Overall Statistics
Total Trades
62
Average Win
0.47%
Average Loss
-0.54%
Compounding Annual Return
-35.142%
Drawdown
7.600%
Expectancy
-0.138
Net Profit
-2.460%
Sharpe Ratio
-2.464
Probabilistic Sharpe Ratio
18.456%
Loss Rate
54%
Win Rate
46%
Profit-Loss Ratio
0.88
Alpha
-0.261
Beta
-0.334
Annual Standard Deviation
0.131
Annual Variance
0.017
Information Ratio
-3.242
Tracking Error
0.156
Treynor Ratio
0.964
Total Fees
$684.05
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Risk.MaximumDrawdownPercentPerSecurity import MaximumDrawdownPercentPerSecurity
from SmallCapGrowthStocks import SmallCapGrowthStocks
from PairsTradingAlpha import PairsTradingAlpha

class QuantumTransdimensionalProcessor(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 6, 29)  # Set Start Date
        self.SetEndDate(2019,7,20)
        self.SetCash(100000)  # Set Strategy Cash
        # self.AddEquity("SPY", Resolution.Minute)
        self.AddAlpha(PairsTradingAlpha(3, Resolution.Daily))

        self.SetExecution(ImmediateExecutionModel())

        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

        self.SetRiskManagement(MaximumDrawdownPercentPerSecurity(0.01))

        self.SetUniverseSelection(SmallCapGrowthStocks())


    def OnData(self, data):
        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
            Arguments:
                data: Slice object keyed by symbol containing the stock data
        '''

        # if not self.Portfolio.Invested:
        #    self.SetHoldings("SPY", 1)
from Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel

class SmallCapGrowthStocks(FundamentalUniverseSelectionModel):
    '''
    This module selects the most liquid stocks listed on the Nasdaq Stock Exchange.
    '''

    def __init__(self, filterFineData = True, universeSettings = None, securityInitializer = None):
        '''Initializes a new default instance of the TechnologyUniverseModule'''
        super().__init__(filterFineData, universeSettings, securityInitializer)
        self.numberOfSymbolsCoarse = 1000
        self.numberOfSymbolsFine = 100
        self.dollarVolumeBySymbol = {}
        self.symbols = []
        self.lastMonth = -1

    def SelectCoarse(self, algorithm, coarse):
        '''
        Performs a coarse selection:
        
        -The stock must have fundamental data
        -The stock must have positive previous-day close price
        -The stock must have positive volume on the previous trading day
        '''
        if algorithm.Time.month == self.lastMonth: 
            return self.symbols

        filtered = [x for x in coarse if x.HasFundamentalData and x.Volume > 0 and x.Price > 0]
        sortedByDollarVolume = sorted(filtered, key = lambda x: x.DollarVolume, reverse=True)[:self.numberOfSymbolsCoarse]

        self.symbols.clear()
        self.dollarVolumeBySymbol.clear()
        for x in sortedByDollarVolume:
            self.symbols.append(x.Symbol)
            self.dollarVolumeBySymbol[x.Symbol] = x.DollarVolume

        return self.symbols

    def SelectFine(self, algorithm, fine):
        '''
        Performs a fine selection for companies in the Morningstar Banking Sector
        '''
        if algorithm.Time.month == self.lastMonth: 
            return self.symbols
        self.lastMonth = algorithm.Time.month

        # Filter stocks
        filteredFine = [x for x in fine if x.AssetClassification.StyleBox == StyleBox.SmallGrowth]

        sortedByDollarVolume = []

        # Sort stocks on dollar volume
        sortedByDollarVolume = sorted(filteredFine, key = lambda x: self.dollarVolumeBySymbol[x.Symbol], reverse=True)
        
        self.symbols = [x.Symbol for x in sortedByDollarVolume[:self.numberOfSymbolsFine]]
        
        return self.symbols
from Alphas.BasePairsTradingAlphaModel import BasePairsTradingAlphaModel
from datetime import timedelta
from scipy.stats import pearsonr
import numpy as np
import pandas as pd

class PairsTradingAlpha(BasePairsTradingAlphaModel):
    ''' This alpha model is designed to rank every pair combination by its pearson correlation 
    and trade the pair with the hightest correlation
    This model generates alternating long ratio/short ratio insights emitted as a group'''

    def __init__(self, lookback = 15,
            resolution = Resolution.Minute,
            threshold = 1,
            minimumCorrelation = .5):
        '''Initializes a new instance of the PearsonCorrelationPairsTradingAlphaModel class
        Args:
            lookback: lookback period of the analysis
            resolution: analysis resolution
            threshold: The percent [0, 100] deviation of the ratio from the mean before emitting an insight
            minimumCorrelation: The minimum correlation to consider a tradable pair'''
        super().__init__(lookback, resolution, threshold)
        self.lookback = lookback
        self.resolution = resolution
        self.minimumCorrelation = minimumCorrelation
        self.best_pair = ()
        
    def Update(self, algorithm, data):
        print("update!")
        return super().Update(algorithm, data)

    def OnSecuritiesChanged(self, algorithm, changes):
        '''Event fired each time the we add/remove securities from the data feed.
        Args:
            algorithm: The algorithm instance that experienced the change in securities
            changes: The security additions and removals from the algorithm'''

        print("OnSecuritiesChanged")
        for security in changes.AddedSecurities:
            self.Securities.append(security)

        for security in changes.RemovedSecurities:
            if security in self.Securities:
                self.Securities.remove(security)
        print("*** testing !!! ****")
        symbols = [ x.Symbol for x in self.Securities ]
        
        history = algorithm.History(symbols, self.lookback, self.resolution).close.unstack(level=0)

        if not history.empty:

            df = self.get_price_dataframe(history)
            stop = len(df.columns)

            corr = dict()

            for i in range(0, stop):
                for j in range(i+1, stop):
                    if (j, i) not in corr:
                        corr[(i, j)] = pearsonr(df.iloc[:,i], df.iloc[:,j])[0]

            corr = sorted(corr.items(), key = lambda kv: kv[1])
            if corr[-1][1] >= self.minimumCorrelation: 
                self.best_pair = (symbols[corr[-1][0][0]], symbols[corr[-1][0][1]])

        super().OnSecuritiesChanged(algorithm, changes)
        
    

    def HasPassedTest(self, algorithm, asset1, asset2):
        '''Check whether the assets pass a pairs trading test
        Args:
            algorithm: The algorithm instance that experienced the change in securities
            asset1: The first asset's symbol in the pair
            asset2: The second asset's symbol in the pair
        Returns:
            True if the statistical test for the pair is successful'''
        return self.best_pair is not None and self.best_pair == (asset1, asset2)

    def get_price_dataframe(self, df):
        timezones = { x.Symbol.Value: x.Exchange.TimeZone for x in self.Securities }

        # Use log prices
        df = np.log(df)

        is_single_timeZone = len(set(timezones.values())) == 1

        if not is_single_timeZone:
            series_dict = dict()

            for column in df:
                # Change the dataframe index from data time to UTC time
                to_utc = lambda x: Extensions.ConvertToUtc(x, timezones[column])
                if self.resolution == Resolution.Daily:
                    to_utc = lambda x: Extensions.ConvertToUtc(x, timezones[column]).date()

                data = df[[column]]
                data.index = data.index.map(to_utc)
                series_dict[column] = data[column]

            df = pd.DataFrame(series_dict).dropna()

        return (df - df.shift(1)).dropna()