| Overall Statistics |
|
Total Trades 6549 Average Win 0.03% Average Loss -0.03% Compounding Annual Return 1.152% Drawdown 29.900% Expectancy 0.696 Net Profit 16.194% Sharpe Ratio 0.145 Probabilistic Sharpe Ratio 0.032% Loss Rate 18% Win Rate 82% Profit-Loss Ratio 1.08 Alpha -0.03 Beta 0.45 Annual Standard Deviation 0.102 Annual Variance 0.01 Information Ratio -0.723 Tracking Error 0.118 Treynor Ratio 0.033 Total Fees $6551.83 |
# Dalio permanent portfolio with regular withdrawals
class AllWeatherStrategy(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2008, 1, 1)
self.SetEndDate(2021, 2, 4)
self.InitCash = 100000
self.SetCash(self.InitCash)
self.MKT = self.AddEquity("SPY", Resolution.Minute).Symbol
self.mkt = []
self.etfs = [
(self.AddEquity('SPY', Resolution.Daily).Symbol,0.4),
(self.AddEquity('TLT', Resolution.Daily).Symbol,0.3),
(self.AddEquity('IEF', Resolution.Daily).Symbol,0.15),
(self.AddEquity('GLD', Resolution.Daily).Symbol,0.075),
(self.AddEquity('VPU', Resolution.Daily).Symbol,0.075)
]
self.Schedule.On(self.DateRules.EveryDay(self.etfs[0][0]), self.TimeRules.AfterMarketOpen(self.etfs[0][0]), self.Rebalance)
self.withdraw = 0.0003
self.leverage = 1.1
def Withdraw(self):
withdrawal_amount = self.Portfolio.TotalPortfolioValue * self.withdraw
current_cash = self.Portfolio.CashBook[self.AccountCurrency].Amount
self.Portfolio.CashBook.Add(self.AccountCurrency, current_cash - withdrawal_amount, 1)
self.Plot("Custom", "Withdrawal", withdrawal_amount)
def Rebalance(self):
self.SetHoldings([PortfolioTarget(etf, target * self.leverage * (1 - self.withdraw)) for etf, target in self.etfs])
self.Withdraw()
def OnEndOfDay(self):
self.Plot("Custom", "Cash", self.Portfolio.Cash)
account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue
self.Plot('Holdings', 'leverage', round(account_leverage, 2))