Overall Statistics |
Total Trades
386
Average Win
0.01%
Average Loss
0%
Compounding Annual Return
-70.133%
Drawdown
24.100%
Expectancy
0
Net Profit
-23.511%
Sharpe Ratio
-6.468
Probabilistic Sharpe Ratio
0.004%
Loss Rate
0%
Win Rate
100%
Profit-Loss Ratio
0
Alpha
-0.993
Beta
-0.012
Annual Standard Deviation
0.151
Annual Variance
0.023
Information Ratio
0.319
Tracking Error
0.51
Treynor Ratio
84.309
Total Fees
$8.92
|
import numpy as np from scipy.optimize import minimize sp100_stocks = ['AAPL','MSFT','AMZN','FB','BRKB','GOOGL','GOOG','JPM','JNJ','V','PG','XOM','UNH','BAC','MA','T','DIS','INTC','HD','VZ','MRK','PFE','CVX','KO','CMCSA','CSCO','PEP','WFC','C','BA','ADBE','WMT','CRM','MCD','MDT','BMY','ABT','NVDA','NFLX','AMGN','PM','PYPL','TMO','COST','ABBV','ACN','HON','NKE','UNP','UTX','NEE','IBM','TXN','AVGO','LLY','ORCL','LIN','SBUX','AMT','LMT','GE','MMM','DHR','QCOM','CVS','MO','LOW','FIS','AXP','BKNG','UPS','GILD','CHTR','CAT','MDLZ','GS','USB','CI','ANTM','BDX','TJX','ADP','TFC','CME','SPGI','COP','INTU','ISRG','CB','SO','D','FISV','PNC','DUK','SYK','ZTS','MS','RTN','AGN','BLK'] def Return(values): return (values[-1] - values[0]) / values[0] def Volatility(values): values = np.array(values) returns = (values[1:] - values[:-1]) / values[:-1] return np.std(returns) # Custom fee model class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005 return OrderFee(CashAmount(fee, "USD")) # Quandl free data class QuandlFutures(PythonQuandl): def __init__(self): self.ValueColumnName = "settle" # Quandl short interest data. class QuandlFINRA_ShortVolume(PythonQuandl): def __init__(self): self.ValueColumnName = 'SHORTVOLUME' # also 'TOTALVOLUME' is accesible # Quantpedia data # NOTE: IMPORTANT: Data order must be ascending (datewise) class QuantpediaFutures(PythonData): def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv) def Reader(self, config, line, date, isLiveMode): data = QuantpediaFutures() data.Symbol = config.Symbol if not line[0].isdigit(): return None split = line.split(';') data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1) data['settle'] = float(split[1]) data.Value = float(split[1]) return data # NOTE: Manager for new trades. It's represented by certain count of equally weighted brackets for long and short positions. # If there's a place for new trade, it will be managed for time of holding period. class TradeManager(): def __init__(self, algorithm, long_size, short_size, holding_period): self.algorithm = algorithm # algorithm to execute orders in. self.long_size = long_size self.short_size = short_size self.weight = 1 / (self.long_size + self.short_size) self.long_len = 0 self.short_len = 0 # Arrays of ManagedSymbols self.symbols = [] self.holding_period = holding_period # Days of holding. # Add stock symbol object def Add(self, symbol, long_flag): # Open new long trade. managed_symbol = ManagedSymbol(symbol, self.holding_period, long_flag) if long_flag: # If there's a place for it. if self.long_len < self.long_size: self.symbols.append(managed_symbol) self.algorithm.SetHoldings(symbol, self.weight) self.long_len += 1 # Open new short trade. else: # If there's a place for it. if self.long_len < self.short_size: self.symbols.append(managed_symbol) self.algorithm.SetHoldings(symbol, - self.weight) self.short_len += 1 # Decrement holding period and liquidate symbols. def TryLiquidate(self): symbols_to_delete = [] for managed_symbol in self.symbols: managed_symbol.days_to_liquidate -= 1 # Liquidate. if managed_symbol.days_to_liquidate == 0: symbols_to_delete.append(managed_symbol) self.algorithm.Liquidate(managed_symbol.symbol) if managed_symbol.long_flag: self.long_len -= 1 else: self.short_len -= 1 # Remove symbols from management. for managed_symbol in symbols_to_delete: self.symbols.remove(managed_symbol) class ManagedSymbol(): def __init__(self, symbol, days_to_liquidate, long_flag): self.symbol = symbol self.days_to_liquidate = days_to_liquidate self.long_flag = long_flag class PortfolioOptimization(object): def __init__(self, df_return, risk_free_rate, num_assets): self.daily_return = df_return self.risk_free_rate = risk_free_rate self.n = num_assets # numbers of risk assets in portfolio self.target_vol = 0.05 def annual_port_return(self, weights): # calculate the annual return of portfolio return np.sum(self.daily_return.mean() * weights) * 252 def annual_port_vol(self, weights): # calculate the annual volatility of portfolio return np.sqrt(np.dot(weights.T, np.dot(self.daily_return.cov() * 252, weights))) def min_func(self, weights): # method 1: maximize sharp ratio return - self.annual_port_return(weights) / self.annual_port_vol(weights) # method 2: maximize the return with target volatility #return - self.annual_port_return(weights) / self.target_vol def opt_portfolio(self): # maximize the sharpe ratio to find the optimal weights cons = ({'type': 'eq', 'fun': lambda x: np.sum(x) - 1}) bnds = tuple((0, 1) for x in range(2)) + tuple((0, 0.25) for x in range(self.n - 2)) opt = minimize(self.min_func, # object function np.array(self.n * [1. / self.n]), # initial value method='SLSQP', # optimization method bounds=bnds, # bounds for variables constraints=cons) # constraint conditions opt_weights = opt['x'] return opt_weights
import fk_tools class Value(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 12, 31) self.SetCash(100000) self.symbol = 'SPY' self.AddEquity(self.symbol, Resolution.Daily) self.course_count = 1000 self.long = [] self.short = [] self.month = 12 self.selection_flag = False self.rebalance_flag = False self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction) self.Schedule.On(self.DateRules.MonthEnd(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Selection) def OnSecuritiesChanged(self, changes): for security in changes.AddedSecurities: security.SetFeeModel(fk_tools.CustomFeeModel(self)) security.SetLeverage(5) def CoarseSelectionFunction(self, coarse): if not self.selection_flag: return Universe.Unchanged self.selection_flag = False selected = sorted([x for x in coarse if x.HasFundamentalData and x.Market == 'usa'], key=lambda x: x.DollarVolume, reverse=True) return [x.Symbol for x in selected[:self.course_count]] def FineSelectionFunction(self, fine): fine = [x for x in fine if x.ValuationRatios.PBRatio != 0] sorted_by_pb = sorted(fine, key = lambda x:(x.ValuationRatios.PBRatio), reverse=False) quintile = int(len(sorted_by_pb) / 5) self.long = [i.Symbol for i in sorted_by_pb[:quintile]] self.short = [i.Symbol for i in sorted_by_pb[-quintile:]] self.rebalance_flag = True return self.long + self.short def OnData(self, data): if not self.rebalance_flag: return self.rebalance_flag = False # Trade execution long_count = len(self.long) short_count = len(self.short) if long_count + short_count == 0: self.Liquidate() return stocks_invested = [x.Key for x in self.Portfolio if x.Value.Invested] for symbol in stocks_invested: if symbol not in self.long + self.short: self.Liquidate(symbol) # Leveraged portfolio - 100% long, 100% short. for symbol in self.long: if self.Securities[symbol].Price != 0: self.SetHoldings(symbol, 1 / long_count) for symbol in self.short: if self.Securities[symbol].Price != 0: self.SetHoldings(symbol, -1 / short_count) self.long.clear() self.short.clear() def Selection(self): if self.month == 12: self.selection_flag = True self.month += 1 if self.month > 12: self.month = 1