Overall Statistics |
Total Trades
1251
Average Win
2.11%
Average Loss
-2.29%
Compounding Annual Return
-0.197%
Drawdown
76.700%
Expectancy
0.025
Net Profit
-2.642%
Sharpe Ratio
0.111
Probabilistic Sharpe Ratio
0.004%
Loss Rate
47%
Win Rate
53%
Profit-Loss Ratio
0.92
Alpha
0.021
Beta
0.043
Annual Standard Deviation
0.231
Annual Variance
0.053
Information Ratio
-0.301
Tracking Error
0.272
Treynor Ratio
0.593
Total Fees
$1635.72
Estimated Strategy Capacity
$0
Lowest Capacity Asset
CME_LC1.QuantpediaFutures 2S
|
# https://quantpedia.com/strategies/term-structure-effect-in-commodities/ # # This simple strategy buys each month the 20% of commodities with the highest roll-returns and shorts the 20% of commodities with the lowest # roll-returns and holds the long-short positions for one month. The contracts in each quintile are equally-weighted. # The investment universe is all commodity futures contracts. # # QC implementation: import numpy as np from datetime import time from AlgorithmImports import * class TermStructure(QCAlgorithm): def Initialize(self): self.SetStartDate(2009, 1, 1) self.SetCash(100000) symbols = { 'CME_S1': Futures.Grains.Soybeans, 'CME_W1' : Futures.Grains.Wheat, 'CME_SM1' : Futures.Grains.SoybeanMeal, 'CME_C1' : Futures.Grains.Corn, 'CME_O1' : Futures.Grains.Oats, 'CME_LC1' : Futures.Meats.LiveCattle, 'CME_FC1' : Futures.Meats.FeederCattle, 'CME_LN1' : Futures.Meats.LeanHogs, 'CME_GC1' : Futures.Metals.Gold, 'CME_SI1' : Futures.Metals.Silver, 'CME_PL1' : Futures.Metals.Platinum, 'CME_HG1' : Futures.Metals.Copper, 'CME_LB1' : Futures.Forestry.RandomLengthLumber, 'CME_NG1' : Futures.Energies.NaturalGas, 'CME_PA1' : Futures.Metals.Palladium, 'CME_DA1' : Futures.Dairy.ClassIIIMilk, 'CME_RB1' : Futures.Energies.Gasoline, 'ICE_WT1' : Futures.Energies.CrudeOilWTI, 'ICE_CC1' : Futures.Softs.Cocoa, 'ICE_O1' : Futures.Energies.HeatingOil, 'ICE_SB1' : Futures.Softs.Sugar11CME, } self.futures_info:dict = {} self.quantile:int = 5 self.min_expiration_days:int = 2 self.max_expiration_days:int = 360 self.price_data:dict[Symbol, RollingWindow] = {} self.period:int = 60 self.SetWarmup(self.period, Resolution.Daily) for qp_symbol, qc_future in symbols.items(): # QP futures data:Security = self.AddData(QuantpediaFutures, qp_symbol, Resolution.Daily) data.SetFeeModel(CustomFeeModel()) data.SetLeverage(5) self.price_data[data.Symbol] = RollingWindow[float](self.period) # QC futures future:Future = self.AddFuture(qc_future, Resolution.Daily, dataNormalizationMode=DataNormalizationMode.Raw) future.SetFilter(timedelta(days=self.min_expiration_days), timedelta(days=self.max_expiration_days)) self.futures_info[future.Symbol.Value] = FuturesInfo(data.Symbol) self.recent_month:int = -1 def find_and_update_contracts(self, futures_chain, symbol) -> None: near_contract:FuturesContract = None dist_contract:FuturesContract = None if symbol in futures_chain: contracts:list = [contract for contract in futures_chain[symbol] if contract.Expiry.date() > self.Time.date()] if len(contracts) >= 2: contracts:list = sorted(contracts, key=lambda x: x.Expiry, reverse=False) near_contract = contracts[0] dist_contract = contracts[1] self.futures_info[symbol].update_contracts(near_contract, dist_contract) def OnData(self, data): if data.FutureChains.Count > 0: for symbol, futures_info in self.futures_info.items(): # check if near contract is expired or is not initialized if not futures_info.is_initialized() or \ (futures_info.is_initialized() and futures_info.near_contract.Expiry.date() == self.Time.date()): self.find_and_update_contracts(data.FutureChains, symbol) roll_return:dict[Symbol, float] = {} rebalance_flag:bool = False # roll return calculation for symbol, futures_info in self.futures_info.items(): # futures data is present in the algorithm if futures_info.quantpedia_future in data and data[futures_info.quantpedia_future]: # store daily data self.price_data[futures_info.quantpedia_future].Add(data[futures_info.quantpedia_future].Value) if not self.price_data[futures_info.quantpedia_future].IsReady: continue # new month rebalance if self.Time.month != self.recent_month and not self.IsWarmingUp: self.recent_month = self.Time.month rebalance_flag = True if rebalance_flag: if futures_info.is_initialized(): near_c:FuturesContract = futures_info.near_contract dist_c:FuturesContract = futures_info.distant_contract if self.Securities.ContainsKey(near_c.Symbol) and self.Securities.ContainsKey(dist_c.Symbol): raw_price1:float = self.Securities[near_c.Symbol].Close * self.Securities[symbol].SymbolProperties.PriceMagnifier raw_price2:float = self.Securities[dist_c.Symbol].Close * self.Securities[symbol].SymbolProperties.PriceMagnifier if raw_price1 != 0 and raw_price2 != 0: roll_return[futures_info.quantpedia_future] = raw_price1 / raw_price2 - 1 if rebalance_flag: weights:dict[Symbol, float] = {} long:list[Symbol] = [] short:list[Symbol] = [] if len(roll_return) >= self.quantile: # roll return sorting sorted_by_roll:list = sorted(roll_return.items(), key = lambda x: x[1], reverse=True) quantile:int = int(len(sorted_by_roll) / self.quantile) long = [x[0] for x in sorted_by_roll[:quantile]] short = [x[0] for x in sorted_by_roll[-quantile:]] # trade execution invested:list[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested] for symbol in invested: if symbol not in long + short: self.Liquidate(symbol) for symbol in long: self.SetHoldings(symbol, 1 / len(long)) for symbol in short: self.SetHoldings(symbol, -1 / len(short)) class FuturesInfo(): def __init__(self, quantpedia_future:Symbol) -> None: self.quantpedia_future:Symbol = quantpedia_future self.near_contract:FuturesContract = None self.distant_contract:FuturesContract = None def update_contracts(self, near_contract:FuturesContract, distant_contract:FuturesContract) -> None: self.near_contract = near_contract self.distant_contract = distant_contract def is_initialized(self) -> bool: return self.near_contract is not None and self.distant_contract is not None # Custom fee model. class CustomFeeModel(): def GetOrderFee(self, parameters): fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005 return OrderFee(CashAmount(fee, "USD")) # 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