Overall Statistics |
Total Orders
14769
Average Win
0.39%
Average Loss
-0.36%
Compounding Annual Return
1.445%
Drawdown
24.600%
Expectancy
0.019
Start Equity
100000
End Equity
143030.95
Net Profit
43.031%
Sharpe Ratio
-0.196
Sortino Ratio
-0.231
Probabilistic Sharpe Ratio
0.000%
Loss Rate
51%
Win Rate
49%
Profit-Loss Ratio
1.07
Alpha
-0.012
Beta
0.026
Annual Standard Deviation
0.055
Annual Variance
0.003
Information Ratio
-0.334
Tracking Error
0.164
Treynor Ratio
-0.414
Total Fees
$22977.37
Estimated Strategy Capacity
$87000.00
Lowest Capacity Asset
EWI R735QTJ8XC9X
Portfolio Turnover
32.88%
|
# https://quantpedia.com/strategies/pairs-trading-with-country-etfs/ # # The investment universe consists of 22 international ETFs. A normalized cumulative total return index is created for each ETF (dividends # included), and the starting price during the formation period is set to $1 (price normalization). The selection of pairs is made after # a 120 day formation period. Pair’s distance for all ETF pairs is calculated as the sum of squared deviations between two normalized # price series. The top 5 pairs with the smallest distance are used in the subsequent 20 day trading period. The strategy is monitored # daily, and trade is opened when the divergence between the pairs exceeds 0.5x the historical standard deviation. Investors go long # on the undervalued ETF and short on the overvalued ETF. The trade is exited if a pair converges or after 20 days (if the pair does # not converge within the next 20 business days). Pairs are weighted equally, and the portfolio is rebalanced on a daily basis. # # QC Implementation: import numpy as np from AlgorithmImports import * import itertools as it class PairsTradingwithCountryETFs(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 1, 1) self.SetCash(100000) self.symbols = [ "EWA", # iShares MSCI Australia Index ETF "EWO", # iShares MSCI Austria Investable Mkt Index ETF "EWK", # iShares MSCI Belgium Investable Market Index ETF "EWZ", # iShares MSCI Brazil Index ETF "EWC", # iShares MSCI Canada Index ETF "FXI", # iShares China Large-Cap ETF "EWQ", # iShares MSCI France Index ETF "EWG", # iShares MSCI Germany ETF "EWH", # iShares MSCI Hong Kong Index ETF "EWI", # iShares MSCI Italy Index ETF "EWJ", # iShares MSCI Japan Index ETF "EWM", # iShares MSCI Malaysia Index ETF "EWW", # iShares MSCI Mexico Inv. Mt. Idx "EWN", # iShares MSCI Netherlands Index ETF "EWS", # iShares MSCI Singapore Index ETF "EZA", # iShares MSCI South Africe Index ETF "EWY", # iShares MSCI South Korea ETF "EWP", # iShares MSCI Spain Index ETF "EWD", # iShares MSCI Sweden Index ETF "EWL", # iShares MSCI Switzerland Index ETF "EWT", # iShares MSCI Taiwan Index ETF "THD", # iShares MSCI Thailand Index ETF "EWU", # iShares MSCI United Kingdom Index ETF "SPY", # SPDR S&P 500 ETF ] self.period = 120 self.max_traded_pairs = 5 # The top 5 pairs with the smallest distance are used. self.history_price = {} self.traded_pairs = [] self.traded_quantity = {} for symbol in self.symbols: data = self.AddEquity(symbol, Resolution.Daily) data.SetFeeModel(CustomFeeModel()) data.SetLeverage(5) symbol_obj = data.Symbol if symbol not in self.history_price: self.history_price[symbol] = RollingWindow[float](self.period) history = self.History(self.Symbol(symbol), self.period, Resolution.Daily) if history.empty: self.Log(f"Note enough data for {symbol} yet") else: closes = history.loc[symbol].close[:-1] for time, close in closes.items(): self.history_price[symbol].Add(close) self.sorted_pairs = [] self.symbol_pairs = list(it.combinations(self.symbols, 2)) self.days = 20 def OnData(self, data): # Update the price series everyday for symbol in self.history_price: symbol_obj = self.Symbol(symbol) if symbol_obj in data and data[symbol_obj]: price = data[symbol_obj].Value self.history_price[symbol].Add(price) # Start of trading period. if self.days == 20: # minimize the sum of squared deviations distances = {} for pair in self.symbol_pairs: if self.history_price[pair[0]].IsReady and self.history_price[pair[1]].IsReady: if (self.Time.date() - self.Securities[pair[0]].GetLastData().Time.date()).days <= 3 and (self.Time.date() - self.Securities[pair[1]].GetLastData().Time.date()).days <= 3: distances[pair] = self.Distance([x for x in self.history_price[pair[0]]], [x for x in self.history_price[pair[1]]]) if len(distances) != 0: self.sorted_pairs = sorted(distances.items(), key = lambda x: x[1])[:self.max_traded_pairs] self.sorted_pairs = [x[0] for x in self.sorted_pairs] self.Liquidate() self.traded_pairs.clear() self.traded_quantity.clear() self.days = 0 self.days += 1 if self.sorted_pairs is None: return pairs_to_remove = [] for pair in self.sorted_pairs: # Calculate the spread of two price series. price_a = [x for x in self.history_price[pair[0]]] price_b = [x for x in self.history_price[pair[1]]] norm_a = np.array(price_a) / price_a[-1] norm_b = np.array(price_b) / price_b[-1] spread = norm_a - norm_b mean = np.mean(spread) std = np.std(spread) actual_spread = spread[0] # Long-short position is opened when pair prices have diverged by two standard deviations. traded_portfolio_value = self.Portfolio.TotalPortfolioValue / self.max_traded_pairs if actual_spread > mean + 0.5*std or actual_spread < mean - 0.5*std: if pair not in self.traded_pairs: # open new position for pair, if there's place for it. if len(self.traded_pairs) < self.max_traded_pairs: symbol_a = pair[0] symbol_b = pair[1] a_price_norm = norm_a[0] b_price_norm = norm_b[0] a_price = price_a[0] b_price = price_b[0] # a etf's price > b etf's price if a_price_norm > b_price_norm: long_q = traded_portfolio_value / b_price # long b etf short_q = -traded_portfolio_value / a_price # short a etf if self.Securities.ContainsKey(symbol_a) and self.Securities.ContainsKey(symbol_b) and \ self.Securities[symbol_a].Price != 0 and self.Securities[symbol_a].IsTradable and \ self.Securities[symbol_b].Price != 0 and self.Securities[symbol_b].IsTradable: self.MarketOrder(symbol_a, short_q) self.MarketOrder(symbol_b, long_q) self.traded_quantity[pair] = (short_q, long_q) self.traded_pairs.append(pair) # b etf's price > a etf's price else: long_q = traded_portfolio_value / a_price # long a etf short_q = -traded_portfolio_value / b_price # short b etf if self.Securities.ContainsKey(symbol_a) and self.Securities.ContainsKey(symbol_b) and \ self.Securities[symbol_a].Price != 0 and self.Securities[symbol_a].IsTradable and \ self.Securities[symbol_b].Price != 0 and self.Securities[symbol_b].IsTradable: self.MarketOrder(symbol_a, long_q) self.MarketOrder(symbol_b, short_q) self.traded_quantity[pair] = (long_q, short_q) self.traded_pairs.append(pair) # The position is closed when prices revert back. else: if pair in self.traded_pairs and pair in self.traded_quantity: # make opposite order to opened position self.MarketOrder(pair[0], -self.traded_quantity[pair][0]) self.MarketOrder(pair[1], -self.traded_quantity[pair][1]) pairs_to_remove.append(pair) for pair in pairs_to_remove: self.traded_pairs.remove(pair) del self.traded_quantity[pair] def Distance(self, price_a, price_b): # Calculate the sum of squared deviations between two normalized price series. norm_a = np.array(price_a) / price_a[-1] norm_b = np.array(price_b) / price_b[-1] return sum((norm_a - norm_b)**2) # Custom fee model. class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005 return OrderFee(CashAmount(fee, "USD"))