SPY vs. SPY

from datetime import timedelta

class SpyVsSpyAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2010, 1, 1)
        self.max_total_portfolio_value = -1.0
        self.timestamp = None
        self.symbol = self.add_equity("SPY", Resolution.DAILY).symbol

    def on_data(self, slice):
        if not self.portfolio.invested:
            if self.timestamp is None or self.time > (self.timestamp + timedelta(days=30)):
                self.set_holdings(self.symbol, 1.0)
                self.timestamp = None
        else:
            if self.max_total_portfolio_value > 0:
                if self.portfolio.total_portfolio_value < 0.96 * self.max_total_portfolio_value:
                    self.liquidate()
                    self.timestamp = self.time
                    self.max_total_portfolio_value = -1.0
            self.max_total_portfolio_value = self.portfolio.total_portfolio_value

Sources: Momentum Effect In Commodities Futures, Gaussian Naive Bayes Model, Leveraged ETFs With Systematic Risk Management, Turn Of The Month In Equity Indexes, Upcoming Holiday Momentum for Amazon

Is this not just a trailing stop loss on SPY?

Hi Ezra Citron ,

Yes, with the addition of the "time out of market".

I was not able to get a callback for when the in built trailing stop loss kicked in so this is another solution for it.

But basically, the main idea is to show that with a few lines of code one can beat buy and hold.