Overall Statistics
Total Trades
123
Average Win
5.06%
Average Loss
-2.89%
Compounding Annual Return
17.314%
Drawdown
23.200%
Expectancy
0.851
Net Profit
484.594%
Sharpe Ratio
1.02
Probabilistic Sharpe Ratio
42.735%
Loss Rate
33%
Win Rate
67%
Profit-Loss Ratio
1.75
Alpha
0.147
Beta
0.053
Annual Standard Deviation
0.15
Annual Variance
0.023
Information Ratio
0.104
Tracking Error
0.211
Treynor Ratio
2.881
Total Fees
$1272.86
 
# https://quantpedia.com/Screener/Details/3
# Use 10 sector ETFs. Pick 3 ETFs with strongest 12 month momentum into your portfolio 
# and weigh them equally. Hold for 1 month and then rebalance.

import pandas as pd
from datetime import datetime

class SectorMomentumAlgorithm(QCAlgorithm):

    def Initialize(self):

        self.SetStartDate(2010, 2, 1)  
        self.SetEndDate(datetime.now())  
        self.SetCash(100000) 
        self.SetBenchmark('SPY')
        # create a dictionary to store momentum indicators for all symbols 
        self.data = {}
        period = 3*21
        # choose ten sector ETFs
        self.symbols = ['SPY','TLT','QQQ','VO','IWM','EEM']
                        
        # warm up the MOM indicator
        self.SetWarmUp(period)
        for symbol in self.symbols:
            self.AddEquity(symbol, Resolution.Daily)
            self.data[symbol] = self.MOM(symbol, period, Resolution.Daily)
        # schedule the function to fire at the month start 
        self.Schedule.On(self.DateRules.MonthStart("SPY"), self.TimeRules.AfterMarketOpen("SPY"), self.Rebalance)
            
    def OnData(self, data):
        pass

    def Rebalance(self):
        if self.IsWarmingUp: return
        top1 = pd.Series(self.data).sort_values(ascending = False)[:1]
        for kvp in self.Portfolio:
            security_hold = kvp.Value
            # liquidate the security which is no longer in the top3 momentum list
            if security_hold.Invested and (security_hold.Symbol.Value not in top1.index):
                self.Liquidate(security_hold.Symbol)
        
        for symbol in top1.index:
            # self.SetHoldings(symbol, 1/len(top3))
            self.SetHoldings(symbol, 1)