Overall Statistics |
Total Trades 47 Average Win 5.32% Average Loss -1.74% Compounding Annual Return 9.666% Drawdown 19.000% Expectancy 1.298 Net Profit 74.002% Sharpe Ratio 0.713 Probabilistic Sharpe Ratio 19.304% Loss Rate 43% Win Rate 57% Profit-Loss Ratio 3.07 Alpha 0.063 Beta 0.404 Annual Standard Deviation 0.122 Annual Variance 0.015 Information Ratio 0.195 Tracking Error 0.138 Treynor Ratio 0.215 Total Fees $497.34 |
""" Intersection of ROC comparison using OUT_DAY approach by Vladimir inspired by Peter Guenther, Tentor Testivis, Dan Whitnable, Thomas Chang. T Smith setup (Reduced signal to XLI-XLU) """ import numpy as np # ------------------------------------ LEV = 1.0 # ------------------------------------ class DualMomentumInOut(QCAlgorithm): def Initialize(self): self.SetStartDate(2002, 1, 1) self.SetEndDate(2008, 1, 1) self.cap = 100000 self.VOLA = 126 # int(self.GetParameter('VOLA')) self.BASE_RET = 85 # int(self.GetParameter('BASE_RET')) self.STK = self.AddEquity('SPY', Resolution.Hour).Symbol self.BND = self.AddEquity('TLT', Resolution.Hour).Symbol self.ASSETS = [self.STK, self.BND] self.XLI = self.AddEquity('XLI', Resolution.Daily).Symbol self.XLU = self.AddEquity('XLU', Resolution.Daily).Symbol self.MKT = self.AddEquity('SPY', Resolution.Daily).Symbol self.pairs = [self.XLI, self.XLU] self.bull = 1 self.count = 0 self.outday = 0 self.wt = {} self.real_wt = {} self.mkt = [] self.SetWarmUp(timedelta(350)) self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen('SPY', 65), self.daily_check) 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, self.VOLA + 1, 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[-(self.VOLA + 1):] def daily_check(self): vola = self.history[[self.MKT]].pct_change().std() * np.sqrt(252) wait_days = int(vola * self.BASE_RET) period = int((1.0 - vola) * self.BASE_RET) r = self.history.pct_change(period).iloc[-1] exit = (r[self.XLI] < r[self.XLU]) if exit: self.bull = False self.outday = self.count if self.count >= self.outday + wait_days: self.bull = True self.count += 1 if not self.bull: for sec in self.ASSETS: self.wt[sec] = LEV if sec is self.BND else 0 self.trade() elif self.bull: for sec in self.ASSETS: self.wt[sec] = LEV if sec is self.STK else 0 self.trade() def trade(self): for sec, weight in self.wt.items(): if weight == 0 and self.Portfolio[sec].IsLong: self.Liquidate(sec) cond1 = weight == 0 and self.Portfolio[sec].IsLong cond2 = weight > 0 and not self.Portfolio[sec].Invested if cond1 or cond2: self.SetHoldings(sec, weight) def OnEndOfDay(self): mkt_price = self.Securities[self.MKT].Close self.mkt.append(mkt_price) mkt_perf = self.mkt[-1] / self.mkt[0] * self.cap self.Plot('Strategy Equity', 'SPY', mkt_perf) account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue self.Plot('Holdings', 'leverage', round(account_leverage, 1)) for sec, weight in self.wt.items(): self.real_wt[sec] = round(self.ActiveSecurities[sec].Holdings.Quantity * self.Securities[sec].Price / self.Portfolio.TotalPortfolioValue,4) self.Plot('Holdings', self.Securities[sec].Symbol, round(self.real_wt[sec], 3))