Overall Statistics |

Total Trades 29517 Average Win 0.00% Average Loss -0.01% Compounding Annual Return 1.578% Drawdown 12.600% Expectancy 0.018 Net Profit 9.206% Sharpe Ratio 0.302 Probabilistic Sharpe Ratio 3.338% Loss Rate 44% Win Rate 56% Profit-Loss Ratio 0.80 Alpha 0.014 Beta 0.003 Annual Standard Deviation 0.046 Annual Variance 0.002 Information Ratio -0.538 Tracking Error 0.174 Treynor Ratio 4.542 Total Fees $0.00 |

import pandas as pd from dateutil.relativedelta import relativedelta class ROCAndNearness: """ This class manages the historical data for a symbol and calculates the ROC and Nearness factors. """ def __init__(self, symbol, algorithm, roc_lookback_months, nearness_lookback_months): """ Input: - symbol Symbol to apply this indicator to - algorithm Algorithm instance running the backtest - roc_lookback_months Number of trailing months to calculate the rate of change over (> 0) - nearness_lookback_months Number of trailing months to calculate the nearness factor over (> 0) """ self.symbol = symbol self.algorithm = algorithm self.roc_lookback_months = roc_lookback_months self.nearness_lookback_months = nearness_lookback_months self.lookback_months = max(roc_lookback_months, nearness_lookback_months) # Warm up history self.warm_up_history(symbol, algorithm) # Setup indicator consolidator self.consolidator = TradeBarConsolidator(timedelta(1)) self.consolidator.DataConsolidated += self.CustomDailyHandler algorithm.SubscriptionManager.AddConsolidator(self.symbol, self.consolidator) def CustomDailyHandler(self, sender, consolidated): """ Updates the rolling lookback window with the latest data. Inputs - sender Function calling the consolidator - consolidated Tradebar representing the latest completed trading day """ # Add new data point to history if consolidated.Time not in self.history.index: row = pd.DataFrame({'open': consolidated.Open, 'high': consolidated.High, 'close': consolidated.Close}, index=[consolidated.Time]) self.history = self.history.append(row) # Remove expired history start_lookback = Expiry.EndOfMonth(self.algorithm.Time) - relativedelta(months=self.lookback_months + 1) self.history = self.history[self.history.index >= start_lookback] def dispose(self): """ Removes the monthly conoslidator. """ self.algorithm.SubscriptionManager.RemoveConsolidator(self.symbol, self.consolidator) def warm_up_history(self, symbol, algorithm): """ Warms up the `historical_prices_by_symbol` dictionary with historical data as far back as the earliest lookback window. Input: - symbol Symbol that needs history warm up - algorithm Algorithm instance running the backtest """ # Get the historical data start_lookback = Expiry.EndOfMonth(algorithm.Time) - relativedelta(months=self.lookback_months + 1) history = algorithm.History([symbol], start_lookback, algorithm.Time, Resolution.Daily) # Rollback history timestamp by 1 day to ensure accurate monthly ROC values if history.shape[0] > 0: history = history.unstack(level=0) history = history.set_index(history.index.map(lambda x: x - timedelta(days=1))).stack().swaplevel() self.history = history.loc[symbol, ['open', 'high', 'close']] if symbol in history.index else pd.DataFrame() @property def IsReady(self): """ Boolean to signal if the symbol has sufficient history to fill the ROC lookback window. """ return self.get_lookback(self.roc_lookback_months).shape[0] > 1 @property def roc(self): """ Calculates the rate of change over the ROC lookback window. """ lookback = self.get_lookback(self.roc_lookback_months) start_price = lookback.iloc[0].open end_price = lookback.iloc[-1].close return (end_price - start_price) / start_price @property def nearness(self): """ Calculates how close the closing price of the nearness lookback window was to its maximum price. """ lookback = self.get_lookback(self.nearness_lookback_months) return lookback.iloc[-1].close / lookback.high.max() def get_lookback(self, num_months): """ Slices the historical data into the trailing `num_months` months. Input: - num_months Number of trailing months in the lookback window Returns DataFrame containing data for the lookback window. """ start_lookback = Expiry.EndOfMonth(self.algorithm.Time) - relativedelta(months=num_months + 1) end_lookback = Expiry.EndOfMonth(self.algorithm.Time) - relativedelta(months=1) return self.history[(self.history.index >= start_lookback) & (self.history.index < end_lookback)]

