Overall Statistics |
Total Trades
9872
Average Win
1.03%
Average Loss
-0.83%
Compounding Annual Return
0.954%
Drawdown
58.000%
Expectancy
0.064
Net Profit
21.604%
Sharpe Ratio
0.129
Probabilistic Sharpe Ratio
0.001%
Loss Rate
53%
Win Rate
47%
Profit-Loss Ratio
1.24
Alpha
0.021
Beta
-0.02
Annual Standard Deviation
0.155
Annual Variance
0.024
Information Ratio
-0.189
Tracking Error
0.239
Treynor Ratio
-1.008
Total Fees
$19663.36
|
# https://quantpedia.com/strategies/trading-wti-brent-spread/ # # A 20-day moving average of WTI/Brent spread is calculated each day. If the current spread value is above SMA 20 then we enter a short position # in the spread on close (betting that the spread will decrease to the fair value represented by SMA 20). The trade is closed at the close of the # trading day when the spread crosses below fair value. If the current spread value is below SMA 20 then we enter a long position betting that # the spread will increase and the trade is closed at the close of the trading day when the spread crosses above fair value. from collections import deque import numpy as np from fk_tools import CustomFeeModel, QuantpediaFutures, QuandlFutures class WTIBRENTSpread(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 1, 1) self.SetCash(100000) self.symbols = [ "CME_CL1", # Crude Oil Futures, Continuous Contract "ICE_B1" # Brent Crude Oil Futures, Continuous Contract ] self.spread = deque(maxlen = 20) # self.spy = self.AddEquity('SPY', Resolution.Daily).Symbol # True -> Quantpedia data # False -> Quandl free data self.use_quantpedia_data = True if not self.use_quantpedia_data: self.symbols = ['CHRIS/' + x for x in self.symbols] for symbol in self.symbols: data = None if self.use_quantpedia_data: data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily) else: data = self.AddData(QuandlFutures, symbol, Resolution.Daily) data.SetLeverage(5) data.SetFeeModel(CustomFeeModel(self)) def OnData(self, data): symbol1 = self.symbols[0] symbol2 = self.symbols[1] if self.Securities.ContainsKey(symbol1) and self.Securities.ContainsKey(symbol2): price1 = self.Securities[symbol1].Price price2 = self.Securities[symbol2].Price if price1 != 0 and price2 != 0: spread = price1 - price2 self.spread.append(spread) # MA calculation. if len(self.spread) == self.spread.maxlen: spreads = [x for x in self.spread] spread_ma20 = np.average(spreads) current_spread = spreads[-1] if current_spread > spread_ma20: self.SetHoldings(symbol1, -1) self.SetHoldings(symbol2, 1) elif current_spread < spread_ma20: self.SetHoldings(symbol1, 1) self.SetHoldings(symbol2, -1)
import numpy as np from scipy.optimize import minimize import statsmodels.api as sm sp100_stocks = ['AAPL','MSFT','AMZN','FB','BRKB','GOOGL','GOOG','JPM','JNJ','V','PG','XOM','UNH','BAC','MA','T','DIS','INTC','HD','VZ','MRK','PFE','CVX','KO','CMCSA','CSCO','PEP','WFC','C','BA','ADBE','WMT','CRM','MCD','MDT','BMY','ABT','NVDA','NFLX','AMGN','PM','PYPL','TMO','COST','ABBV','ACN','HON','NKE','UNP','UTX','NEE','IBM','TXN','AVGO','LLY','ORCL','LIN','SBUX','AMT','LMT','GE','MMM','DHR','QCOM','CVS','MO','LOW','FIS','AXP','BKNG','UPS','GILD','CHTR','CAT','MDLZ','GS','USB','CI','ANTM','BDX','TJX','ADP','TFC','CME','SPGI','COP','INTU','ISRG','CB','SO','D','FISV','PNC','DUK','SYK','ZTS','MS','RTN','AGN','BLK'] def MonthDiff(d1, d2): return (d1.year - d2.year) * 12 + d1.month - d2.month def Return(values): return (values[-1] - values[0]) / values[0] def Volatility(values): values = np.array(values) returns = (values[1:] - values[:-1]) / values[:-1] return np.std(returns) def MultipleLinearRegresion(x, y): x = np.array(x).T x = sm.add_constant(x) result = sm.OLS(endog=y, exog=x).fit() return result # Custom fee model class CustomFeeModel(FeeModel): def GetOrderFee(self, parameters): fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005 return OrderFee(CashAmount(fee, "USD")) # Quandl free data class QuandlFutures(PythonQuandl): def __init__(self): self.ValueColumnName = "settle" # Quandl short interest data. class QuandlFINRA_ShortVolume(PythonQuandl): def __init__(self): self.ValueColumnName = 'SHORTVOLUME' # also 'TOTALVOLUME' is accesible # Commitments of Traders data. # NOTE: IMPORTANT: Data order must be ascending (datewise). # Data source: https://commitmentsoftraders.org/cot-data/ # Data description: https://commitmentsoftraders.org/wp-content/uploads/Static/CoTData/file_key.html class CommitmentsOfTraders(PythonData): def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/cot/{0}.PRN".