Overall Statistics |
Total Trades
731
Average Win
0.64%
Average Loss
-2.15%
Compounding Annual Return
6.140%
Drawdown
47.800%
Expectancy
0.168
Net Profit
290.645%
Sharpe Ratio
0.447
Probabilistic Sharpe Ratio
0.069%
Loss Rate
10%
Win Rate
90%
Profit-Loss Ratio
0.30
Alpha
0.02
Beta
0.497
Annual Standard Deviation
0.107
Annual Variance
0.012
Information Ratio
-0.07
Tracking Error
0.108
Treynor Ratio
0.097
Total Fees
$1474.36
Estimated Strategy Capacity
$1200000.00
Lowest Capacity Asset
GSG TKH7EPK7SRC5
|
# https://quantpedia.com/strategies/asset-class-momentum-rotational-system/ # # Use 5 ETFs (SPY - US stocks, EFA - foreign stocks, IEF - bonds, VNQ - REITs, GSG - commodities). # Pick 3 ETFs with strongest 12 month momentum into your portfolio and weight them equally. # Hold for 1 month and then rebalance. #region imports from AlgorithmImports import * #endregion class MomentumAssetAllocationStrategy(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 1, 1) self.SetCash(100000) self.data = {} period = 12 * 21 self.SetWarmUp(period, Resolution.Daily) self.traded_count = 3 self.symbols = ["SPY", "EFA", "IEF", "VNQ", "GSG"] for symbol in self.symbols: self.AddEquity(symbol, Resolution.Minute) self.data[symbol] = self.ROC(symbol, period, Resolution.Daily) self.recent_month = -1 def OnData(self, data): if self.IsWarmingUp: return if not (self.Time.hour == 9 and self.Time.minute == 31): return # rebalance once a month if self.Time.month == self.recent_month: return self.recent_month = self.Time.month sorted_by_momentum = sorted([x for x in self.data.items() if x[1].IsReady and x[0] in data and data[x[0]]], key = lambda x: x[1].Current.Value, reverse = True) long = [] if len(sorted_by_momentum) >= self.traded_count: long = [x[0] for x in sorted_by_momentum][:self.traded_count] invested = [x.Key.Value 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))