Overall Statistics
Total Trades
780
Average Win
0.69%
Average Loss
-0.59%
Compounding Annual Return
2.486%
Drawdown
24.600%
Expectancy
0.109
Net Profit
21.966%
Sharpe Ratio
0.228
Probabilistic Sharpe Ratio
0.554%
Loss Rate
49%
Win Rate
51%
Profit-Loss Ratio
1.16
Alpha
0.013
Beta
0.099
Annual Standard Deviation
0.112
Annual Variance
0.013
Information Ratio
-0.568
Tracking Error
0.174
Treynor Ratio
0.258
Total Fees
$922.29
# Bond yields
class QuandlAAAYield(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = 'BAMLC0A1CAAAEY'

class QuandlHighYield(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = 'BAMLH0A0HYM2EY'

# Quantpedia bond yield data.
# NOTE: IMPORTANT: Data order must be ascending (datewise)
class QuantpediaBondYield(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("data.quantpedia.com/backtesting_data/bond_yield/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)

    def Reader(self, config, line, date, isLiveMode):
        data = QuantpediaBondYield()
        data.Symbol = config.Symbol
        
        if not line[0].isdigit(): return None
        split = line.split(',')
        
        data.Time = datetime.strptime(split[0], "%Y-%m-%d") + timedelta(days=1)
        data['yield'] = float(split[1])
        data.Value = float(split[1])

        return data
        
# Country PE data
# NOTE: IMPORTANT: Data order must be ascending (date-wise)
from dateutil.relativedelta import relativedelta

class CountryPE(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("data.quantpedia.com/backtesting_data/economic/country_pe.csv", SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)

    def Reader(self, config, line, date, isLiveMode):
        data = CountryPE()
        data.Symbol = config.Symbol
        
        if not line[0].isdigit(): return None
        split = line.split(';')
        
        data.Time = datetime.strptime(split[0], "%Y") + relativedelta(years=1)
        self.symbols = ['Argentina','Australia','Austria','Belgium','Brazil','Canada','Chile','China','Egypt','France','Germany','Hong Kong','India','Indonesia','Ireland','Israel','Italy','Japan','Malaysia','Mexico','Netherlands','New Zealand','Norway','Philippines','Poland','Russia','Saudi Arabia','Singapore','South Africa','South Korea','Spain','Sweden','Switzerland','Taiwan','Thailand','Turkey','United Kingdom','United States']
        index = 1
        for symbol in self.symbols:
            data[symbol] = float(split[index])
            index += 1
            
        data.Value = float(split[1])
        return data

# Quandl "value" data
class QuandlValue(PythonQuandl):
    def __init__(self):
        self.ValueColumnName = 'Value'
        
# Quantpedia PE ratio data.
# NOTE: IMPORTANT: Data order must be ascending (datewise)
class QuantpediaPERatio(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("data.quantpedia.com/backtesting_data/economic/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)

    def Reader(self, config, line, date, isLiveMode):
        data = QuantpediaPERatio()
        data.Symbol = config.Symbol
        
        if not line[0].isdigit(): return None
        split = line.split(';')
        
        data.Time = datetime.strptime(split[0], "%Y-%m-%d") + timedelta(days=1)
        data['pe_ratio'] = float(split[1])
        data.Value = float(split[1])

        return data

# Quantpedia bond yield data.
# NOTE: IMPORTANT: Data order must be ascending (datewise)
class QuantpediaBondYield(PythonData):
    def GetSource(self, config, date, isLiveMode):
        return SubscriptionDataSource("data.quantpedia.com/backtesting_data/bond_yield/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)

    def Reader(self, config, line, date, isLiveMode):
        data = QuantpediaBondYield()
        data.Symbol = config.Symbol
        
        if not line[0].isdigit(): return None
        split = line.split(',')
        
        data.Time = datetime.strptime(split[0], "%Y-%m-%d") + timedelta(days=1)
        data['yield'] = float(split[1])
        data.Value = float(split[1])

        return data
        
# 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
# https://quantpedia.com/strategies/value-and-momentum-factors-across-asset-classes/
#
# Create an investment universe containing investable asset classes (could be US large-cap, mid-cap stocks, US REITS, UK, Japan, Emerging market stocks, US treasuries, US Investment grade bonds,
# US high yield bonds, Germany bonds, Japan bonds, US cash) and find a good tracking vehicle for each asset class (best vehicles are ETFs or index funds). Momentum ranking is done on price series.
# Valuation ranking is done on adjusted yield measure for each asset class. E/P (Earning/Price) measure is used for stocks, and YTM (Yield-to-maturity) is used for bonds. US, Japan, and Germany 
# treasury yield are adjusted by -1%, US investment-grade bonds are adjusted by -2%, US High yield bonds are adjusted by -6%, emerging markets equities are adjusted by -1%, and US REITs are 
# adjusted by -2% to get unbiased structural yields for each asset class. Rank each asset class by 12-month momentum, 1-month momentum, and by valuation and weight all three strategies (25% weight
# to 12m momentum, 25% weight to 1-month momentum, 50% weight to value strategy). Go long top quartile portfolio and go short bottom quartile portfolio.
#
# QC implementation changes:
#   - Country PB data ends in 2019. Last known value is used for further years calculations for the sake of backtest.

import data_tools

class ValueandMomentumFactorsacrossAssetClasses(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2013, 1, 1)
        self.SetCash(100000)
        
