Overall Statistics
Total Trades
261
Average Win
2.43%
Average Loss
-2.10%
Compounding Annual Return
2.191%
Drawdown
31.100%
Expectancy
0.094
Net Profit
19.800%
Sharpe Ratio
0.188
Probabilistic Sharpe Ratio
0.473%
Loss Rate
49%
Win Rate
51%
Profit-Loss Ratio
1.16
Alpha
-0.055
Beta
0.693
Annual Standard Deviation
0.186
Annual Variance
0.035
Information Ratio
-0.592
Tracking Error
0.16
Treynor Ratio
0.051
Total Fees
$1513.40
import operator
from math import ceil,floor


class Stockpicking(QCAlgorithm):

    def Initialize(self):
        
        # training period
        self.SetStartDate(2009,1,2)  # Set Start Date
        self.SetEndDate(2017,5,2)    # Set End Date
        # testing period
        #self.SetStartDate(2018,1,1)
        self.SetCash(50000)    # Set Strategy Cash
        #self.Settings.FreePortfolioValuePercentage=0.2 # reserved cash buffer
        self.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage) # for stock trading
        ###################
        self.CoarseSize = 300   # number of stocks in selected coarse universe
        self.FineSize = 10   # number of stocks in selected fine universe
        self.num_portfolios = 6
        benchmark="SPY"
        #########################
        # control flags
        self.flags={ # use dictionary to only transfer reference and keep unique value
            'rebalance': True, # monthly rebalance of coarse and fine selection function
            'fineSelected': False, # monthly rebalance of OnData function
            'num_rebalanced': 0 # record the number of rebalancing times
        }
        self.last_rebalance=self.Time
        # auto initialization
        self.AddEquity(benchmark) # schedule symbol
        self.SetBenchmark(benchmark)
        self.AddUniverse(self.SelectCoarse, self.SelectFine)
        # universe selection happens only at midnight and cannot be changed
        # the resolution that added assets use
        self.UniverseSettings.Resolution = Resolution.Minute # there is no resolution above daily, use schedule instead
        self.Schedule.On(self.DateRules.MonthStart(benchmark), self.TimeRules.AfterMarketOpen(benchmark), Action(self.Rebalancing))
        self.AddAlpha(SpAlpha(self.flags,benchmark))
        self.SetPortfolioConstruction(SpPortfolio())
        self.SetExecution(SpExecution())


    def SelectCoarse(self, coarse):
        if self.flags['rebalance']:
            CoarseWithFundamental = [x for x in coarse if x.HasFundamentalData]
            sortedByDollarVolume = sorted(CoarseWithFundamental, key=lambda x: x.DollarVolume, reverse=True) 
            top = sortedByDollarVolume[:self.CoarseSize]
            return [c.Symbol for c in top]
        else:
            return Universe.Unchanged


    def SelectFine(self, fine):
        if self.flags['rebalance']:
            self.flags['rebalance'] = False
            self.flags['fineSelected'] = True
            
            # filter the fine by deleting equities wit zero factor value
            filtered = [x for x in fine if x.EarningReports.TotalDividendPerShare.ThreeMonths
                                            and x.ValuationRatios.PriceChange1M 
                                            and x.ValuationRatios.BookValuePerShare
                                            and x.ValuationRatios.FCFYield]
    
            sortedByfactor1 = sorted(filtered, key=lambda x: x.EarningReports.TotalDividendPerShare.ThreeMonths, reverse=True) # descending
            sortedByfactor2 = sorted(filtered, key=lambda x: x.ValuationRatios.PriceChange1M, reverse=False)
            sortedByfactor3 = sorted(filtered, key=lambda x: x.ValuationRatios.BookValuePerShare, reverse=True)
            sortedByfactor4 = sorted(filtered, key=lambda x: x.ValuationRatios.FCFYield, reverse=True)
            
            num_stocks = floor(len(filtered)/self.num_portfolios)
        
