Overall Statistics
Total Trades
1291
Average Win
0.00%
Average Loss
0.00%
Compounding Annual Return
0.039%
Drawdown
0.200%
Expectancy
0.126
Net Profit
0.201%
Sharpe Ratio
0.252
Probabilistic Sharpe Ratio
2.815%
Loss Rate
56%
Win Rate
44%
Profit-Loss Ratio
1.55
Alpha
0
Beta
0
Annual Standard Deviation
0.001
Annual Variance
0
Information Ratio
-0.747
Tracking Error
0.168
Treynor Ratio
-3.929
Total Fees
$15.13
import pywt
import numpy as np
from sklearn.svm import SVR
from sklearn.model_selection import GridSearchCV

def forecast(data):
    '''
    Decomposes 1-D array "data" into multiple components using Discrete Wavelet Transform,
    denoises each component using thresholding, 
    use Support Vector Regression (SVR) to forecast each component,
    recombine components for aggregate forecast

    returns: the value of the aggregate forecast 1 time-step into the future
    '''

    w = pywt.Wavelet('sym10')  # Daubechies/Symlets are good choices for denoising 
    
    threshold = 0.5

    # Decompose into wavelet components
    coeffs = pywt.wavedec(data, w)
    
    # if we want at least 3 levels (components), solve for:
    #   log2(len(data) / wave_length - 1) >= 3
    #   in this case, since we wave_length(sym10) == 20, after solving we get len(data) >= 152,
    #   hence why our RollingWindow is of length 152 in main.py

    for i in range(len(coeffs)):
        if i > 0:
            # we don't want to threshold the approximation coefficients
            coeffs[i] = pywt.threshold(coeffs[i], threshold*max(coeffs[i]))
        forecasted = __svm_forecast(coeffs[i])
        coeffs[i] = np.roll(coeffs[i], -1)
        coeffs[i][-1] = forecasted
        
    datarec = pywt.waverec(coeffs, w)
    return datarec[-1]

def __svm_forecast(data, sample_size=10):
    '''
    Paritions "data" and fits an SVM model to this data, then forecasts the
    value one time-step into the future
    '''
    X, y = __partition_array(data, size=sample_size)

    param_grid = {'C': [.05, .1, .5, 1, 5, 10], 'epsilon': [0.001, 0.005, 0.01, 0.05, 0.1]}
    gsc = GridSearchCV(SVR(), param_grid, scoring='neg_mean_squared_error')
    
    model = gsc.fit(X, y).best_estimator_

    return model.predict(data[np.newaxis, -sample_size:])[0]
    
def __partition_array(arr, size=None, splits=None):
    '''
    partitions 1-D array "arr" in a Rolling fashion if "size" is specified, 
    else, divides the into "splits" pieces

    returns: list of paritioned arrays, list of the values 1 step ahead of each partitioned array
    '''

    arrs = []
    values = []

    if not (bool(size is None) ^ bool(splits is None)):
        raise ValueError('Size XOR Splits should not be None')

    if size:
        arrs = [arr[i:i + size] for i in range(len(arr) - size)]
        values = [arr[i] for i in range(size, len(arr))]

    elif splits:
        size = len(arr) // splits
        if len(arr) % size == 0:
            arrs = [arr[i:i + size] for i in range(size - 1, len(arr) - 1, size)]
            values = [arr[i] for i in range(2 * size - 1, len(arr), size)]
        else:
            arrs = [arr[i:i + size] for i in range(len(arr) % size - 1, len(arr) - 1, size)]
            values = [arr[value].iloc[i] for i in range(len(arr) % size + size - 1, len(arr), size)]

    return np.array(arrs), np.array(values)
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2020 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.

import SVMWavelet as svmw
import numpy as np

class OptimizedUncoupledRegulators(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2015, 9, 20)  # Set Start Date
        self.SetCash(1000000)  # Set Strategy Cash
        
        period = 152
        
        self.SetBrokerageModel(AlphaStreamsBrokerageModel())
        self.SetPortfolioConstruction(InsightWeightingPortfolioConstructionModel(lambda time: None))
        self.SetAlpha(SVMWaveletAlphaModel(period))
        
        # 1549 data points with FXCM, 1560 data points with Oanda
        self.AddForex('EURJPY', Resolution.Daily, Market.Oanda)
        
class SVMWaveletAlphaModel(AlphaModel):
    def __init__(self, period):
        self.period = period
        self.closes = {}
        
    def Update(self, algorithm, data):
        for symbol, closes in self.closes.items():
            if data.Bars.ContainsKey(symbol):
                closes.Add(data[symbol].Close)
       
        insights = []
        
        for symbol, closes in self.closes.items():
            recent_close = closes[0]
            forecasted_value = svmw.forecast(np.array(list(closes))[::-1])
            
            # if the sums of the weights > 1, IWPCM normalizes the sum to 1, which
            #   means we don't need to worry about normalizing them
            weight = (forecasted_value / recent_close) - 1
            
            insightDirection = InsightDirection.Flat
            
            if weight > 0.005:
                insightDirection = InsightDirection.Up
            elif weight < -0.005:
                insightDirection = InsightDirection.Down
            
            insights.append(Insight.Price(symbol, timedelta(1), insightDirection, None, None, None, abs(weight)))
        
        return insights
  
    def OnSecuritiesChanged(self, algorithm, changed):
        for security in changed.AddedSecurities:
            symbol = security.Symbol
            self.closes[symbol] = RollingWindow[float](self.period)
            
            hist_data = algorithm.History(symbol, self.period, Resolution.Daily).loc[symbol]
            for _, row in hist_data.iterrows():
                self.closes[symbol].Add(row['close'])
        
        for security in changed.RemovedSecurities:
            self.closes.pop(security.Symbol)