| Overall Statistics |
|
Total Trades 329 Average Win 0.76% Average Loss -0.59% Compounding Annual Return -1.112% Drawdown 11.300% Expectancy -0.021 Net Profit -0.480% Sharpe Ratio -0.023 Probabilistic Sharpe Ratio 21.127% Loss Rate 57% Win Rate 43% Profit-Loss Ratio 1.28 Alpha 0.017 Beta -0.266 Annual Standard Deviation 0.104 Annual Variance 0.011 Information Ratio -0.157 Tracking Error 0.49 Treynor Ratio 0.009 Total Fees $333.74 Estimated Strategy Capacity $3100000000.00 Lowest Capacity Asset LLY R735QTJ8XC9X Portfolio Turnover 67.78% |
from AlgorithmImports import *
class ETFConstituentsDataAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2020, 1, 1)
self.SetEndDate(2020, 6, 6)
self.SetCash(100000)
self.UniverseSettings.Resolution = Resolution.Daily
# Requesting data
self.spy = self.AddEquity("SPY").Symbol
self.AddUniverse(self.Universe.ETF(self.spy, self.UniverseSettings, self.ETFConstituentsFilter))
self.weightBySymbol = {}
self.Schedule.On(
self.DateRules.EveryDay(self.spy),
self.TimeRules.AfterMarketOpen(self.spy, 1),
self.Rebalance)
def ETFConstituentsFilter(self, constituents):
# Get the 10 securities with the largest weight in the index
selected = sorted([c for c in constituents if c.Weight],
key=lambda c: c.Weight, reverse=True)
self.weightBySymbol = {c.Symbol: c.Weight for c in selected}
self.Log(self.weightBySymbol)
return list(self.weightBySymbol.keys())
def Rebalance(self):
spyWeight = sum(self.weightBySymbol.values())
if spyWeight > 0:
for symbol in self.Portfolio.Keys:
if symbol not in self.weightBySymbol:
self.Liquidate(symbol)
for symbol, weight in self.weightBySymbol.items():
self.SetHoldings(symbol, 0.5 * weight / spyWeight)
self.SetHoldings(self.spy, -0.5)
def OnSecuritiesChanged(self, changes):
for security in changes.RemovedSecurities:
if security.Invested:
self.Liquidate(security.Symbol, 'Removed From Universe')
for security in changes.AddedSecurities:
# Historical data
history = self.History(security.Symbol, 7, Resolution.Daily)
self.Debug(f'We got {len(history)} from our history request for {security.Symbol}')