity('AMBA',res).Symbol
self.S198=self.AddEquity('LUMO',res).Symbol
self.S199=self.AddEquity('ASRT',res).Symbol
self.S200=self.AddEquity('EA',res).Symbol
self.S201=self.AddEquity('OLED',res).Symbol
self.S202=self.AddEquity('SUPN',res).Symbol
self.S203=self.AddEquity('MMI',res).Symbol
self.S204=self.AddEquity('CNCE',res).Symbol
self.S205=self.AddEquity('ABMD',res).Symbol
self.S206=self.AddEquity('ATVI',res).Symbol
self.S207=self.AddEquity('CORE',res).Symbol
self.S208=self.AddEquity('STRA',res).Symbol
self.S209=self.AddEquity('GPN',res).Symbol
self.S210=self.AddEquity('NKE',res).Symbol
self.S211=self.AddEquity('HRB',res).Symbol
self.S212=self.AddEquity('PBF',res).Symbol
self.S213=self.AddEquity('BBSI',res).Symbol
self.S214=self.AddEquity('VRSN',res).Symbol
self.S215=self.AddEquity('KLAC',res).Symbol
self.S216=self.AddEquity('BKH',res).Symbol
self.S217=self.AddEquity('X',res).Symbol
self.S218=self.AddEquity('ICON',res).Symbol
self.S219=self.AddEquity('MGEE',res).Symbol
self.S220=self.AddEquity('NI',res).Symbol
self.S221=self.AddEquity('AWK',res).Symbol
self.S222=self.AddEquity('EXC',res).Symbol
self.S223=self.AddEquity('FPRX',res).Symbol
self.S224=self.AddEquity('INVA',res).Symbol
self.S225=self.AddEquity('INT',res).Symbol
self.S226=self.AddEquity('TREX',res).Symbol
self.S227=self.AddEquity('LVS',res).Symbol
self.S228=self.AddEquity('ERII',res).Symbol
self.S229=self.AddEquity('LXRX',res).Symbol
self.S230=self.AddEquity('NGL',res).Symbol
self.S231=self.AddEquity('DCP',res).Symbol
self.S232=self.AddEquity('SMLP',res).Symbol
self.S233=self.AddEquity('AROC',res).Symbol
self.S234=self.AddEquity('ET',res).Symbol
self.S235=self.AddEquity('NS',res).Symbol
self.S236=self.AddEquity('RYAM',res).Symbol
self.S237=self.AddEquity('RYI',res).Symbol
self.S238=self.AddEquity('TPCO',res).Symbol
self.S239=self.AddEquity('TPC',res).Symbol
self.S240=self.AddEquity('XNCR',res).Symbol
self.S241=self.AddEquity('NVDA',res).Symbol
self.S242=self.AddEquity('BCC',res).Symbol
self.S243=self.AddEquity('TPL',res).Symbol
self.S244=self.AddEquity('AGX',res).Symbol
self.S245=self.AddEquity('QLYS',res).Symbol
self.S246=self.AddEquity('CONN',res).Symbol
self.S247=self.AddEquity('ARCB',res).Symbol
self.S248=self.AddEquity('ENTA',res).Symbol
self.S249=self.AddEquity('CSR',res).Symbol
self.S250=self.AddEquity('SAVE',res).Symbol
self.S251=self.AddEquity('HQY',res).Symbol
self.S252=self.AddEquity('PLAY',res).Symbol
self.S253=self.AddEquity('GATX',res).Symbol
self.S254=self.AddEquity('SPTN',res).Symbol
self.S255=self.AddEquity('GV',res).Symbol
self.S256=self.AddEquity('CSX',res).Symbol
self.S257=self.AddEquity('EXEL',res).Symbol
self.S258=self.AddEquity('WNC',res).Symbol
self.S259=self.AddEquity('MASI',res).Symbol
self.S260=self.AddEquity('LUV',res).Symbol
self.S261=self.AddEquity('FIZZ',res).Symbol