import pandas as pd from dateutil.relativedelta import relativedelta from ROCAndNearness import ROCAndNearness class ROCAndNearnessAlphaModel(AlphaModel): """ This class ranks securities in the universe by their historical rate of change and nearness to trailing highs. """ symbol_data_by_symbol = {} month = -1 def __init__(self, roc_lookback_months=6, nearness_lookback_months=12, holding_months=6, pct_long_short=25): """ Input: - roc_lookback_months Number of trailing months to calculate the rate of change over (> 0) - nearness_lookback_months Number of trailing months to calculate the nearness factor over (> 0) - holding_months Number of months to hold positions (> 0) - pct_long_short The percentage of the universe we go long and short (0 < pct_long_short <= 50) """ if roc_lookback_months <= 0 or nearness_lookback_months <= 0 or holding_months <= 0: algorithm.Quit(f"Requirement violated: roc_lookback_months > 0 and nearness_lookback_months > 0 and holding_months > 0") if pct_long_short <= 0 or pct_long_short > 50: algorithm.Quit(f"Requirement violated: 0 < pct_long_short <= 50") self.roc_lookback_months = roc_lookback_months self.nearness_lookback_months = nearness_lookback_months self.holding_months = holding_months self.pct_long_short = pct_long_short def Update(self, algorithm, data): """ Called each time our alpha model receives a new data slice. Input: - algorithm Algorithm instance running the backtest - data A data structure for all of an algorithm's data at a single time step Returns a list of Insights to the portfolio construction model """ # Emit insights on a monthly basis time = algorithm.Time if self.month == time.month: return [] self.month = time.month # Rank symbols. A higher rank (or index in the list) is associated with relatively greater rate of change # over the roc lookback window and a closer closing price to the max price in the nearness lookback window ranking_df = pd.DataFrame() for symbol, symbol_data in self.symbol_data_by_symbol.items(): if data.ContainsKey(symbol) and symbol_data.IsReady: row = pd.DataFrame({'ROC': symbol_data.roc, 'Nearness': symbol_data.nearness}, index=[symbol]) ranking_df = ranking_df.append(row) ranked_symbols = ranking_df.rank().sum(axis=1).sort_values().index # Generate insights to form a balanced long-short portfolio insights = [] num_long_short = int(len(ranked_symbols) * (self.pct_long_short / 100)) if num_long_short > 0: hold_duration = Expiry.EndOfMonth(time) + relativedelta(months=self.holding_months-1, seconds=-1) for symbol in ranked_symbols[-num_long_short:]: insights.append(Insight.Price(symbol, hold_duration, InsightDirection.Up)) for symbol in ranked_symbols[:num_long_short]: insights.append(Insight.Price(symbol, hold_duration, InsightDirection.Down)) return insights def OnSecuritiesChanged(self, algorithm, changes): """ Called each time our universe has changed. Input: - algorithm Algorithm instance running the backtest - changes The additions and subtractions to the algorithm's security subscriptions """ for added in changes.AddedSecurities: roc_and_nearness = ROCAndNearness(added.Symbol, algorithm, self.roc_lookback_months, self.nearness_lookback_months) self.symbol_data_by_symbol[added.Symbol] = roc_and_nearness for removed in changes.RemovedSecurities: symbol_data = self.symbol_data_by_symbol.pop(removed.Symbol, None) if symbol_data: symbol_data.dispose()

from Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel class AssetManagementUniverseSelection(FundamentalUniverseSelectionModel): """ This universe selection model refreshes monthly to contain US securities in the asset management industry. """ def __init__(self): self.month = -1 super().__init__(True) def SelectCoarse(self, algorithm, coarse): """ Coarse universe selection is called each day at midnight. Input: - algorithm Algorithm instance running the backtest - coarse List of CoarseFundamental objects Returns the symbols that have fundamental data. """ if self.month == algorithm.Time.month: return Universe.Unchanged return [x.Symbol for x in coarse if x.HasFundamentalData] def SelectFine(self, algorithm, fine): """ Fine universe selection is performed each day at midnight after `SelectCoarse`. Input: - algorithm Algorithm instance running the backtest - fine List of FineFundamental objects that result from `SelectCoarse` processing Returns a list of symbols that are in the asset management industry. """ self.month = algorithm.Time.month return [f.Symbol for f in fine if f.AssetClassification.MorningstarIndustryCode == MorningstarIndustryCode.AssetManagement]

