Overall Statistics
Total Trades
170
Average Win
0.81%
Average Loss
-0.38%
Compounding Annual Return
20.012%
Drawdown
26.100%
Expectancy
0.431
Net Profit
18.640%
Sharpe Ratio
0.795
Probabilistic Sharpe Ratio
38.489%
Loss Rate
54%
Win Rate
46%
Profit-Loss Ratio
2.11
Alpha
0.231
Beta
-0.165
Annual Standard Deviation
0.251
Annual Variance
0.063
Information Ratio
0.026
Tracking Error
0.44
Treynor Ratio
-1.213
Total Fees
$203.20
# https://quantpedia.com/Screener/Details/7
# The investment universe consists of global large cap stocks (or US large cap stocks). 
# At the end of the each month, sort large dollar volume traded stocks,
# then sort them by total yield and ROE, then rank them by the last 100 days volatility. 
# Go long 10 stocks with the lowest volatility.

from QuantConnect.Data.UniverseSelection import *
import math
import numpy as np
import pandas as pd
import scipy as sp

class ShortTermReversalAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2020, 1, 30)  # Set Start Date
        #self.SetEndDate(2011, 1, 1)    # Set Start Date       
        self.SetCash(100000)           # Set Strategy Cash
        self.lookback = 100
        self.coarselist = 200
        self.finelist = 75
        self.stocks = 10
        self.UniverseSettings.Resolution = Resolution.Daily
        self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
        self.symbolDataDict = {}
        self.AddEquity("SPY", Resolution.Daily)
        self.AddEquity("UST", Resolution.Daily) # 7-10 yr treasury 2x start 2/1/2010
        self.SetBenchmark("SPY")
        self.Schedule.On(self.DateRules.MonthEnd("SPY"),self.TimeRules.AfterMarketOpen("SPY", 30), self.rebalance)

    def CoarseSelectionFunction(self, coarse):
        selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 10)]
        # rank the stocks by dollar volume 
        filtered = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) 
        return [ x.Symbol for x in filtered[:self.coarselist]]

    def FineSelectionFunction(self, fine):
        #top = sorted(fine, key = lambda x: x.ValuationRatios.TotalYield, reverse=True)
        #top = sorted(fine, key = lambda x: x.EarningReports.DividendPerShare.Value, reverse=True)
        top = sorted(fine, key=lambda x: x.ValuationRatios.TotalYield and x.OperationRatios.ROE.Value, reverse=True)
        return [x.Symbol for x in top[:self.finelist]]
        
    def rebalance(self):
        sorted_symbolData = sorted(self.symbolDataDict, key=lambda x: self.symbolDataDict[x].Volatility())
        # pick the stocks with the lowest volatility
        long_stocks = sorted_symbolData[:self.stocks]
        stocks_invested = [x.Key for x in self.Portfolio if x.Value.Invested]
        # liquidate stocks not in the list 
        for i in stocks_invested:
            if i not in long_stocks:
                self.Liquidate(i)
        # long stocks with the lowest volatility
        for i in long_stocks:
            self.SetHoldings(i, 1/self.stocks)
        self.SetHoldings('UST', 0)
        invested = [ x.Symbol.Value for x in self.Portfolio.Values if x.Invested ]  # create list of current positions
        self.Log("invested: " + str(invested))                                      # print current positions

    def OnData(self, data):
        for symbol, symbolData in self.symbolDataDict.items():
            # update the indicator value for newly added securities
            if symbol not in self.addedSymbols:
                symbolData.Price.Add(IndicatorDataPoint(symbol, self.Time, self.Securities[symbol].Close))
            
        self.addedSymbols = []
        self.removedSymbols = []
        
    def OnSecuritiesChanged(self, changes):

        # clean up data for removed securities
        self.removedSymbols = [x.Symbol for x in changes.RemovedSecurities]
        for removed in changes.RemovedSecurities:
            symbolData = self.symbolDataDict.pop(removed.Symbol, None)

        # warm up the indicator with history price for newly added securities
        self.addedSymbols = [ x.Symbol for x in changes.AddedSecurities if x.Symbol.Value != "SPY"]
        history = self.History(self.addedSymbols, self.lookback+1, Resolution.Daily)

        for symbol in self.addedSymbols:
            if symbol not in self.symbolDataDict.keys():
                symbolData = SymbolData(symbol, self.lookback)
                self.symbolDataDict[symbol] = symbolData
                if str(symbol) in history.index:             
                    symbolData.WarmUpIndicator(history.loc[str(symbol)])


class SymbolData:
    '''Contains data specific to a symbol required by this model'''
    
    def __init__(self, symbol, lookback):
        self.symbol = symbol
        self.Price = RollingWindow[IndicatorDataPoint](lookback)

    def WarmUpIndicator(self, history):
        # warm up the RateOfChange indicator with the history request
        for tuple in history.itertuples():
            item = IndicatorDataPoint(self.symbol, tuple.Index, float(tuple.close))
            self.Price.Add(item)
            
    def Volatility(self):
        data = [float(x.Value) for x in self.Price]
        # time = [x.EndTime for x in self.Price]
        # price_series = pd.Series(data, index=time)
        return np.std(data)