| Overall Statistics |
|
Total Trades 214 Average Win 0.71% Average Loss -0.76% Compounding Annual Return -5.505% Drawdown 36.400% Expectancy -0.526 Net Profit -34.970% Sharpe Ratio -0.724 Probabilistic Sharpe Ratio 0.000% Loss Rate 75% Win Rate 25% Profit-Loss Ratio 0.93 Alpha -0.037 Beta 0 Annual Standard Deviation 0.051 Annual Variance 0.003 Information Ratio -0.803 Tracking Error 0.16 Treynor Ratio -615.112 Total Fees $236548.40 Estimated Strategy Capacity $50000.00 Lowest Capacity Asset ZC YY8E90VXTCTH |
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# QUANTARMY FUTURE SPREADER
# ----------------------------------
#
# ABSTRACT:
# -------
# PROOF OF CONCEPT OF A SPREAD TRADE IN QUANTCONNECT
# - TRY TO ADJUST TO SEASONAL SPREAD TRADE
#
#
#
# ---> JCX 2022/08 V0.1 WWW.QUANTARMY.COM
#
################################################################################
from AlgorithmImports import *
class QAFutureSpreader(QCAlgorithm):
# ==================================================================================
# Reserved for future comments
# ==================================================================================
def Initialize(self):
self.SetStartDate(2015, 1, 1)
self.SetCash(100000000)
self.corn = self.AddFuture(Futures.Grains.Corn, Resolution.Daily)
self.symbolcorn = self.corn.Symbol
self.corn.SetFilter(lambda x: x.ExpirationCycle([1, 12]))
self.wheat = self.AddFuture(Futures.Grains.Wheat, Resolution.Daily)
self.symbolwheat = self.wheat.Symbol
self.wheat.SetFilter(lambda x: x.ExpirationCycle([1,12]))
self.SetWarmup(21)
self.fecha = self.Time
def OnData(self, slice: Slice) -> None:
chain = slice.FuturesChains.get(self.symbolcorn)
chain2 = slice.FutureChains.get(self.symbolwheat)
if chain and chain2:
contract = sorted(chain, key=lambda contract: contract.Expiry, reverse=True)[0]
contract2 = sorted(chain2, key =lambda contract: contract.Expiry, reverse=True)[0]
if not self.Portfolio.Invested:
# if day == day when start the seasonal edge
# create the spread
# need to select month of expiring of the asset
# Exact, how to go to ESZ23 future exactly or similar
self.SetHoldings(contract.Symbol, 0.01)
self.fecha = self.Time
self.SetHoldings(contract2.Symbol, -0.01)
else:
# If we stay in a trade and its time go go out, just liquidate.
if self.Time > self.fecha +timedelta(30):
self.Liquidate()