Overall Statistics
Total Trades
60
Average Win
1.92%
Average Loss
-0.04%
Compounding Annual Return
10.912%
Drawdown
19.600%
Expectancy
43.409
Net Profit
249.883%
Sharpe Ratio
0.999
Probabilistic Sharpe Ratio
49.883%
Loss Rate
6%
Win Rate
94%
Profit-Loss Ratio
46.18
Alpha
0.091
Beta
-0.018
Annual Standard Deviation
0.089
Annual Variance
0.008
Information Ratio
0.018
Tracking Error
0.198
Treynor Ratio
-4.878
Total Fees
$75.09
 
from datetime import datetime
from collections import *

### <summary>
### All Weather Strategy (Dalio)
### #https://www.iwillteachyoutoberich.com/blog/all-weather-portfolio/
### </summary>>


class AllWeatherStrategy(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2008, 1, 1)  
        self.SetEndDate(2020, 1, 31)  
        self.SetCash(100000) 
        self.monthCounter = 0
        # Country index ETFs according to https://seekingalpha.com/etfs-and-funds/etf-tables/countries
        self.etfs = [
            (self.AddEquity('VTI', Resolution.Daily).Symbol,0.3), #Vanguard Total Stock Market ETF
            (self.AddEquity('TLT', Resolution.Daily).Symbol,0.4), # iShares 20+ Year Treasury ETF (TLT)
            (self.AddEquity('IEF', Resolution.Daily).Symbol,0.15),  #iShares 7 – 10 Year Treasury ETF (IEF)
            (self.AddEquity('GLD', Resolution.Daily).Symbol,0.075), #SPDR Gold Shares ETF (GLD),  #SPDR Gold Shares (GLD)  
            (self.AddEquity('DBC', Resolution.Daily).Symbol,0.075) # PowerShares DB Commodity Index Tracking Fund (DBC)"
            ]
        self.Schedule.On(self.DateRules.MonthStart(self.etfs[0][0]), self.TimeRules.AfterMarketOpen(self.etfs[0][0]), self.Rebalance)
        self.leverage = 1.5
        self.monthCounter = 1
    def OnData(self, data):
       pass
     
    def Rebalance(self):
        if self.monthCounter is 12:
            self.SetHoldings([PortfolioTarget(etf,target*self.leverage) for etf,target in self.etfs])
            self.monthCounter = 1
        else:
            self.monthCounter = self.monthCounter+1