class NetDirectionWeightedPortfolioConstructionModel(PortfolioConstructionModel): """ This PCM allocates its portfolio based on the net direction of insights for all the symbols. A symbol that has two active insights with an up direction will have twice the allocation than a symbol with only one. Additionally, a symbol that has an up active insight and a down active insight will have no position. This PCM doesn't liquidate securities when they are removed from the universe. If it's removed from the universe, it will remain invested until all the security's insights expire. """ insights = [] month = -1 def CreateTargets(self, algorithm, insights): """ Called each time the alpha model emits a list of insights. Input: - algorithm Algorithm instance running the backtest - insights List of insights Returns a list of portfolio targets. """ for i in insights: self.insights.append(i) if self.month == algorithm.Time.month: return [] self.month = algorithm.Time.month # Remove insights of delisted symbols self.insights = [i for i in self.insights if algorithm.Securities[i.Symbol].IsTradable] # Classify insights active_insights = [] expired_insights = [] while (len(self.insights) > 0): insight = self.insights.pop() (active_insights if insight.IsActive(algorithm.UtcTime) else expired_insights).append(insight) self.insights = active_insights # Liquidate symbols that have expired insights with no active insights active_symbols = set([i.Symbol for i in active_insights]) expired_symbols = set([i.Symbol for i in expired_insights]) liquidate_symbols = expired_symbols.difference(active_symbols) portfolio_targets = [PortfolioTarget.Percent(algorithm, symbol, 0) for symbol in liquidate_symbols] # Get net direction by symbol and total number of directional insights net_direction_by_symbol, num_directional_insights = self.get_net_direction(active_insights) # Create portfolio targets for active symbols for symbol, net_direction in net_direction_by_symbol.items(): percent = 0 if num_directional_insights == 0 else net_direction / num_directional_insights portfolio_targets.append( PortfolioTarget.Percent(algorithm, symbol, percent) ) return portfolio_targets def get_net_direction(self, insights): """ Determines the net direction of each symbol and the number of active directional insights. Input: - insights A list of active insights Returns a dictionary showing the net direction of each symbol, and the number of directional insights. """ net_direction_by_symbol = {} num_directional_insights = 0 for insight in insights: symbol = insight.Symbol direction = insight.Direction if symbol in net_direction_by_symbol: net_direction_by_symbol[symbol] += direction else: net_direction_by_symbol[symbol] = direction num_directional_insights += abs(direction) return net_direction_by_symbol, num_directional_insights

# 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. from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from AssetManagementUniverseSelection import AssetManagementUniverseSelection from ROCAndNearnessAlphaModel import ROCAndNearnessAlphaModel from NetDirectionWeightedPortfolioConstructionModel import NetDirectionWeightedPortfolioConstructionModel class AssetManagementFirmMomentum(QCAlgorithm): def Initialize(self): self.SetStartDate(2015, 1, 1) self.SetEndDate(2020, 8, 16) self.SetCash(1000000) self.UniverseSettings.Resolution = Resolution.Daily self.SetUniverseSelection(AssetManagementUniverseSelection()) self.SetAlpha(ROCAndNearnessAlphaModel()) self.SetPortfolioConstruction(NetDirectionWeightedPortfolioConstructionModel()) self.SetExecution(ImmediateExecutionModel()) self.SetSecurityInitializer(self.CustomSecurityInitializer) def CustomSecurityInitializer(self, security): security.SetFeeModel(ConstantFeeModel(0)) security.SetSlippageModel(ConstantSlippageModel(0)) security.SetFillModel(NoBidAskSpreadModel()) class NoBidAskSpreadModel(FillModel): def MarketFill(self, asset, order): fill = super().MarketFill(asset, order) # Set fill price to last traded price fill.FillPrice = asset.Price return fill