            stock_dict = {}
            
            for i,ele in enumerate(sortedByfactor1):
                rank1 = i
                rank2 = sortedByfactor2.index(ele)
                rank3 = sortedByfactor3.index(ele)
                rank4 = sortedByfactor4.index(ele)
                score = [ceil(rank1/num_stocks),
                         ceil(rank2/num_stocks),
                         ceil(rank3/num_stocks),
                         ceil(rank4/num_stocks)]
                score = sum(score)
                stock_dict[ele] = score
            #self.Log("score" + str(score))
            self.sorted_stock = sorted(stock_dict.items(), key=lambda d:d[1],reverse=True)
            sorted_symbol = [self.sorted_stock[i][0] for i in range(len(self.sorted_stock))]
            topFine = sorted_symbol[:self.FineSize]

            self.flags['num_rebalanced'] += 1            
            
            selection=[i.Symbol for i in topFine]
            tickers=[i.Value for i in selection]
            
            return selection

        else:
            return Universe.Unchanged


    def OnData(self, data):
        pass

    # this event fires whenever we have changes to our universe
    def OnSecuritiesChanged(self, changes):
        for security in changes.RemovedSecurities:
            if security.Invested:
                self.Liquidate(security.Symbol)
    
    def Rebalancing(self):
        if self.Time-self.last_rebalance > timedelta(days=20):
            self.last_rebalance=self.Time
            self.flags['rebalance'] = True

####################################################
# Algorithm framework model that produces insights #
####################################################
class SpAlpha(AlphaModel):
    
    def __init__(self,flags,benchmark):
        self.Name='StockpickingAlpha'
        self.flags=flags # global control flags input as reference
        self.changes = None # securities changes
        self.benchmark=benchmark

    def Update(self, algorithm, slice):
         # Updates this alpha model with the latest data from the algorithm.
         # This is called each time the algorithm receives data for subscribed securities
         # Generate insights on the securities in the universe.
        insights = []
         
        if self.changes != None and self.flags['fineSelected'] and self.flags['num_rebalanced'] > 0 :
            self.flags['fineSelected'] = False
            # purchase added securities
            for security in self.changes.AddedSecurities:
                if security.Symbol.Value!=self.benchmark:
                    insights.append(
                            Insight.Price(security.Symbol, 
                                timedelta(days = 30), 
                                InsightDirection.Up, 
                                None, 
                                None, 
                                self.Name ) )
            self.changes = None
            
        return insights

    def OnSecuritiesChanged(self, algorithm, changes):
         # Handle security changes in from your universe model.
        self.changes=changes

################################
# Portfolio construction model #
################################
class SpPortfolio(PortfolioConstructionModel):
    
    def __init__(self):
        self.changes = None # securities changes

    # Create list of PortfolioTarget objects from Insights
    def CreateTargets(self, algorithm, insights):
        
        targets=[]
        
        if self.changes != None:
            for Insight in insights:
                if Insight.Direction == InsightDirection.Up:
                    targets.append(PortfolioTarget.Percent(algorithm, Insight.Symbol, 
                                    0.8/float(len(self.changes.AddedSecurities))))
            self.changes = None
        
        return [t for t in targets if t is not None]

    # OPTIONAL: Security change details
    def OnSecuritiesChanged(self, algorithm, changes):
        # Security additions and removals are pushed here.
        # This can be used for setting up algorithm state.
        # changes.AddedSecurities:
        # changes.RemovedSecurities:
        self.changes=changes

###################
# Execution Model #
###################
class SpExecution:
    
    def __init__(self):
        pass
    
    # Fill the supplied portfolio targets efficiently
    def Execute(self, algorithm, targets):
        for Target in targets:
            ###############
            # open position
            algorithm.MarketOrder(Target.Symbol, Target.Quantity, True) # False: wait till filled

    # Optional: Securities changes event for handling new securities.
    def OnSecuritiesChanged(self, algorithm, changes):
        pass