Overall Statistics |

# https://quantpedia.com/strategies/time-series-momentum-effect/ # # The investment universe consists of 24 commodity futures, 12 cross-currency pairs (with 9 underlying currencies), 9 developed equity indices, and 13 developed # government bond futures. # Every month, the investor considers whether the excess return of each asset over the past 12 months is positive or negative and goes long on the contract if it is # positive and short if negative. The position size is set to be inversely proportional to the instrument’s volatility. A univariate GARCH model is used to estimated # ex-ante volatility in the source paper. However, other simple models could probably be easily used with good results (for example, the easiest one would be using # historical volatility instead of estimated volatility). The portfolio is rebalanced monthly. # # QC implementation changes: # - instead of GARCH model volatility, we have used simple historical volatility. from math import sqrt import numpy as np class TimeSeriesMomentum(QCAlgorithm): def Initialize(self): self.SetStartDate(2010, 1, 1) self.SetCash(100000) self.symbols = [ "CME_S1", # Soybean Futures, Continuous Contract "CME_W1", # Wheat Futures, Continuous Contract "CME_SM1", # Soybean Meal Futures, Continuous Contract "CME_BO1", # Soybean Oil Futures, Continuous Contract "CME_C1", # Corn Futures, Continuous Contract "CME_O1", # Oats Futures, Continuous Contract "CME_LC1", # Live Cattle Futures, Continuous Contract "CME_FC1", # Feeder Cattle Futures, Continuous Contract "CME_LN1", # Lean Hog Futures, Continuous Contract "CME_GC1", # Gold Futures, Continuous Contract "CME_SI1", # Silver Futures, Continuous Contract "CME_PL1", # Platinum Futures, Continuous Contract "CME_CL1", # Crude Oil Futures, Continuous Contract "CME_HG1", # Copper Futures, Continuous Contract "CME_LB1", # Random Length Lumber Futures, Continuous Contract "CME_NG1", # Natural Gas (Henry Hub) Physical Futures, Continuous Contract "CME_PA1", # Palladium Futures, Continuous Contract "CME_RR1", # Rough Rice Futures, Continuous Contract "CME_CU1", # Chicago Ethanol (Platts) Futures "CME_DA1", # Class III Milk Futures "CME_RB2", # Gasoline Futures, Continuous Contract "CME_KW2", # Wheat Kansas, Continuous Contract "ICE_RS1", # Canola Futures, Continuous Contract "ICE_GO1", # Gas Oil Futures, Continuous Contract "CME_RB2", # Gasoline Futures, Continuous Contract "CME_KW2", # Wheat Kansas, Continuous Contract "ICE_WT1", # WTI Crude Futures, Continuous Contract "ICE_CC1", # Cocoa Futures, Continuous Contract "ICE_CT1", # Cotton No. 2 Futures, Continuous Contract "ICE_KC1", # Coffee C Futures, Continuous Contract "ICE_O1", # Heating Oil Futures, Continuous Contract "ICE_OJ1", # Orange Juice Futures, Continuous Contract "ICE_SB1", # Sugar No. 11 Futures, Continuous Contract "ICE_RS1", # Canola Futures, Continuous Contract "ICE_GO1", # Gas Oil Futures, Continuous Contract "ICE_WT1", # WTI Crude Futures, Continuous Contract "CME_AD1", # Australian Dollar Futures, Continuous Contract #1 "CME_BP1", # British Pound Futures, Continuous Contract #1 "CME_CD1", # Canadian Dollar Futures, Continuous Contract #1 "CME_EC1", # Euro FX Futures, Continuous Contract #1 "CME_JY1", # Japanese Yen Futures, Continuous Contract #1 "CME_MP1", # Mexican Peso Futures, Continuous Contract #1 "CME_NE1", # New Zealand Dollar Futures, Continuous Contract #1 "CME_SF1", # Swiss Franc Futures, Continuous Contract #1 "ICE_DX1", # US Dollar Index Futures, Continuous Contract #1 "CME_NQ1", # E-mini NASDAQ 100 Futures, Continuous Contract #1 "EUREX_FDAX1", # DAX Futures, Continuous Contract #1 "CME_ES1", # E-mini S&P 500 Futures, Continuous Contract #1 "EUREX_FSMI1", # SMI Futures, Continuous Contract #1 "EUREX_FSTX1", # STOXX Europe 50 Index Futures, Continuous Contract #1 "LIFFE_FCE1", # CAC40 Index Futures, Continuous Contract #1 "LIFFE_Z1", # FTSE 100 Index Futures, Continuous Contract #1 "SGX_NK1", # SGX Nikkei 225 Index Futures, Continuous Contract #1 "CME_MD1", # E-mini S&P MidCap 400 Futures "CME_TY1", # 10 Yr Note Futures, Continuous Contract #1 "CME_FV1", # 5 Yr Note Futures, Continuous Contract #1 "CME_TU1", # 2 Yr Note Futures, Continuous Contract #1 "ASX_XT1", # 10 Year Commonwealth Treasury Bond Futures, Continuous Contract #1 # 'Settlement price' instead of 'settle' on quandl. "ASX_YT1", # 3 Year Commonwealth Treasury Bond Futures, Continuous Contract #1 # 'Settlement price' instead of 'settle' on quandl. "EUREX_FGBL1", # Euro-Bund (10Y) Futures, Continuous Contract #1 "EUREX_FBTP1", # Long-Term Euro-BTP Futures, Continuous Contract #1 "EUREX_FGBM1", # Euro-Bobl Futures, Continuous Contract #1 "EUREX_FGBS1", # Euro-Schatz Futures, Continuous Contract #1 "SGX_JB1", # SGX 10-Year Mini Japanese Government Bond Futures "LIFFE_R1" # Long Gilt Futures, Continuous Contract #1 "MX_CGB1", # Ten-Year Government of Canada Bond Futures, Continuous Contract #1 # 'Settlement price' instead of 'settle' on quandl. ] self.period = 12 * 21 self.SetWarmUp(self.period) self.targeted_volatility = 0.10 # Daily rolled data. self.data = {} for symbol in self.symbols: data = None # Back adjusted and spliced data import. data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily) data.SetFeeModel(CustomFeeModel(self)) data.SetLeverage(20) self.data[symbol] = RollingWindow[float](self.period) self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.BeforeMarketClose(self.symbols[0]), self.Rebalance) def OnData(self, data): # Store daily data. for symbol in self.symbols: if symbol in data and data[symbol]: price = data[symbol].Value if price != 0: self.data[symbol].Add(price) def Rebalance(self): # Performance and volatility data. performance_volatility = {} for symbol in self.symbols: if self.data[symbol].IsReady: back_adjusted_prices = [x for x in self.data[symbol]] performance = back_adjusted_prices[0] / back_adjusted_prices[-1] - 1 back_adjusted_prices = np.array(back_adjusted_prices[-21:]) daily_returns = back_adjusted_prices[:-1] / back_adjusted_prices[1:] - 1 volatility_1M = np.std(daily_returns) * sqrt(252) performance_volatility[symbol] = (performance, volatility_1M) if len(performance_volatility) == 0: return # Performance sorting. long = [x for x in performance_volatility.items() if x[1][0] > 0] short = [x for x in performance_volatility.items() if x[1][0] < 0] # Volatility weighting. total_volatility_inversed = sum([(1 / x[1][1]) for x in long + short]) if total_volatility_inversed == 0: return count = len(long + short) * 2 # Volatility targeting. portfolio_volatility = sum([((x[1][1]) / count) for x in long + short]) volatility_target_leverage = 2 * self.targeted_volatility / portfolio_volatility long_symbols = [x[0] for x in long] short_symbols = [x[0] for x in short] weight = {} for symbol_data in long + short: symbol = symbol_data[0] volatility = symbol_data[1][1] if volatility != 0: # 2x leverage - 100% long / 100% short. final_leverage = 2.0 * volatility_target_leverage # self.Log(f"Leverage: {final_leverage}") if symbol in long_symbols: weight[symbol] = (final_leverage / volatility) / total_volatility_inversed else: weight[symbol] = - (final_leverage / volatility) / total_volatility_inversed else: weight[symbol] = 0 # Trade execution. invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested] for symbol in invested: if symbol not in long_symbols + short_symbols: self.Liquidate(symbol) for symbol, w in weight.items(): self.SetHoldings(symbol, w) # Quantpedia data. # NOTE: IMPORTANT: Data order must be ascending (datewise) class QuantpediaFutures(PythonData): def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv) def Reader(self, config, line, date, isLiveMode): data = QuantpediaFutures() data.Symbol = config.Symbol if not line[0].isdigit(): return None split = line.split(';') data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1) data['back_adjusted'] = float(split[1]) data['spliced'] = float(split[2]) data.Value = float(split[1]) return data # Custom fee model. class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005 return OrderFee(CashAmount(fee, "USD"))