self.S262=self.AddEquity('CGNX',res).Symbol
self.S263=self.AddEquity('BEAT',res).Symbol
self.S264=self.AddEquity('BLDR',res).Symbol
self.S265=self.AddEquity('AAOI',res).Symbol
self.S266=self.AddEquity('OSUR',res).Symbol
self.S267=self.AddEquity('LMAT',res).Symbol
self.S268=self.AddEquity('PETS',res).Symbol
self.S269=self.AddEquity('MOH',res).Symbol
self.S270=self.AddEquity('CORT',res).Symbol
self.S271=self.AddEquity('VRTX',res).Symbol
self.S272=self.AddEquity('CAI',res).Symbol
self.S273=self.AddEquity('SAFM',res).Symbol
self.S274=self.AddEquity('MED',res).Symbol
self.S275=self.AddEquity('ANET',res).Symbol
self.S276=self.AddEquity('KODK',res).Symbol
self.S277=self.AddEquity('FL',res).Symbol
self.S278=self.AddEquity('GMED',res).Symbol
self.S279=self.AddEquity('WING',res).Symbol
self.S280=self.AddEquity('VRS',res).Symbol
self.S281=self.AddEquity('M',res).Symbol
self.S282=self.AddEquity('BXC',res).Symbol
self.S283=self.AddEquity('RGNX',res).Symbol
self.S284=self.AddEquity('CRK',res).Symbol
self.S285=self.AddEquity('TUSK',res).Symbol
self.S286=self.AddEquity('PVAC',res).Symbol
self.S287=self.AddEquity('IMMR',res).Symbol
self.S288=self.AddEquity('DBD',res).Symbol
self.S289=self.AddEquity('XLNX',res).Symbol
self.S290=self.AddEquity('VEEV',res).Symbol
self.S291=self.AddEquity('ATSG',res).Symbol
self.S292=self.AddEquity('VMW',res).Symbol
self.S293=self.AddEquity('PAYC',res).Symbol
self.S294=self.AddEquity('IONS',res).Symbol
self.S295=self.AddEquity('HCC',res).Symbol
self.S296=self.AddEquity('AMSC',res).Symbol
self.S297=self.AddEquity('PUMP',res).Symbol
self.S298=self.AddEquity('EVRI',res).Symbol
self.S299=self.AddEquity('GLDD',res).Symbol
self.S300=self.AddEquity('OMI',res).Symbol
self.S301=self.AddEquity('INS',res).Symbol
self.S302=self.AddEquity('SGH',res).Symbol
self.S303=self.AddEquity('SLP',res).Symbol
self.S304=self.AddEquity('GMS',res).Symbol
self.S305=self.AddEquity('ARWR',res).Symbol
self.S306=self.AddEquity('RLGY',res).Symbol
self.S307=self.AddEquity('LPG',res).Symbol
self.S308=self.AddEquity('NMRK',res).Symbol
self.S309=self.AddEquity('ISEE',res).Symbol
self.S310=self.AddEquity('SPWH',res).Symbol
self.S311=self.AddEquity('TUP',res).Symbol
self.S312=self.AddEquity('FTSI',res).Symbol
self.S313=self.AddEquity('UNFI',res).Symbol
self.S314=self.AddEquity('FET',res).Symbol
self.S315=self.AddEquity('ZYXI',res).Symbol
self.S316=self.AddEquity('MIK',res).Symbol
self.S317=self.AddEquity('QDEL',res).Symbol
self.S318=self.AddEquity('SQBG',res).Symbol
self.S319=self.AddEquity('RMBL',res).Symbol
self.S320=self.AddEquity('BGFV',res).Symbol
self.S321=self.AddEquity('REZI',res).Symbol
self.S322=self.AddEquity('UONE',res).Symbol
self.S323=self.AddEquity('GME',res).Symbol
self.S324=self.AddEquity('APPS',res).Symbol
self.S325=self.AddEquity('FOSL',res).Symbol
