Overall Statistics |
Total Trades 1580 Average Win 0.60% Average Loss -0.69% Compounding Annual Return -9.053% Drawdown 36.400% Expectancy -0.050 Net Profit -27.160% Sharpe Ratio -0.455 Loss Rate 49% Win Rate 51% Profit-Loss Ratio 0.87 Alpha 0.052 Beta -6.701 Annual Standard Deviation 0.169 Annual Variance 0.029 Information Ratio -0.569 Tracking Error 0.169 Treynor Ratio 0.011 Total Fees $2156.23 |
#This is a Template of dynamic stock selection. #You can try your own fundamental factor and ranking method by editing the CoarseSelectionFunction and FineSelectionFunction from QuantConnect.Data.UniverseSelection import * class BasicTemplateAlgorithm(QCAlgorithm): def __init__(self): # set the flag for rebalance self.reb = 1 # Number of stocks to pass CoarseSelection process self.num_coarse = 250 # Number of stocks to long/short self.num_fine = 10 self.symbols = None def Initialize(self): self.SetCash(100000) self.SetStartDate(2015,1,1) # if not specified, the Backtesting EndDate would be today # self.SetEndDate(2017,1,1) self.spy = self.AddEquity("SPY", Resolution.Daily).Symbol self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseSelectionFunction,self.FineSelectionFunction) # Schedule the rebalance function to execute at the begining of each month self.Schedule.On(self.DateRules.MonthStart(self.spy), self.TimeRules.AfterMarketOpen(self.spy,5), Action(self.rebalance)) def CoarseSelectionFunction(self, coarse): # if the rebalance flag is not 1, return null list to save time. if self.reb != 1: return self.long + self.short # make universe selection once a month # drop stocks which have no fundamental data or have too low prices selected = [x for x in coarse if (x.HasFundamentalData) and (float(x.Price) > 5)] sortedByDollarVolume = sorted(selected, key=lambda x: x.DollarVolume, reverse=True) top = sortedByDollarVolume[:self.num_coarse] return [i.Symbol for i in top] def FineSelectionFunction(self, fine): # return null list if it's not time to rebalance if self.reb != 1: return self.long + self.short self.reb = 0 # drop stocks which don't have the information we need. # you can try replacing those factor with your own factors here filtered_fine = [x for x in fine if x.OperationRatios.OperationMargin.Value and x.ValuationRatios.PriceChange1M and x.ValuationRatios.BookValuePerShare] self.Log('remained to select %d'%(len(filtered_fine))) # rank stocks by three factor. sortedByfactor1 = sorted(filtered_fine, key=lambda x: x.OperationRatios.OperationMargin.Value, reverse=True) sortedByfactor2 = sorted(filtered_fine, key=lambda x: x.ValuationRatios.PriceChange1M, reverse=True) sortedByfactor3 = sorted(filtered_fine, key=lambda x: x.ValuationRatios.BookValuePerShare, reverse=True) stock_dict = {} # assign a score to each stock, you can also change the rule of scoring here. for i,ele in enumerate(sortedByfactor1): rank1 = i rank2 = sortedByfactor2.index(ele) rank3 = sortedByfactor3.index(ele) score = sum([rank1*0.2,rank2*0.4,rank3*0.4]) stock_dict[ele] = score # sort the stocks by their scores self.sorted_stock = sorted(stock_dict.items(), key=lambda d:d[1],reverse=False) sorted_symbol = [x[0] for x in self.sorted_stock] # sotre the top stocks into the long_list and the bottom ones into the short_list self.long = [x.Symbol for x in sorted_symbol[:self.num_fine]] self.short = [x.Symbol for x in sorted_symbol[-self.num_fine:]] return self.long + self.short def OnData(self, data): pass def rebalance(self): # if this month the stock are not going to be long/short, liquidate it. long_short_list = self.long + self.short for i in self.Portfolio.Values: if (i.Invested) and (i not in long_short_list): self.Liquidate(i.Symbol) # Alternatively, you can liquidate all the stocks at the end of each month. # Which method to choose depends on your investment philosiphy # if you prefer to realized the gain/loss each month, you can choose this method. #self.Liquidate() # Assign each stock equally. Alternatively you can design your own portfolio construction method for i in self.long: self.SetHoldings(i, 0.9/self.num_fine) for i in self.short: self.SetHoldings(i, -0.9/self.num_fine) self.reb = 1