Overall Statistics |
Total Trades
936
Average Win
0.82%
Average Loss
-1.02%
Compounding Annual Return
7.319%
Drawdown
48.800%
Expectancy
0.321
Net Profit
359.687%
Sharpe Ratio
0.44
Probabilistic Sharpe Ratio
0.165%
Loss Rate
27%
Win Rate
73%
Profit-Loss Ratio
0.80
Alpha
0.082
Beta
-0.082
Annual Standard Deviation
0.172
Annual Variance
0.03
Information Ratio
0.003
Tracking Error
0.256
Treynor Ratio
-0.92
Total Fees
$1100.14
Estimated Strategy Capacity
$29000000.00
Lowest Capacity Asset
XLB RGRPZX100F39
|
# https://quantpedia.com/strategies/sector-momentum-rotational-system/ # # Use ten sector ETFs. Pick 3 ETFs with the strongest 12-month momentum into your portfolio and weight them equally. Hold them for one month and then rebalance. class SectorMomentumAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 1, 1) self.SetCash(100000) # Daily ROC data. self.data = {} self.period = 12 * 21 self.SetWarmUp(self.period) self.symbols = [ "VNQ", # Vanguard Real Estate Index Fund "XLK", # Technology Select Sector SPDR Fund "XLE", # Energy Select Sector SPDR Fund "XLV", # Health Care Select Sector SPDR Fund "XLF", # Financial Select Sector SPDR Fund "XLI", # Industrials Select Sector SPDR Fund "XLB", # Materials Select Sector SPDR Fund "XLY", # Consumer Discretionary Select Sector SPDR Fund "XLP", # Consumer Staples Select Sector SPDR Fund "XLU" # Utilities Select Sector SPDR Fund ] for symbol in self.symbols: data = self.AddEquity(symbol, Resolution.Daily) data.SetFeeModel(CustomFeeModel(self)) data.SetLeverage(5) self.data[symbol] = self.ROC(symbol, self.period, Resolution.Daily) self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.AfterMarketOpen(self.symbols[0]), self.Rebalance) def Rebalance(self): sorted_by_momentum = sorted([x for x in self.data.items() if x[1].IsReady], key = lambda x: x[1].Current.Value, reverse = True) long = [x[0] for x in sorted_by_momentum[:3]] # Trade execution. invested = [x.Key for x in self.Portfolio if x.Value.Invested] for symbol in invested: if symbol not in long: self.Liquidate(symbol) for symbol in long: self.SetHoldings(symbol, 1 / len(long)) # Custom fee model class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005 return OrderFee(CashAmount(fee, "USD"))