self.S326=self.AddEquity('IEA',res).Symbol
self.S327=self.AddEquity('ALTM',res).Symbol
self.S328=self.AddEquity('TCS',res).Symbol
self.S329=self.AddEquity('NLS',res).Symbol
self.signals = 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7:0.1,self.S106:0.1,self.S161:0.1,self.S168:0.1,self.S3:0.1},'2015-06-18':{self.TLT:1},'2015-07-01':{self.S197:0.1,self.S202:0.1,self.S62:0.1,self.S165:0.1,self.S183:0.1,self.S201:0.1,self.S3:0.1,self.S203:0.1,self.S167:0.1,self.S158:0.1},'2015-07-08':{self.TLT:1},'2015-10-23':{self.S204:0.1,self.S205:0.1,self.S206:0.1,self.S181:0.1,self.S207:0.1,self.S3:0.1,self.S208:0.1,self.S78:0.1,self.S209:0.1,self.S102:0.1},'2015-11-02':{self.S204:0.1,self.S206:0.1,self.S181:0.1,self.S78:0.1,self.S207:0.1,self.S209:0.1,self.S102:0.1,self.S210:0.1,self.S28:0.1,self.S211:0.1},'2015-12-01':{self.S181:0.1,self.S204:0.1,self.S207:0.1,self.S212:0.1,self.S213:0.1,self.S206:0.1,self.S196:0.1,self.S161:0.1,self.S214:0.1,self.S215:0.1},'2015-12-21':{self.TLT:1},'2016-03-09':{self.S216:0.1,self.S183:0.1,self.S217:0.1,self.S32:0.1,self.S218:0.1,self.S219:0.1,self.S220:0.1,self.S181:0.1,self.S221:0.1,self.S222:0.1},'2016-04-01':{self.S223:0.1,self.S181:0.1,self.S224:0.1,self.S62:0.1,self.S183:0.1,self.S216:0.1,self.S225:0.1,self.S226:0.1,self.S30:0.1,self.S227:0.1},'2016-05-02':{self.S228:0.1,self.S38:0.1,self.S30:0.1,self.S62:0.1,self.S64:0.1,self.S224:0.1,self.S120:0.1,self.S201:0.1,self.S229:0.1,self.S223:0.1},'2016-06-01':{self.S228:0.1,self.S230:0.1,self.S231:0.1,self.S30:0.1,self.S232:0.1,self.S120:0.1,self.S233:0.1,self.S234:0.1,self.S235:0.1,self.S236:0.1},'2016-07-01':{self.S237:0.1,self.S230:0.1,self.S234:0.1,self.S238:0.1,self.S120:0.1,self.S231:0.1,self.S233:0.1,self.S239:0.1,self.S30:0.1,self.S236:0.1},'2016-08-01':{self.S30:0.1,self.S120:0.1,self.S230:0.1,self.S233:0.1,self.S231:0.1,self.S236:0.1,self.S38:0.1,self.S238:0.1,self.S239:0.1,self.S195:0.1},'2016-09-01':{self.S240:0.1,self.S237:0.1,self.S230:0.1,self.S92:0.1,self.S241:0.1,self.S30:0.1,self.S197:0.1,self.S236:0.1,self.S195:0.1,self.S242:0.1},'2016-10-03':{self.S92:0.1,self.S38:0.1,self.S230:0.1,self.S241:0.1,self.S57:0.1,self.S197:0.1,self.S228:0.1,self.S164:0.1,self.S240:0.1,self.S187:0.1},'2016-11-01':{self.S38:0.1,self.S243:0.1,self.S241:0.1,self.S240:0.1,self.S244:0.1,self.S92:0.1,self.S197:0.1,self.S63:0.1,self.S245:0.1,self.S164:0.1},'2016-12-01':{self.S246:0.1,self.S243:0.1,self.S247:0.1,self.S241:0.1,self.S56:0.1,self.S248:0.1,self.S249:0.1,self.S250:0.1,self.S251:0.1,self.S49:0.1},'2017-01-03':{self.S249:0.1,self.S241:0.1,self.S56:0.1,self.S142:0.1,self.S247:0.1,self.S252:0.1,self.S253:0.1,self.S254:0.1,self.S22:0.1,self.S83:0.1},'2017-02-01':{self.S249:0.1,self.S38:0.1,self.S241:0.1,self.S12:0.1,self.S83:0.1,self.S43:0.1,self.S246:0.1,self.S57:0.1,self