Overall Statistics |
Total Trades 9594 Average Win 0.46% Average Loss -0.46% Compounding Annual Return 1.054% Drawdown 37.900% Expectancy 0.017 Net Profit 22.583% Sharpe Ratio 0.138 Probabilistic Sharpe Ratio 0.001% Loss Rate 49% Win Rate 51% Profit-Loss Ratio 1.00 Alpha 0.015 Beta -0.014 Annual Standard Deviation 0.099 Annual Variance 0.01 Information Ratio -0.386 Tracking Error 0.202 Treynor Ratio -1.006 Total Fees $6704.74 Estimated Strategy Capacity $300000.00 Lowest Capacity Asset EWA R735QTJ8XC9X |
# https://quantpedia.com/strategies/betting-against-beta-factor-in-country-equity-indexes/ # # The investment universe consists of all country ETFs. The beta for each country is calculated with respect to the MSCI US # Equity Index using a 1-year rolling window. ETFs are then ranked in ascending order based on their estimated beta. The ranked # ETFs are assigned to one of two portfolios: low beta and high beta. Securities are weighted by the ranked betas, and the portfolios # are rebalanced every calendar month. Both portfolios are rescaled to have a beta of one at portfolio formation. The “Betting-Against-Beta” # is the zero-cost zero-beta portfolio that is long on the low-beta portfolio and that shorts the high-beta portfolio. There are a lot of # simple modifications (like going long on the bottom beta decile and short on the top beta decile), which could probably improve the strategy’s performance. import numpy as np from collections import deque class BettingAgainstBetaFactorinInternationalEquities(QCAlgorithm): def Initialize(self): self.SetStartDate(2002, 2, 1) self.SetCash(100000) self.countries = [ "EWA", # iShares MSCI Australia Index ETF "EWO", # iShares MSCI Austria Investable Mkt Index ETF "EWK", # iShares MSCI Belgium Investable Market Index ETF "EWZ", # iShares MSCI Brazil Index ETF "EWC", # iShares MSCI Canada Index ETF "FXI", # iShares China Large-Cap ETF "EWQ", # iShares MSCI France Index ETF "EWG", # iShares MSCI Germany ETF "EWH", # iShares MSCI Hong Kong Index ETF "EWI", # iShares MSCI Italy Index ETF "EWJ", # iShares MSCI Japan Index ETF "EWM", # iShares MSCI Malaysia Index ETF "EWW", # iShares MSCI Mexico Inv. Mt. Idx "EWN", # iShares MSCI Netherlands Index ETF "EWS", # iShares MSCI Singapore Index ETF "EZA", # iShares MSCI South Africe Index ETF "EWY", # iShares MSCI South Korea ETF "EWP", # iShares MSCI Spain Index ETF "EWD", # iShares MSCI Sweden Index ETF "EWL", # iShares MSCI Switzerland Index ETF "EWT", # iShares MSCI Taiwan Index ETF "THD", # iShares MSCI Thailand Index ETF "EWU", # iShares MSCI United Kingdom Index ETF ] self.leverage_cap = 5 # Daily price data. self.data = {} self.period = 12 * 21 self.symbol = 'SPY' for symbol in self.countries + [self.symbol]: data = self.AddEquity(symbol, Resolution.Daily) data.SetFeeModel(CustomFeeModel(self)) data.SetLeverage(15) self.data[symbol] = RollingWindow[float](self.period) self.Schedule.On(self.DateRules.MonthStart(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Rebalance) def OnData(self, data): for symbol in self.data: symbol_obj = self.Symbol(symbol) if symbol_obj in data.Keys: if data[symbol_obj]: price = data[symbol_obj].Value if price != 0: self.data[symbol].Add(price) def Rebalance(self): beta = {} for symbol in self.countries: # Data is ready. if self.data[self.symbol].IsReady and self.data[symbol].IsReady: market_closes = np.array([x for x in self.data[self.symbol]]) asset_closes = np.array([x for x in self.data[symbol]]) market_returns = (market_closes[1:] - market_closes[:-1]) / market_closes[:-1] asset_returns = (asset_closes[1:] - asset_closes[:-1]) / asset_closes[:-1] cov = np.cov(asset_returns, market_returns)[0][1] market_variance = np.var(market_returns) beta[symbol] = cov / market_variance weight = {} if len(beta) != 0: # Beta diff calc. beta_median = np.median([x[1] for x in beta.items()]) long_diff = [(x[0], abs(beta_median - x[1])) for x in beta.items() if x[1] < beta_median] short_diff = [(x[0], abs(beta_median - x[1])) for x in beta.items() if x[1] > beta_median] # Beta rescale. long_portfolio_beta = np.mean([beta[x[0]] for x in long_diff]) long_leverage = 1 / long_portfolio_beta short_portfolio_beta = np.mean([beta[x[0]] for x in short_diff]) short_leverage = 1 / short_portfolio_beta # Cap long and short leverage. long_leverage = min(self.leverage_cap, long_leverage) long_leverage = max(-self.leverage_cap, long_leverage) short_leverage = min(self.leverage_cap, short_leverage) short_leverage = max(-self.leverage_cap, short_leverage) # self.Log(f"long: {long_leverage}; short: {short_leverage}") total_long_diff = sum([x[1] for x in long_diff]) total_short_diff = sum([x[1] for x in short_diff]) # Beta diff weighting. weight = {} for symbol, diff in long_diff: weight[symbol] = (diff / total_long_diff) * long_leverage for symbol, diff in short_diff: weight[symbol] = - (diff / total_short_diff) * short_leverage # Trade execution. invested = [x.Key for x in self.Portfolio if x.Value.Invested] for symbol in invested: if symbol not in weight: self.Liquidate(symbol) for symbol, w in weight.items(): if self.Securities[symbol].IsTradable and self.Securities[symbol].Price != 0: self.SetHoldings(symbol, w) # Custom fee model. class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005 return OrderFee(CashAmount(fee, "USD"))