Overall Statistics
Total Trades
39
Average Win
0.03%
Average Loss
-0.03%
Compounding Annual Return
-32.359%
Drawdown
22.900%
Expectancy
0.130
Net Profit
-22.830%
Sharpe Ratio
-5.086
Probabilistic Sharpe Ratio
0.000%
Loss Rate
39%
Win Rate
61%
Profit-Loss Ratio
0.86
Alpha
-0.274
Beta
-0.008
Annual Standard Deviation
0.054
Annual Variance
0.003
Information Ratio
-0.761
Tracking Error
0.199
Treynor Ratio
33.302
Total Fees
$41.07
 
### <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(2008, 8, 31)  
        self.SetCash(100000) 
        self.monthCounter = 0
        
        self.etfs = [
            (self.AddEquity('SPY', Resolution.Daily).Symbol,0.3),   #S&P 500
            (self.AddEquity('TLT', Resolution.Daily).Symbol,0.4),   #iShares 20+ Year Treasury ETF (TLT) / EU alternative: IS04 https://www.ishares.com/de/privatanleger/de/produkte/272124/ishares-usd-treasury-bond-20-yr-ucits-etf
            (self.AddEquity('IEF', Resolution.Daily).Symbol,0.15),  #iShares 7 – 10 Year Treasury ETF (IEF) / EU alternative: IBTM https://www.ishares.com/uk/individual/en/products/251716/ishares-treasury-bond-710yr-ucits-etf
            (self.AddEquity('GLD', Resolution.Daily).Symbol,0.075), #SPDR Gold Shares ETF (GLD),  #SPDR Gold Shares (GLD)  / EU alternative: IS0E https://www.ishares.com/de/privatanleger/de/produkte/251908/ishares-gold-producers-ucits-etf
            (self.AddEquity('VPU', Resolution.Daily).Symbol,0.075)  #Vanguard Utilities Index Fund ETF  / EU alternative: IUUS https://www.ishares.com/uk/individual/en/products/287115/ishares-s-p-500-utilities-sector-ucits-etf-fund 
            ]
        self.Schedule.On(self.DateRules.MonthStart(self.etfs[0][0]), self.TimeRules.AfterMarketOpen(self.etfs[0][0]), self.Rebalance)
        self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.At(0, 0), self.Withdraw)
        self.leverage = 1
        self.buffer = 0.1
     
    def Withdraw(self):
        withdraw_amount = self.Portfolio.TotalPortfolioValue * 0.001
        current_cash = self.Portfolio.CashBook[self.AccountCurrency].Amount
        self.Portfolio.CashBook.Add(self.AccountCurrency, current_cash - withdraw_amount, 1)
     
    def Rebalance(self):
        self.SetHoldings([PortfolioTarget(etf, target*self.leverage*(1 - self.buffer)) for etf, target in self.etfs])
        self.Plot("Custom", "Cash", self.Portfolio.Cash)