| Overall Statistics |
|
Total Trades 19 Average Win 3.87% Average Loss -2.72% Compounding Annual Return 6.660% Drawdown 46.400% Expectancy 0.211 Net Profit 189.971% Sharpe Ratio 0.455 Loss Rate 50% Win Rate 50% Profit-Loss Ratio 1.42 Alpha 0.232 Beta -7.863 Annual Standard Deviation 0.17 Annual Variance 0.029 Information Ratio 0.339 Tracking Error 0.17 Treynor Ratio -0.01 Total Fees $48.45 |
# https://quantpedia.com/Screener/Details/15
import pandas as pd
from datetime import datetime
class CountryEquityIndexesMomentumAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2002, 1, 1)
self.SetEndDate(datetime.now())
self.SetCash(100000)
# create a dictionary to store momentum indicators for all symbols
self.data = {}
period = 6*21
# choose ten sector ETFs
self.symbols = ["EWJ", # iShares MSCI Japan Index ETF
"EZU", # iShares MSCI Eurozone ETF
"EFNL", # iShares MSCI Finland Capped Investable Market Index ETF
"EWW", # iShares MSCI Mexico Inv. Mt. Idx
"ERUS", # iShares MSCI Russia ETF
"IVV", # iShares S&P 500 Index
"ICOL", # Consumer Discretionary Select Sector SPDR Fund
"AAXJ", # iShares MSCI All Country Asia ex Japan Index ETF
"AUD", # Australia Bond Index Fund
"EWQ", # iShares MSCI France Index ETF
"BUND", # Pimco Germany Bond Index Fund
"EWH", # iShares MSCI Hong Kong Index ETF
"EPI", # WisdomTree India Earnings ETF
"EIDO" # iShares MSCI Indonesia Investable Market Index ETF
"EWI", # iShares MSCI Italy Index ETF
"GAF", # SPDR S&P Emerging Middle East & Africa ETF
"ENZL", # iShares MSCI New Zealand Investable Market Index Fund
"NORW" # Global X FTSE Norway 30 ETF
"EWY", # iShares MSCI South Korea Index ETF
"EWP", # iShares MSCI Spain Index ETF
"EWD", # iShares MSCI Sweden Index ETF
"EWL", # iShares MSCI Switzerland Index ETF
"GXC", # SPDR S&P China ETF
"EWC", # iShares MSCI Canada Index ETF
"EWZ", # iShares MSCI Brazil Index ETF
"ARGT", # Global X FTSE Argentina 20 ETF
"AND", # Global X FTSE Andean 40 ETF
"AIA", # iShares S&P Asia 50 Index ETF
"EWO", # iShares MSCI Austria Investable Mkt Index ETF
"EWK", # iShares MSCI Belgium Investable Market Index ETF
"BRAQ", # Global X Brazil Consumer ETF
"ECH", # iShares MSCI Chile Investable Market Index ETF
"CHIB", # Global X China Technology ETF
"EGPT", # Market Vectors Egypt Index ETF
"ADRU"] # BLDRS Europe 100 ADR Index ETF
for symbol in self.symbols:
self.AddEquity(symbol, Resolution.Daily)
def OnData(self, data):
if not self.Portfolio.Invested:
for symbol in self.symbols:
self.SetHoldings(symbol, 1/len(self.symbols))