.S248:0.1,self.S49:0.1},'2017-03-01':{self.S255:0.1,self.S249:0.1,self.S256:0.1,self.S257:0.1,self.S83:0.1,self.S258:0.1,self.S241:0.1,self.S201:0.1,self.S259:0.1,self.S260:0.1},'2017-04-03':{self.S255:0.1,self.S257:0.1,self.S201:0.1,self.S261:0.1,self.S256:0.1,self.S259:0.1,self.S57:0.1,self.S153:0.1,self.S258:0.1,self.S262:0.1},'2017-05-01':{self.S261:0.1,self.S153:0.1,self.S201:0.1,self.S263:0.1,self.S257:0.1,self.S259:0.1,self.S264:0.1,self.S81:0.1,self.S45:0.1,self.S172:0.1},'2017-05-10':{self.TLT:1},'2017-05-26':{self.S265:0.1,self.S246:0.1,self.S261:0.1,self.S201:0.1,self.S45:0.1,self.S266:0.1,self.S202:0.1,self.S267:0.1,self.S268:0.1,self.S206:0.1},'2017-06-01':{self.S246:0.1,self.S265:0.1,self.S261:0.1,self.S201:0.1,self.S202:0.1,self.S267:0.1,self.S266:0.1,self.S45:0.1,self.S268:0.1,self.S172:0.1},'2017-06-05':{self.TLT:1},'2017-07-03':{self.S265:0.1,self.S268:0.1,self.S201:0.1,self.S266:0.1,self.S202:0.1,self.S172:0.1,self.S269:0.1,self.S261:0.1,self.S153:0.1,self.S241:0.1},'2017-08-01':{self.S265:0.1,self.S268:0.1,self.S266:0.1,self.S270:0.1,self.S201:0.1,self.S241:0.1,self.S261:0.1,self.S172:0.1,self.S271:0.1,self.S202:0.1},'2017-09-01':{self.S272:0.1,self.S158:0.1,self.S246:0.1,self.S268:0.1,self.S270:0.1,self.S261:0.1,self.S271:0.1,self.S241:0.1,self.S53:0.1,self.S172:0.1},'2017-10-02':{self.S249:0.1,self.S272:0.1,self.S158:0.1,self.S270:0.1,self.S266:0.1,self.S241:0.1,self.S267:0.1,self.S172:0.1,self.S273:0.1,self.S243:0.1},'2017-11-01':{self.S249:0.1,self.S270:0.1,self.S176:0.1,self.S158:0.1,self.S57:0.1,self.S241:0.1,self.S272:0.1,self.S274:0.1,self.S151:0.1,self.S275:0.1},'2017-12-01':{self.S249:0.1,self.S226:0.1,self.S172:0.1,self.S53:0.1,self.S272:0.1,self.S212:0.1,self.S248:0.1,self.S107:0.1,self.S176:0.1,self.S274:0.1},'2018-01-02':{self.S249:0.1,self.S204:0.1,self.S201:0.1,self.S226:0.1,self.S14:0.1,self.S120:0.1,self.S212:0.1,self.S172:0.1,self.S275:0.1,self.S45:0.1},'2018-02-01':{self.S249:0.1,self.S248:0.1,self.S276:0.1,self.S277:0.1,self.S275:0.1,self.S230:0.1,self.S120:0.1,self.S204:0.1,self.S278:0.1,self.S279:0.1},'2018-03-01':{self.S249:0.1,self.S276:0.1,self.S280:0.1,self.S248:0.1,self.S109:0.1,self.S51:0.1,self.S205:0.1,self.S278:0.1,self.S243:0.1,self.S281:0.1},'2018-04-02':{self.S282:0.1,self.S276:0.1,self.S280:0.1,self.S205:0.1,self.S248:0.1,self.S51:0.1,self.S109:0.1,self.S278:0.1,self.S279:0.1,self.S56:0.1},'2018-04-10':{self.TLT:1},'2018-06-05':{self.S282:0.1,self.S274:0.1,self.S51:0.1,self.S4:0.1,self.S283:0.1,self.S205:0.1,self.S248:0.1,self.S284:0.1,self.S109:0.1,self.S285:0.1},'2018-07-02':{self.S283:0.1,self.S286:0.1,self.S282:0.1,self.S274:0.1,self.S4:0.1,self.S51:0.1,self.S284:0.1,self.S109:0.1,self.S205:0.1,self.S287:0.1},'2018-08-01':{self.TLT:1},'2019-02-19':{self.S288:0.1,self.S289:0.1,self.S290:0.1,self.S257:0.1,self.S164:0.1,self.S291:0.1,self.S180:0.1,self.S292:0.1,self.S293:0.1,self.S230:0.1},'2019-03-01':{self.S288:0.1,self.S289:0.1,self.S164:0.1,self.S294:0.1,self.S292:0.1,self.S295:0.1,self.S257:0.1,self.S180:0.1,self.S201:0.1,self.S293:0.1},'2019-04-01':{self.S296:0.1,self.S201:0.1,self.S289:0.1,self.S297:0.1,self.S43:0.1,self.S164:0.1,self.S294:0.1,self.S230:0.1,self.S298:0.1,self.S161:0.1},'2019-05-01':{self.S164:0.1,self.S201:0.1,self.S299:0.1,self.S294:0.1,self.S110:0.1,self.S298:0.1,self.S275:0.1,self.S292:0.1,self.S293:0.1,self.S155:0.1},'2019-05-14':{self.TLT:1},'2019-09-11':{self.S300:0.1,self.S301:0.1,self.S109:0.1,self.S169:0.1,self.S54:0.1,self.S302:0.1,self.S303:0.1,self.S304:0.1,self.S158:0.1,self.S264:0.1},'2019-10-01':{self.S300:0.1,self.S301:0.1,self.S169:0.1,self.S54:0.1,self.S304:0.1,self.S303:0.1,self.S158:0.1,self.S305:0.1,self.S15:0.1,self.S226:0.1},'2019-11-01':{self.S12:0.1,self.S300:0.1,self.S109:0.1,self.S305:0.1,self.S158:0.1,self.S169:0.1,self.S15:0.1,self.S215:0.1,self.S54:0.1,self.S306:0.1},'2019-12-02':{self.S12:0.1,self.S305:0.1,self.S158:0.1,self.S300:0.1,self.S306:0.1,self.S307:0.1,self.S187:0.1,self.S268:0.1,self.S56:0.1,self.S308:0.1},'2020-01-02':{self.S309:0.1,self.S305:0.1,self.S12:0.1,self.S51:0.1,self.S47:0.1,self.S306:0.1,self.S164:0.1,self.S310:0.1,self.S307:0.1,self.S158:0.1},'2020-02-03':{self.TLT:1},'2020-07-09':{self.S286:0.1,self.S311:0.1,self.S312:0.1,self.S313:0.1,self.S314:0.1,self.S315:0.1,self.S78:0.1,self.S316:0.1,self.S317:0.1,self.S318:0.1},'2020-08-03':{self.S319:0.1,self.S313:0.1,self.S316:0.1,self.S317:0.1,self.S286:0.1,self.S320:0.1,self.S314:0.1,self.S239:0.1,self.S300:0.1,self.S321:0.1},'2020-09-01':{self.S319:0.1,self.S82:0.1,self.S300:0.1,self.S320:0.1,self.S314:0.1,self.S316:0.1,self.S286:0.1,self.S119:0.1,self.S317:0.1,self.S12:0.1},'2020-10-01':{self.S319:0.1,self.S82:0.1,self.S320:0.1,self.S322:0.1,self.S300:0.1,self.S316:0.1,self.S323:0.1,self.S286:0.1,self.S166:0.1,self.S306:0.1},'2020-11-02':{self.S82:0.1,self.S324:0.1,self.S320:0.1,self.S323:0.1,self.S300:0.1,self.S166:0.1,self.S325:0.1,self.S106:0.1,self.S12:0.1,self.S316:0.1},'2020-12-01':{self.S322:0.1,self.S80:0.1,self.S326:0.1,self.S327:0.1,self.S323:0.1,self.S328:0.1,self.S300:0.1,self.S320:0.1,self.S329:0.1,self.S318:0.1}}
self.year = 2008
self.Schedule.On(
self.DateRules.EveryDay(),
self.TimeRules.AfterMarketOpen('SPY', 45),
self.rebalance
)
def rebalance(self):
currentDate = self.UtcTime.date()
# if currentDate.year != self.year:
# self.Portfolio.SetCash(self.Portfolio.Cash + 5000);
# self.year = currentDate.year
try:
new_position = self.signals["{}".format(currentDate)]
except:
return
self.Transactions.CancelOpenOrders()
invested = dict.fromkeys([ x.Symbol for x in self.Portfolio.Values if x.Invested ],0)
