| Overall Statistics |
|
Total Trades 10893 Average Win 0.00% Average Loss 0.00% Compounding Annual Return 0.561% Drawdown 11.200% Expectancy 0.445 Net Profit 0.367% Sharpe Ratio 0.097 Probabilistic Sharpe Ratio 21.210% Loss Rate 61% Win Rate 39% Profit-Loss Ratio 2.68 Alpha 0.01 Beta -0.002 Annual Standard Deviation 0.094 Annual Variance 0.009 Information Ratio -1.848 Tracking Error 0.149 Treynor Ratio -4.163 Total Fees $10883.59 Estimated Strategy Capacity $6000.00 Lowest Capacity Asset CAND R735QTJ8XC9X |
from QuantConnect.Indicators import *
class MomentumEffectAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 1)
self.month = -1
self.rebalance = False
self.hull_dict = {}
self.UniverseSettings.Resolution = Resolution.Daily
self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
self.SetWarmup(40)
def CoarseSelectionFunction(self, coarse):
'''Drop securities which have no fundamental data or have too low prices.
Select those with highest by dollar volume'''
if self.month == self.Time.month:
return Universe.Unchanged
self.rebalance = True
self.month = self.Time.month
for s in list(filter(lambda x: (x.HasFundamentalData), coarse)):
if s.Symbol not in self.hull_dict:
history = self.History(s.Symbol, 20, Resolution.Daily)
self.hull_dict[s.Symbol] = Hull(s.Symbol,history)
avg = self.hull_dict[s.Symbol]
avg.update(s.EndTime, s.AdjustedPrice)
selected = []
for x in self.hull_dict.values():
current = x.hull.Current.Value
self.Debug("HMA - {symbol} - {hma}".format(symbol=x.symbol.Value,hma=x.hull.Current.Value))
# Check hull momentum is positive.
selected.append(x.symbol)
return selected
def FineSelectionFunction(self, fine):
self.selected = [x.Symbol for x in fine]
return self.selected
def OnData(self, data):
if not self.rebalance:
return
for i in self.selected:
self.SetHoldings(i, 1/len(self.selected))
self.rebalance = False
def OnSecuritiesChanged(self, changes):
# Clean up data for removed securities and Liquidate
for security in changes.RemovedSecurities:
symbol = security.Symbol
if self.hull_dict.pop(symbol,None) is not None:
self.Liquidate(symbol, 'Removed from universe')
class Hull(object):
def __init__(self, symbol, history):
self.symbol = symbol
self.hull = HullMovingAverage(30)
for bar in history.itertuples():
self.hull.Update(bar.Index[1],bar.close)
def update(self, time, value):
self.hull.Update(time, value)