Overall Statistics
Total Trades
11
Average Win
0%
Average Loss
0%
Compounding Annual Return
388.152%
Drawdown
5.300%
Expectancy
0
Net Profit
30.339%
Sharpe Ratio
5.488
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
1.594
Beta
-15.26
Annual Standard Deviation
0.244
Annual Variance
0.06
Information Ratio
5.42
Tracking Error
0.244
Treynor Ratio
-0.088
Total Fees
$45.58
import numpy as np
import datetime
from scipy import stats 

### <summary>
### Basic template algorithm simply initializes the date range and cash. This is a skeleton
### framework you can use for designing an algorithm.
### </summary>
class StocksOnTheMove(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2012,1,1)  #Set Start Date
        self.SetEndDate(2012,3,1)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        # Find more symbols here: http://quantconnect.com/data
        self.AddEquity("SPY", Resolution.Minute)
        
        # what resolution should the data *added* to the universe be?
        self.UniverseSettings.Resolution = Resolution.Minute
        
        # How many stocks in the starting universe?
        self.__numberOfSymbols = 20
        
        # How many stocks in the portfolio?
        self.number_stocks = 5
        
        # this add universe method accepts two parameters:
        self.AddUniverse(self.CoarseSelectionFunction)
        
        # How far back are we looking for momentum?
        self.momentum_period = 20
        
        # Schedule Indicator Update, Ranking + Rebal
        self.Schedule.On(self.DateRules.EveryDay("SPY"), 
                         self.TimeRules.AfterMarketOpen("SPY", 30), 
                         Action(self.rebalance))
                         
        self.Schedule.On(self.DateRules.EveryDay("SPY"), 
                         self.TimeRules.AfterMarketOpen("SPY", 0), 
                         Action(self.UpdateIndicators))
        
        # Set Risk Factor for position sizing
        self.risk_factor = 0.001
        
        # Set empty list for universe
        self.universe = []
        
        # Set empty dictionary for managing & ranking the slope
        self.indicators_r2 = {}
        
        self.last_month_fired_coarse    = None #we cannot rely on Day==1 like before
        self.last_month_fired_rebalance = None #we cannot rely on Day==1 like before
        
    def UpdateIndicators(self):

         # This updates the indicators at each data step
        for symbol in self.universe:
            
            # is symbol iin Slice object? (do we even have data on this step for this asset)
            if self.Securities.ContainsKey(symbol):
                # Update the dictionary for the indicator
                if symbol in self.indicators_r2:
                    self.indicators_r2[symbol].update(self.Securities[symbol].Price)
    
    # Run a coarse selection filter for starting universe
    def CoarseSelectionFunction(self, coarse):
    
        today = self.Time
        #self.Log("Day = {} Month = {}".format(today.day,today.month))
        
        # Set the Universe to rebalance on the 1st day of each quarter (can play around with this as required)
        if self.last_month_fired_coarse != today.month and (today.month == 1 or today.month == 4 or today.month == 7 or today.month == 10):
            self.last_month_fired_coarse = today.month
            
            self.Log("Day = {} Month = {}".format(today.day,today.month))
            
            CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData]
            sortedByDollarVolume = sorted(CoarseWithFundamental, key=lambda x: x.DollarVolume, reverse=True)
            result = [ x.Symbol for x in sortedByDollarVolume[:self.__numberOfSymbols] ]
            self.universe = result
            return self.universe
        else:
            return self.universe
            
    def OnSecuritiesChanged(self, changes):
        
        # Delete indicator from the dict to save Ram
        for security in changes.RemovedSecurities:
            if security.Symbol in self.indicators_r2:
                del self.indicators_r2[security.Symbol]
                self.Liquidate(security.Symbol)
                
        # Init a new custom indicator
        for security in changes.AddedSecurities:
            self.indicators_r2[security.Symbol] = RegressionSlope(self, security.Symbol, self.momentum_period,  Resolution.Daily)


    def rebalance(self):
        
        today = self.Time
        if self.last_month_fired_rebalance != self.last_month_fired_coarse:
            # ensure we are fireing after coarse
            self.last_month_fired_rebalance = self.last_month_fired_coarse
            
            self.Log("Rebalance")
        
            # get values from dict
            symbols, slopes = zip(*[(symbol, self.indicators_r2[symbol].value) for symbol in self.indicators_r2])
            
            # sort 
            idx_sorted = np.argsort(slopes)[::-1] # [::-1] slices backwards i.e. flips to reverse the sort order
            symbols =np.array(symbols)[idx_sorted]
            slopes = np.array(slopes)[idx_sorted]
            
            # Sort the Dictionary from highest to lowest and take the top values
            self.target_portfolio = symbols
            self.Log(str(self.target_portfolio))
            
            # Enter or exit positions
            for symbol in self.universe:
                
                # Case: invested in the current symbol
                if self.Portfolio[symbol].HoldStock:
                    # Exit if not a target aset
                    if symbol not in self.target_portfolio:
                        self.Liquidate(symbol)
                    elif symbol in self.target_portfolio:
                        continue
                    
                # Case: not invested in the current symbol
                else:
                    # symbol is a target, enter position
                    if symbol in self.target_portfolio:
                        # Update ATR for the stock in the new dictionary
                        
                        self.Log("{} {} {}".format(symbol, self.Securities[symbol].Price, self.indicators_r2[symbol].value))
    
                        # Send Orders
                        self.SetHoldings(symbol, 1./float(self.number_stocks))
       

class RegressionSlope():
    
    def __init__(self, algo, symbol, window, resolution):
        # set up params of per-asset rolling metric calculation
        self.symbol = symbol
        self.window = window
        self.resolution = resolution
        
        # download the window. Prob not great to drag algo scope in here. Could get outside and pass in.
        self.history = algo.History([symbol], window, self.resolution).close.values
        
        # calulate the metrics for the current window
        self.compute()

    def update(self, value):
        # update history, retain length
        self.history = np.append(self.history, float(value))[1:]
        
        # calulate the metrics for the current window
        self.compute()
    
    def compute(self):
        # copied from previous
        x = np.arange(len(self.history))
        log_ts = np.log(self.history)
        slope, intercept, r_value, p_value, std_err = stats.linregress(x, log_ts)
        annualized_slope = (np.power(np.exp(slope), 250) - 1) * 100
        annualized_slope = annualized_slope * (r_value ** 2)
        
        # update value
        self.value = annualized_slope