invested.update(new_position)
for sec, weight in invested.items():
self.SetHoldings(sec, weight)
# def OnOrderEvent(self, orderEvent):
# order = self.Transactions.GetOrderById(orderEvent.OrderId)
# if order.Type == OrderType.Market and orderEvent.Status == OrderStatus.Filled and order.Direction == OrderDirection.Buy:
# price = order.Price
# quantity = order.Quantity
# self.StopMarketOrder(order.Symbol, quantity*-1, 0.90 * price)from pandas import np
from sklearn import preprocessing
def norm_data(df):
sectors = df.sector.unique()
ratios_to_normalize = ['roic_wacc',
'ebit_ev',
'cr',
'fcf',
'price_to_cf',
'roic',
'roa',
'roe',
'roe_3_steps',
'roe_5_steps',
'wc_to_sales',
'operating_income_to_sales',
'operating_cf_to_sales'
]
tech_to_normalize = [
'vol_momentum',
'momentum',
'trend_log',
'trend_pct',
'trend_pct_3',
'trend_slope',
'trend_slope_3'
]
# for sector in sectors:
# for ratio in ratios_to_normalize:
# df.loc[df['sector'] == sector, '{}_norm'.format(ratio)] = preprocessing.scale(df[df['sector'] == sector][ratio])
df[ratios_to_normalize + tech_to_normalize] = preprocessing.scale(df[ratios_to_normalize + tech_to_normalize])
df['std'] = df['std'] * -1
return df.copy()
def remove_extreme_values(df, ratios_to_remove):
df_copy = df.copy()
for ratio in ratios_to_remove:
Q1 = df[ratio].quantile(0.1)
Q3 = df[ratio].quantile(0.996)
IQR = Q3 - Q1
df_copy = df_copy.loc[(df_copy[ratio] > (Q1 - 1.5 * IQR)) & (df_copy[ratio] < (Q3 + 1.5 * IQR))].copy()
return df_copy
def calculate_rank_perm(df, ranks):
# ratios = ['price_to_cf','roic_wacc','ebit_ev','std', 'cr','vol_momentum','momentum']
df = df.replace([np.inf, -np.inf], np.nan)
df = df.dropna()
df = df[df['price_last'] > 5].copy()
df = df[df['avg_vol'] > 5000000].copy()
df = remove_extreme_values(df.copy(), ranks + ['momentum'])
df = norm_data(df.copy())
# overall rank
df['overall_rank'] = df[ranks].sum(axis=1)
df = df.sort_values(by=['overall_rank'], ascending=False).head(int(len(df) * 0.3))
df['overall_rank'] = df[['trend_pct', 'trend_pct_3']].sum(axis=1)
df = df.sort_values(by=['overall_rank'], ascending=False)
return df.head(10)
def calculate_rank(df):
temp = df.copy()
ratios = ['operating_cf_to_sales', 'operating_income_to_sales', 'price_sales', 'roa']
# ratios = ['cr', 'price_to_cf', 'roic_wacc']
df = df.replace([np.inf, -np.inf], np.nan)
df = df.dropna()
df = df[df['price_last'] > 5].copy()
df = df[df['avg_vol'] > 5000000].copy()
df = remove_extreme_values(df.copy(), ratios + ['momentum'])
df = norm_data(df.copy())
# overall rank
df['overall_rank'] = df[ratios].sum(axis=1)
df = df.sort_values(by=['overall_rank'], ascending=False).head(int(len(df) * 0.3))
df['overall_rank'] = df[['trend_pct', 'trend_pct_3']].sum(axis=1)
df = df.sort_values(by=['overall_rank'], ascending=False)
return df.head(10)