| Overall Statistics |
|
Total Trades 78 Average Win 10.84% Average Loss -4.52% Compounding Annual Return 13.953% Drawdown 33.800% Expectancy 0.917 Net Profit 449.610% Sharpe Ratio 0.728 Probabilistic Sharpe Ratio 10.687% Loss Rate 44% Win Rate 56% Profit-Loss Ratio 2.40 Alpha 0.151 Beta -0.191 Annual Standard Deviation 0.181 Annual Variance 0.033 Information Ratio 0.117 Tracking Error 0.285 Treynor Ratio -0.69 Total Fees $1010.04 |
# Dual Momentum v3
class DualMomentum(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2008, 1, 1)
self.SetEndDate(2021, 1, 13)
self.InitCash = 100000
self.SetCash(self.InitCash)
self.MKT = self.AddEquity("SPY", Resolution.Daily).Symbol
self.mkt = []
self.bond = self.AddEquity("TLT", Resolution.Minute).Symbol
self.mom_period = 100
self.leverage = 1
self.SetWarmUp(self.mom_period)
self.assets_mom = [SymbolData(self,symbolString, self.mom_period) for symbolString in ['QQQ', 'EFA', 'EEM']]
self.bill_mom = SymbolData(self,"SHV", self.mom_period)
self.Schedule.On(self.DateRules.MonthStart(self.MKT),self.TimeRules.AfterMarketOpen(self.MKT),
self.Rebalance)
def Rebalance(self):
self.assets_mom.sort(key = lambda x: x.Momentum.Current.Value, reverse = True)
selected = self.assets_mom[0].Symbol
if self.assets_mom[0].Momentum.Current.Value < self.bill_mom.Momentum.Current.Value:
selected = self.bond
self.SetHoldings(selected, self.leverage, True)
def OnEndOfDay(self):
mkt_price = self.Securities[self.MKT].Close
self.mkt.append(mkt_price)
mkt_perf = self.InitCash * self.mkt[-1] / self.mkt[0]
self.Plot('Strategy Equity', self.MKT, mkt_perf)
account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue
self.Plot('Holdings', 'leverage', round(account_leverage, 2))
self.Plot('Holdings', 'Target Leverage', self.leverage)
class SymbolData:
def __init__(self,algorithm, symbolString,lookBackPeriod):
self.Symbol = algorithm.AddEquity(symbolString, Resolution.Daily).Symbol
self.Momentum = algorithm.MOM(self.Symbol, lookBackPeriod, Resolution.Daily)