| Overall Statistics |
|
Total Trades 701 Average Win 0.40% Average Loss -0.71% Compounding Annual Return 15.260% Drawdown 32.600% Expectancy 0.407 Net Profit 457.065% Sharpe Ratio 0.998 Probabilistic Sharpe Ratio 40.392% Loss Rate 10% Win Rate 90% Profit-Loss Ratio 0.57 Alpha 0.137 Beta -0.035 Annual Standard Deviation 0.135 Annual Variance 0.018 Information Ratio 0.201 Tracking Error 0.224 Treynor Ratio -3.818 Total Fees $710.78 |
### <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
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.leverage = 2
def Rebalance(self):
self.SetHoldings([PortfolioTarget(etf,target*self.leverage) for etf,target in self.etfs])