Overall Statistics |
Total Trades
1570
Average Win
0.17%
Average Loss
-0.21%
Compounding Annual Return
2.573%
Drawdown
29.500%
Expectancy
0.265
Net Profit
73.065%
Sharpe Ratio
0.286
Probabilistic Sharpe Ratio
0.013%
Loss Rate
30%
Win Rate
70%
Profit-Loss Ratio
0.80
Alpha
0.026
Beta
-0.016
Annual Standard Deviation
0.087
Annual Variance
0.008
Information Ratio
-0.25
Tracking Error
0.198
Treynor Ratio
-1.528
Total Fees
$179.02
Estimated Strategy Capacity
$0
Lowest Capacity Asset
CME_MP1.QuantpediaFutures 2S
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# https://quantpedia.com/strategies/fx-carry-trade/ # # Create an investment universe consisting of several currencies (10-20). Go long three currencies with the highest central bank prime rates and # go short three currencies with the lowest central bank prime rates. The cash not used as the margin is invested in overnight rates. The strategy # is rebalanced monthly. import data_tools class ForexCarryTrade(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 1, 1) self.SetCash(100000) # Source: https://www.quandl.com/data/OECD-Organisation-for-Economic-Co-operation-and-Development self.symbols = { "CME_AD1" : "OECD/KEI_IR3TIB01_AUS_ST_M", # Australian Dollar Futures, Continuous Contract #1 "CME_BP1" : "OECD/KEI_IR3TIB01_GBR_ST_M", # British Pound Futures, Continuous Contract #1 "CME_CD1" : "OECD/KEI_IR3TIB01_CAN_ST_M", # Canadian Dollar Futures, Continuous Contract #1 "CME_EC1" : "OECD/KEI_IR3TIB01_EA19_ST_M", # Euro FX Futures, Continuous Contract #1 "CME_JY1" : "OECD/KEI_IR3TIB01_JPN_ST_M", # Japanese Yen Futures, Continuous Contract #1 "CME_MP1" : "OECD/KEI_IR3TIB01_MEX_ST_M", # Mexican Peso Futures, Continuous Contract #1 "CME_NE1" : "OECD/KEI_IR3TIB01_NZL_ST_M", # New Zealand Dollar Futures, Continuous Contract #1 "CME_SF1" : "SNB/ZIMOMA" # Swiss Franc Futures, Continuous Contract #1 } for symbol, rate_symbol in self.symbols.items(): self.AddData(data_tools.QuandlValue, rate_symbol, Resolution.Daily) data = self.AddData(data_tools.QuantpediaFutures, symbol, Resolution.Daily) data.SetFeeModel(data_tools.CustomFeeModel(self)) data.SetLeverage(5) self.Schedule.On(self.DateRules.MonthStart("CME_AD1"), self.TimeRules.AfterMarketOpen("CME_AD1"), self.Rebalance) def Rebalance(self): # Interbank rate sorting. sorted_by_rate = sorted([y for y in self.symbols if self.Securities.ContainsKey(self.symbols[y]) and self.Securities[y].Price != 0], key = lambda x: self.Securities[self.symbols[x]].Price, reverse = True) traded_count = 3 long = [x for x in sorted_by_rate[:traded_count]] short = [x for x in sorted_by_rate[-traded_count:]] # 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) for symbol in long: self.SetHoldings(symbol, 1 / len(long)) for symbol in short: self.SetHoldings(symbol, -1 / len(short))
# Quandl "value" data class QuandlValue(PythonQuandl): def __init__(self): self.ValueColumnName = 'Value' # 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 # Custom fee model. class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005 return OrderFee(CashAmount(fee, "USD"))