Overall Statistics |
Total Trades
188
Average Win
0.45%
Average Loss
-0.42%
Compounding Annual Return
0.355%
Drawdown
10.800%
Expectancy
0.142
Net Profit
5.645%
Sharpe Ratio
0.123
Loss Rate
45%
Win Rate
55%
Profit-Loss Ratio
1.07
Alpha
0
Beta
0.037
Annual Standard Deviation
0.033
Annual Variance
0.001
Information Ratio
-0.538
Tracking Error
0.174
Treynor Ratio
0.109
Total Fees
$438.33
|
#The investment universe consists of countries for which stock market index data are available and in which the proportion of population the professing Muslim faith #exceeded 50%. Most of the countries could be easily tracked via index ETFs. The research paper we use as an example uses 14 Muslim countries. #Ramadan is the ninth month in the Islamic calendar, which is based on the motion of the moon. The Ramadan month could be calculated by using information on the #lunar phases and sunset times from astronomical calendar or information about Ramadan dates from various public sources. #The trading strategy is simple. The investor holds an equally weighted portfolio of ETFs during Ramadan month. He/she is otherwise invested in cash. from datetime import datetime import pandas as pd class Ramadan_Effect(QCAlgorithm): def Initialize(self): self.SetStartDate(2004, 1, 1) self.SetEndDate(2019,7,1) self.SetCash(100000) self.symbols = ['TUR', 'GULF', 'GAF', 'PAK', 'UAE', 'QAT', 'EGPT', 'EWM', 'EIDO', 'KSA'] for symbol in self.symbols: self.AddEquity(symbol, Resolution.Daily) ramadan_dates = pd.read_csv('https://docs.google.com/spreadsheets/d/1mj5GwY8JZm4trprEk0eGzC7Uzku_kosdV97SpIJAxz4/export?format=csv', header=None, sep=';') start_dates = [datetime.strptime(x[0], "%d.%m.%Y") for x in ramadan_dates.values] end_dates = [datetime.strptime(x[1], "%d.%m.%Y") for x in ramadan_dates.values] self.Schedule.On(self.DateRules.On(start_dates), self.TimeRules.AfterMarketOpen(self.symbols[0]), self.Open) self.Schedule.On(self.DateRules.On(end_dates), self.TimeRules.AfterMarketOpen(self.symbols[0]), self.Close) def Open(self): if not self.Portfolio.Invested: for symbol in self.symbols: self.SetHoldings(symbol, 1/10) def Close(self): self.Liquidate()