        # investable asset, yield symbol, yield data access function, yield adjustment, reverse flag(PE -> EP)
        self.assets = [
            ('SPY', 'MULTPL/SP500_EARNINGS_YIELD_MONTH', data_tools.QuandlValue, 0, True),  # US large-cap
            ('MDY', 'MID_CAP_PE', data_tools.QuantpediaPERatio, 0, True),                   # US mid-cap stocks
            ('IYR', 'REITS_DIVIDEND_YIELD', data_tools.QuantpediaPERatio, -2, False),       # US REITS - same csv data format as PERatio files
            ('EWU', 'United Kingdom', None, 0, True),                                       # UK
            ('EWJ', 'Japan', None, 0, True),                                                # Japan
            ('EEM', 'EMERGING_MARKET_PE', data_tools.QuantpediaPERatio, -1, True),          # Emerging market stocks
            
            ('LQD', 'ML/AAAEY', data_tools.QuandlAAAYield, -2, False),                      # US Investment grade bonds
            ('HYG', 'ML/USTRI', data_tools.QuandlHighYield, -6, False),                     # US high yield bonds
            
            ('CME_TY1', 'US10YT', data_tools.QuantpediaBondYield, -1, False),               # US bonds
            ('EUREX_FGBL1', 'DE10YT', data_tools.QuantpediaBondYield, -1, False),           # Germany bonds
            ('SGX_JB1', 'JP10YT', data_tools.QuantpediaBondYield, -1, False),               # Japan bonds
            
            ('BIL', 'OECD/KEI_IRSTCI01_USA_ST_M', data_tools.QuandlValue, 0, False)         # US cash
        ]
        
        # country pe data
        self.AddData(data_tools.CountryPE, 'CountryData')
        
        self.data = {}
        self.period = 12 * 21
        self.SetWarmUp(self.period)
        
        for symbol, yield_symbol, yield_access, _, _ in self.assets:
            # investable asset
            if yield_access == data_tools.QuantpediaBondYield:
                data = self.AddData(data_tools.QuantpediaFutures, symbol, Resolution.Daily)
            else:
                data = self.AddEquity(symbol, Resolution.Daily)

            # yield
            if yield_access != None:
                self.AddData(yield_access, yield_symbol, Resolution.Daily)
            
            self.data[symbol] = RollingWindow[float](self.period)
            
            data.SetFeeModel(CustomFeeModel(self))
            data.SetLeverage(5)
        
        self.Schedule.On(self.DateRules.MonthStart('SPY'), self.TimeRules.AfterMarketOpen('SPY'), self.Rebalance)
    
    def OnData(self, data):
        # store investable asset price data
        for symbol, yield_symbol, _, _, _ in self.assets:
            symbol_obj = self.Symbol(symbol)
            if symbol_obj in data and data[symbol_obj]:
                self.data[symbol].Add(data[symbol_obj].Value)
        
    def Rebalance(self):
        performance_1M = {}
        performance_12M = {}
        valuation  = {}
        
        # performance and valuation calculation
        for symbol, yield_symbol, yield_access, bond_adjustment, reverse_flag in self.assets:
            if self.data[symbol].IsReady:
                closes = [x for x in self.data[symbol]]
                performance_1M[symbol] = closes[0] / closes[21] - 1
                performance_12M[symbol] = closes[0] / closes[len(closes) - 1] - 1
                
                if yield_access == None:
                    country_pb_data = self.Securities['CountryData'].GetLastData()
                    if country_pb_data:
                        pe = country_pb_data[yield_symbol]
                        yield_value = pe
                else:
                    yield_value = self.Securities[self.Symbol(yield_symbol)].Price
                
                # reverse if needed, EP->PE
                if reverse_flag:
                    yield_value = 1/yield_value
                
                if yield_value != 0:
                    valuation[symbol] = yield_value + bond_adjustment
        
        long = []
        short = []
        
        if len(valuation) != 0:
            # sort assets by metrics
            sorted_by_p1 = sorted(performance_1M.items(), key = lambda x: x[1])
            sorted_by_p12 = sorted(performance_12M.items(), key = lambda x: x[1])
            sorted_by_value = sorted(valuation.items(), key = lambda x: x[1])
            
            # rank assets
            score = {}
            for i, (symbol, _) in enumerate(sorted_by_p1):
                score[symbol] = i * 0.25
            for i, (symbol, _) in enumerate(sorted_by_p12):
                score[symbol] += i * 0.25 
            for i, (symbol, _) in enumerate(sorted_by_value):
                score[symbol] += i * 0.5
            
            # sort by rank
            sorted_by_rank = sorted(score, key = lambda x: score[x], reverse = True)
            quartile = int(len(sorted_by_rank) / 4)
            long = sorted_by_rank[:quartile]
            short = sorted_by_rank[-quartile:]
        
        # trade execution
        invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
        for symbol in invested:
            if symbol not in long + short:
                self.Liquidate(symbol)

        long_count = len(long)
        short_count = len(short)
        
        for symbol in long:
            self.SetHoldings(symbol, 1/long_count)
        for symbol in short:
            self.SetHoldings(symbol, -1/short_count)

# Custom fee model.
class CustomFeeModel(FeeModel):
    def GetOrderFee(self, parameters):
        fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
        return OrderFee(CashAmount(fee, "USD"))