Overall Statistics |
Total Trades 131 Average Win 8.39% Average Loss -4.37% Compounding Annual Return 19.231% Drawdown 39.100% Expectancy 1.058 Net Profit 387.428% Sharpe Ratio 0.761 Probabilistic Sharpe Ratio 16.194% Loss Rate 30% Win Rate 70% Profit-Loss Ratio 1.92 Alpha 0.205 Beta -0.1 Annual Standard Deviation 0.256 Annual Variance 0.065 Information Ratio 0.304 Tracking Error 0.296 Treynor Ratio -1.94 Total Fees $1634.55 |
from datetime import datetime from collections import * class DualMomentumGem(QCAlgorithm): def Initialize(self): self.SetBenchmark("SPY") self.SetStartDate(2010, 1, 1) # Set Start Date self.SetEndDate(2019, 1, 1) # Set Start Date self.SetCash(100000) # Set Strategy Cash self.bonds = self.AddEquity("AGG", Resolution.Daily).Symbol self.lookBackPeriod = 100 #create symbol data for US (SPY), EU (EFA) and emerging market (EEM) ETFs self.symbolObjects = [SymbolData(self,symbolString, self.lookBackPeriod) for symbolString in ["SPY","EFA","EEM"]] self.tBill = SymbolData(self,"SHV", self.lookBackPeriod) self.Schedule.On(self.DateRules.MonthStart(self.symbolObjects[0].Symbol),self.TimeRules.AfterMarketOpen(self.symbolObjects[0].Symbol), self.Rebalance) self.Portfolio.MarginCallModel = MarginCallModel.Null self.leverage = 2 self.SetWarmUp(self.lookBackPeriod) def Rebalance(self): self.symbolObjects.sort(key=lambda symbolObject: symbolObject.Momentum.Current.Value, reverse=True) currentLong = self.symbolObjects[0].Symbol if self.symbolObjects[0].Momentum.Current.Value < self.tBill.Momentum.Current.Value: currentLong = self.bonds self.SetHoldings(currentLong, self.leverage, True) class SymbolData: '''Contains data specific to a symbol required by this model''' def __init__(self,algorithm, symbolString,lookBackPeriod): self.Symbol = algorithm.AddEquity(symbolString, Resolution.Daily).Symbol self.Momentum = algorithm.MOM(self.Symbol, lookBackPeriod, Resolution.Daily)