Overall Statistics |
Total Trades
330
Average Win
1.03%
Average Loss
-0.68%
Compounding Annual Return
1.489%
Drawdown
8.800%
Expectancy
0.287
Net Profit
36.083%
Sharpe Ratio
0.436
Probabilistic Sharpe Ratio
0.399%
Loss Rate
49%
Win Rate
51%
Profit-Loss Ratio
1.53
Alpha
0.013
Beta
0.034
Annual Standard Deviation
0.036
Annual Variance
0.001
Information Ratio
-0.331
Tracking Error
0.193
Treynor Ratio
0.463
Total Fees
$1724.22
|
fed_dates = [ '1990-02-07', '1990-03-27', '1990-05-15', '1990-07-03', '1990-08-21', '1990-10-02', '1990-11-13', '1990-12-18', '1991-02-06', '1991-03-26', '1991-05-14', '1991-07-03', '1991-08-20', '1991-10-01', '1991-11-05', '1991-12-17', '1992-02-05', '1992-03-31', '1992-05-19', '1992-07-01', '1992-08-18', '1992-10-06', '1992-11-17', '1992-12-22', '1993-02-03', '1993-03-23', '1993-05-18', '1993-07-07', '1993-08-17', '1993-09-21', '1993-11-16', '1993-12-21', '1994-02-04', '1994-03-22', '1994-05-17', '1994-07-06', '1994-08-16', '1994-09-27', '1994-11-15', '1994-12-20', '1995-02-01', '1995-03-28', '1995-05-23', '1995-07-06', '1995-08-22', '1995-09-26', '1995-11-15', '1995-12-19', '1996-01-31', '1996-03-26', '1996-05-21', '1996-07-03', '1996-08-20', '1996-09-24', '1996-11-13', '1996-12-17', '1997-02-05', '1997-03-25', '1997-05-20', '1997-07-02', '1997-08-19', '1997-09-30', '1997-11-12', '1997-12-16', '1998-02-04', '1998-03-31', '1998-05-19', '1998-07-01', '1998-08-18', '1998-09-29', '1998-11-17', '1998-12-22', '1999-02-03', '1999-03-30', '1999-05-18', '1999-06-30', '1999-08-24', '1999-10-05', '1999-11-16', '1999-12-21', '2000-02-02', '2000-03-21', '2000-05-16', '2000-06-28', '2000-08-22', '2000-10-03', '2000-11-15', '2000-12-19', '2001-01-31', '2001-03-20', '2001-05-15', '2001-06-27', '2001-08-21', '2001-10-02', '2001-11-06', '2001-12-11', '2002-01-30', '2002-03-19', '2002-05-07', '2002-06-26', '2002-08-13', '2002-04-24', '2002-11-06', '2002-12-10', '2003-01-29', '2003-03-18', '2003-05-06', '2003-06-25', '2003-08-12', '2003-09-16', '2003-10-28', '2003-12-09', '2004-01-28', '2004-03-16', '2004-05-04', '2004-06-30', '2004-08-10', '2004-09-21', '2004-11-10', '2004-12-14', '2005-02-02', '2005-03-22', '2005-05-03', '2005-06-30', '2005-08-09', '2005-09-20', '2005-11-01', '2005-12-13', '2006-01-31', '2006-03-28', '2006-05-10', '2006-06-29', '2006-08-08', '2006-09-20', '2006-10-25', '2006-12-12', '2007-01-31', '2007-03-21', '2007-05-09', '2007-06-28', '2007-08-07', '2007-09-18', '2007-10-31', '2007-12-11', '2008-01-30', '2008-03-18', '2008-04-30', '2008-06-25', '2008-08-05', '2008-09-16', '2008-10-29', '2008-12-16', '2009-01-28', '2009-03-18', '2009-04-29', '2009-06-24', '2009-08-12', '2009-09-23', '2009-11-04', '2009-12-16', '2010-01-27', '2010-03-16', '2010-04-28', '2010-06-23', '2010-08-10', '2010-09-21', '2010-11-03', '2010-12-14', '2011-01-26', '2011-03-15', '2011-04-27', '2011-06-22', '2011-08-09', '2011-09-21', '2011-11-02', '2011-12-13', '2012-01-25', '2012-03-13', '2012-04-25', '2012-06-20', '2012-08-01', '2012-09-13', '2012-10-24', '2012-12-12', '2013-01-30', '2013-03-20', '2013-05-01', '2013-06-19', '2013-07-31', '2013-09-18', '2013-10-30', '2013-12-18', '2014-01-29', '2014-03-19', '2014-04-30', '2014-06-18', '2014-07-30', '2014-09-17', '2014-10-29', '2014-12-17', '2015-01-28', '2015-03-18', '2015-04-29', '2015-06-17', '2015-07-29', '2015-09-17', '2015-10-28', '2015-12-16', '2016-01-27', '2016-03-16', '2016-04-27', '2016-06-15', '2016-07-27', '2016-09-21', '2016-11-02', '2016-12-14', '2017-02-01', '2017-03-15', '2017-05-03', '2017-06-14', '2017-07-26', '2017-09-20', '2017-11-01', '2017-12-13', '2018-01-31', '2018-03-21', '2018-05-02', '2018-06-13', '2018-08-01', '2018-09-26', '2018-11-08', '2018-12-19', '2019-01-30', '2019-03-20', '2019-05-01', '2019-06-19', '2019-07-31', '2019-09-18', '2019-10-30', '2019-12-11', '2020-01-29', '2020-03-18', '2020-04-29', '2020-06-10', '2020-07-29', '2020-09-16', '2020-11-05', '2020-12-16' ]
# https://quantpedia.com/strategies/momentum-factor-effect-in-country-equity-indexes/ # # The investment universe consists of ETFs (funds) which invest in individual countries’ equity indexes. The top 5 countries with the best X – month # (where X depends on investors choice, studies show X to be best as 10-12) momentum are chosen as an investment, and portfolio is rebalanced once in a month. # # QC implementation: # - FED dates are imported from text file. from fed_dates import fed_dates from pandas.tseries.offsets import BDay class MomentumFactorEffectinCountryEquityIndexes(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 1, 1) self.SetCash(100000) self.SetBrokerageModel(BrokerageName.AlphaStreams) self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel()) self.SetExecution(ImmediateExecutionModel()) self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol dates = [datetime.strptime(x, "%Y-%m-%d") - BDay(1) for x in fed_dates] self.Schedule.On(self.DateRules.On(dates), self.TimeRules.BeforeMarketClose(self.symbol, 1), self.DayBeforeFED) def DayBeforeFED(self): self.EmitInsights(Insight.Price(self.symbol, timedelta(minutes = 6.5*60 - 1), InsightDirection.Up, None, None, None, 1))