Overall Statistics |
Total Trades 146 Average Win 0.25% Average Loss -0.55% Compounding Annual Return -10.479% Drawdown 9.600% Expectancy -0.247 Net Profit -5.429% Sharpe Ratio -0.998 Loss Rate 48% Win Rate 52% Profit-Loss Ratio 0.45 Alpha -0.103 Beta 0.093 Annual Standard Deviation 0.102 Annual Variance 0.01 Information Ratio -0.535 Tracking Error 0.2 Treynor Ratio -1.102 Total Fees $184.11 |
/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System.Collections.Generic; using System.Linq; using QuantConnect.Data; using QuantConnect.Data.Fundamental; using QuantConnect.Data.UniverseSelection; namespace QuantConnect.Algorithm.CSharp { /// <summary> /// Demonstration of how to define a universe filtered by the combination of coarse /// fundamental data and fine fundamental data. This lets you do a first pass based on the asset volume; then later /// select based on the company fundamentals. /// </summary> /// <meta name="tag" content="using data" /> /// <meta name="tag" content="universes" /> /// <meta name="tag" content="coarse universes" /> /// <meta name="tag" content="fine universes" /> public class _FactorStrategy : QCAlgorithm { private const int NumberOfSymbolsFine = 20; // last selected universe private IEnumerable<Symbol> lastSelectedSymbols = Enumerable.Empty<Symbol>(); // last month of universe selection private int lastUniverseSelectionMonth = 0; private Symbol spy; private Symbol tlt; private decimal mainAssetRatio = 0.6m; private SecurityChanges _changes = SecurityChanges.None; public override void Initialize() { SetTimeZone(TimeZones.NewYork); SetStartDate(2007, 7, 1); SetEndDate(2008, 1, 1); SetCash(50000); spy = AddEquity("SPY", Resolution.Daily).Symbol; tlt = AddEquity("TLT", Resolution.Daily).Symbol;//Symbol("TLT"); UniverseSettings.Resolution = Resolution.Daily; // this add universe method accepts two parameters: // - coarse selection function: accepts an IEnumerable<CoarseFundamental> and returns an IEnumerable<Symbol> // - fine selection function: accepts an IEnumerable<FineFundamental> and returns an IEnumerable<Symbol> AddUniverse(CoarseSelectionFunction, FineSelectionFunction); } private void rebalance() { Debug("Rebalancing..."); // no trade from May to October if (Time.Month >= 5 && Time.Month <= 10) { foreach (var security in Portfolio.Values) { if (security.Invested && !lastSelectedSymbols.Contains(security.Symbol) && security.Symbol != tlt) { Liquidate(security.Symbol); //Debug("Liquidated: " + security.Symbol.Value); } } Debug("Active securities: " + string.Join(" ", ActiveSecurities.Select(x => x.Key.Value))); foreach (var symbol in lastSelectedSymbols) { SetHoldings(symbol, (1m - mainAssetRatio) / NumberOfSymbolsFine); Debug($"Purchsed: {symbol.Value} Price: {Securities[symbol].Price}"); //Debug("Purchsed: " + symbol.Value); } SetHoldings(tlt, mainAssetRatio); //Debug("Purchsed: " + tlt.Value); Debug("Invested securities: " + string.Join(" ", ActiveSecurities.Select(x => { if (x.Value.Invested) return x.Key.Value; return ""; }))); Debug("Cash in portfolio: " + Portfolio.Cash); } // November to April else { foreach (var security in Portfolio.Values) { if (security.Invested && !lastSelectedSymbols.Contains(security.Symbol) && security.Symbol != tlt) { Liquidate(security.Symbol); //Debug("Liquidated: " + security.Symbol.Value); } } foreach (var symbol in lastSelectedSymbols) { SetHoldings(symbol, mainAssetRatio / NumberOfSymbolsFine); Debug($"Purchsed: {symbol.Value} Price: {Securities[symbol].Price}"); //Debug("Purchsed: " + symbol.Value); } SetHoldings(tlt, 1 - mainAssetRatio); //Debug("Purchsed: " + tlt.Value); Debug("Cash in portfolio: " + Portfolio.Cash); } } // sort the data by daily dollar volume and take the top 'NumberOfSymbolsCoarse' public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse) { if (Time.Month == lastUniverseSelectionMonth) { return Universe.Unchanged; } Debug("Selecting coarse universe..."); // select only symbols with fundamental data and sort descending by daily dollar volume var sortedByDollarVolume = coarse .Where(x => x.HasFundamentalData && x.Price > 1) .OrderBy(x => x.Price); lastUniverseSelectionMonth = Time.Month; // return selected symbols to FineSelectionFunction return sortedByDollarVolume.Take(200).Select(x => x.Symbol);// top5.Select(x => x.Symbol); } // sort the data by P/E ratio and take the top 'NumberOfSymbolsFine' public IEnumerable<Symbol> FineSelectionFunction(IEnumerable<FineFundamental> fine) { Debug("Selecting fine universe..."); var pe = fine.Where(x => x.ValuationRatios.PERatio > 0).OrderBy(x => x.ValuationRatios.PERatio); lastSelectedSymbols = pe.Take(NumberOfSymbolsFine).Select(x => x.Symbol); Debug("selected symbols: " + string.Join(" ", lastSelectedSymbols.Select(x => x.Value))); // we need to return only the symbol objects return lastSelectedSymbols; } //Data Event Handler: New data arrives here. "TradeBars" type is a dictionary of strings so you can access it by symbol. public override void OnData(Slice slice) { Debug($"Security changes: {_changes}"); if (_changes != SecurityChanges.None) { rebalance(); _changes = SecurityChanges.None; } } // this event fires whenever we have changes to our universe public override void OnSecuritiesChanged(SecurityChanges changes) { _changes = changes; /* if (changes.AddedSecurities.Count > 0) { Debug("Securities added: " + string.Join(",", changes.AddedSecurities.Select(x => x.Symbol.Value))); } if (changes.RemovedSecurities.Count > 0) { Debug("Securities removed: " + string.Join(",", changes.RemovedSecurities.Select(x => x.Symbol.Value))); }*/ } } }