Overall Statistics
Total Trades
83
Average Win
8.38%
Average Loss
-3.75%
Compounding Annual Return
9.871%
Drawdown
19.200%
Expectancy
0.859
Net Profit
271.257%
Sharpe Ratio
0.662
Probabilistic Sharpe Ratio
6.598%
Loss Rate
42%
Win Rate
58%
Profit-Loss Ratio
2.23
Alpha
0.087
Beta
0.039
Annual Standard Deviation
0.137
Annual Variance
0.019
Information Ratio
-0.014
Tracking Error
0.224
Treynor Ratio
2.302
Total Fees
$83.00
 
class MomentumBasedTacticalAllocation(QCAlgorithm):
    
    def Initialize(self):
        
        self.SetStartDate(2007, 1,1) 
        self.SetEndDate(2020,12,1)  
        self.SetCash(3000)  
        
        self.spy = self.AddEquity("SPY", Resolution.Daily)  
        self.bnd = self.AddEquity("TLT", Resolution.Daily)
        self.eem = self.AddEquity("EEM",Resolution.Daily)
      
        self.spyMomentum30 = self.MOMP("SPY", 30, Resolution.Daily)
        self.spyMomentum60 = self.MOMP("SPY", 60, Resolution.Daily)
        self.spyMomentum90 = self.MOMP("SPY", 90, Resolution.Daily)
        
        
        
        self.bondMomentum30 = self.MOMP("TLT", 30, Resolution.Daily) 
        self.bondMomentum60 = self.MOMP("TLT", 60, Resolution.Daily)
        self.bondMomentum90 = self.MOMP("TLT", 90, Resolution.Daily)
        
        
        self.eemMomentum30 = self.MOMP("EEM", 30, Resolution.Daily)
        self.eemMomentum60 = self.MOMP("EEM", 60, Resolution.Daily)
        self.eemMomentum90 = self.MOMP("EEM", 90, Resolution.Daily)
        
        
        self.SetBenchmark(self.spy.Symbol)  
        self.SetWarmUp(90)
        self.last_month = -1
  
    def OnData(self, data):
        
        spyavg = (self.spyMomentum30.Current.Value+self.spyMomentum60.Current.Value+self.spyMomentum90.Current.Value)/3
        bndavg = (self.bondMomentum30.Current.Value+self.bondMomentum60.Current.Value+self.bondMomentum90.Current.Value)/3
        eemavg = (self.eemMomentum30.Current.Value+self.eemMomentum60.Current.Value+self.eemMomentum90.Current.Value)/3
        
        if self.IsWarmingUp:
            return
        
        #1. Limit trading to happen once per month
        if self.Time.month == self.last_month:
            return
        
        if spyavg > eemavg > bndavg:
           self.Liquidate("TLT")
           self.Liquidate("EEM")
           self.SetHoldings("SPY", 1)
            
        else: 
              if eemavg > spyavg > bndavg:
                 self.Liquidate("TLT")
                 self.Liquidate("EEM")
                 self.SetHoldings("SPY", 1)
        
              else:
                 self.Liquidate("SPY")
                 self.Liquidate("EEM")
                 self.SetHoldings("TLT", 1)
                 
        self.last_month = self.Time.month
        
        return