Overall Statistics
Total Trades
2044
Average Win
0.28%
Average Loss
-0.39%
Compounding Annual Return
14.588%
Drawdown
15.800%
Expectancy
0.408
Net Profit
487.899%
Sharpe Ratio
1.116
Probabilistic Sharpe Ratio
57.939%
Loss Rate
18%
Win Rate
82%
Profit-Loss Ratio
0.71
Alpha
0.128
Beta
-0.023
Annual Standard Deviation
0.113
Annual Variance
0.013
Information Ratio
0.128
Tracking Error
0.222
Treynor Ratio
-5.523
Total Fees
$3604.63
# Andreas Clenow Momentum (Static Assets), Framework

from datetime import timedelta
from collections import deque
from scipy import stats
import numpy as np

class ClenowMomentum(AlphaModel): 
    def __init__(self):
        
        self.PERIOD = 50
        self.N = 3       
        
        self.indi = {} 
        self.indi_Update = {}
        self.securities = [] 
        
    def OnSecuritiesChanged(self, algorithm, changes):
        
        for security in changes.AddedSecurities:
            if security.Symbol.Value == 'SPY':
                continue
            self.securities.append(security)
            symbol = security.Symbol
            
            self.indi[symbol] = My_Custom('My_Custom', symbol, self.PERIOD)
            algorithm.RegisterIndicator(symbol, self.indi[symbol], Resolution.Daily)
        
            history = algorithm.History(symbol, self.PERIOD, Resolution.Daily)
            self.indi[symbol].Warmup(history)

          
    def Update(self, algorithm, data):
        insights = []

        ready = [indicator for symbol, indicator in self.indi.items() if indicator.IsReady]
        ordered = sorted(ready, key = lambda x: x.Value, reverse = False)[:self.N]        
        for x in ordered:
            insights.append( Insight.Price(x.symbol, timedelta(1), InsightDirection.Up) ) 
        
        algorithm.Plot('Custom_Slope', 'Value QQQ', list(self.indi.values())[0].Value)
        algorithm.Plot('Custom_Slope', 'Value FDN', list(self.indi.values())[1].Value)
        algorithm.Plot('Custom_Slope', 'Value XLP', list(self.indi.values())[2].Value)
        algorithm.Plot('Custom_Slope', 'Value TLH', list(self.indi.values())[3].Value)
        algorithm.Plot('Custom_Slope', 'Value TLT', list(self.indi.values())[4].Value)

        return insights

class FrameworkAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2008, 1, 1)     
        #self.SetEndDate(2020, 12, 17)        
        self.cap = 100000
        self.SetCash(self.cap)

        tickers = ['QQQ','FDN','XLP','TLH','TLT']
        symbols = [Symbol.Create(t, SecurityType.Equity, Market.USA) for t in tickers]
        self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))    
        self.UniverseSettings.Resolution = Resolution.Daily        
        self.AddAlpha(ClenowMomentum())        
        self.Settings.RebalancePortfolioOnInsightChanges = False          
        self.Settings.RebalancePortfolioOnSecurityChanges = True
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(self.DateRules.Every(DayOfWeek.Monday)))
        self.SetExecution(ImmediateExecutionModel()) 
        self.MKT = self.AddEquity('SPY', Resolution.Daily).Symbol
        self.spy = []
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.BeforeMarketClose('SPY', 0), self.record_vars) 
        
            
    def record_vars(self):
        hist = self.History([self.MKT], 2, Resolution.Daily)['close'].unstack(level= 0).dropna() 
        self.spy.append(hist[self.MKT].iloc[-1])
        spy_perf = self.spy[-1] / self.spy[0] * self.cap
        self.Plot('Strategy Equity', 'SPY', spy_perf)        
        
        account_leverage = self.Portfolio.TotalHoldingsValue / self.Portfolio.TotalPortfolioValue
        self.Plot('Holdings', 'leverage', round(account_leverage, 2)) 
        
        
class My_Custom:
    def __init__(self, name, symbol, period):
        self.symbol = symbol
        self.Name = name
        self.Time = datetime.min
        self.Value = 0
        self.Slope = 0
        self.Corr = 0

        self.queue = deque(maxlen=period)
        self.IsReady = False
        

    def Update(self, input):
        return self.Update2(input.Time, input.Close)
        
    
    def Update2(self, time, value):
        self.queue.appendleft(value)
        count = len(self.queue)
        self.Time = time
        
        self.IsReady = count == self.queue.maxlen
        
        #### start here the indicator calulation
        if self.IsReady:    
            y = np.log(self.queue)
            x = [range(len(y))]
            reg = stats.linregress(x, y)
            slope, corr = reg[0], reg[2]
            self.Slope = slope 
            self.Corr = corr  
            self.annualized_slope = float(np.power(np.exp(self.Slope), 252) - 1) * 2.00 
            self.Value = (self.annualized_slope) * float(corr**2)

        # for testing self.IsReady = False
        #self.IsReady = False
        
        return self.IsReady 
        
        
    def Warmup(self,history):
        for index, row in history.loc[self.symbol].iterrows():
            self.Update2(index, row['close'])