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv) # File example. # DATE OPEN HIGH LOW CLOSE VOLUME OI # ---- ---- ---- --- ----- ------ -- # DATE LARGE SPECULATOR COMMERCIAL HEDGER SMALL TRADER # LONG SHORT LONG SHORT LONG SHORT def Reader(self, config, line, date, isLiveMode): data = CommitmentsOfTraders() data.Symbol = config.Symbol if not line[0].isdigit(): return None split = line.split(',') # Prevent lookahead bias. data.Time = datetime.strptime(split[0], "%Y%m%d") + timedelta(days=1) data['LARGE_SPECULATOR_LONG'] = int(split[1]) data['LARGE_SPECULATOR_SHORT'] = int(split[2]) data['COMMERCIAL_HEDGER_LONG'] = int(split[3]) data['COMMERCIAL_HEDGER_SHORT'] = int(split[4]) data['SMALL_TRADER_LONG'] = int(split[5]) data['SMALL_TRADER_SHORT'] = int(split[6]) data['open_interest'] = int(split[1]) + int(split[2]) + int(split[3]) + int(split[4]) + int(split[5]) + int(split[6]) data.Value = int(split[1]) return data # Quantpedia bond yield data. # NOTE: IMPORTANT: Data order must be ascending (datewise) class QuantpediaIndices(PythonData): def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource("data.quantpedia.com/backtesting_data/index/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv) def Reader(self, config, line, date, isLiveMode): data = QuantpediaIndices() 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['close'] = 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 # Commitments of Traders data. # NOTE: IMPORTANT: Data order must be ascending (datewise). # Data source: https://commitmentsoftraders.org/cot-data/ # Data description: https://commitmentsoftraders.org/wp-content/uploads/Static/CoTData/file_key.html class CommitmentsOfTraders(PythonData): def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/cot/{0}.PRN".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv) # File example. # DATE OPEN HIGH LOW CLOSE VOLUME OI # ---- ---- ---- --- ----- ------ -- # DATE LARGE SPECULATOR COMMERCIAL HEDGER SMALL TRADER # LONG SHORT LONG SHORT LONG SHORT def Reader(self, config, line, date, isLiveMode): data = CommitmentsOfTraders() data.Symbol = config.Symbol if not line[0].isdigit(): return None split = line.split(',') # Prevent lookahead bias. data.Time = datetime.strptime(split[0], "%Y%m%d") + timedelta(days=1) data['LARGE_SPECULATOR_LONG'] = int(split[1]) data['LARGE_SPECULATOR_SHORT'] = int(split[2]) data['COMMERCIAL_HEDGER_LONG'] = int(split[3]) data['COMMERCIAL_HEDGER_SHORT'] = int(split[4]) data['SMALL_TRADER_LONG'] = int(split[5]) data['SMALL_TRADER_SHORT'] = int(split[6]) data.Value = int(split[1]) return data # NOTE: Manager for new trades. It's represented by certain count of equally weighted brackets for long and short positions. # If there's a place for new trade, it will be managed for time of holding period. class TradeManager(): def __init__(self, algorithm, long_size, short_size, holding_period): self.algorithm = algorithm # algorithm to execute orders in. self.long_size = long_size self.short_size = short_size self.long_len = 0 self.short_len = 0 # Arrays of ManagedSymbols self.symbols = [] self.holding_period = holding_period # Days of holding. # Add stock symbol object def Add(self, symbol, long_flag): # Open new long trade. managed_symbol = ManagedSymbol(symbol, self.holding_period, long_flag) if long_flag: # If there's a place for it. if self.long_len < self.long_size: self.symbols.append(managed_symbol) self.algorithm.SetHoldings(symbol, 1 / self.long_size) self.long_len += 1 else: self.algorithm.Log("There's not place for additional trade.") # Open new short trade. else: # If there's a place for it. if self.short_len < self.short_size: self.symbols.append(managed_symbol) self.algorithm.SetHoldings(symbol, - 1 / self.short_size) self.short_len += 1 else: self.algorithm.Log("There's not place for additional trade.") # Decrement holding period and liquidate symbols. def TryLiquidate(self): symbols_to_delete = [] for managed_symbol in self.symbols: managed_symbol.days_to_liquidate -= 1 # Liquidate. if managed_symbol.days_to_liquidate == 0: symbols_to_delete.append(managed_symbol) self.algorithm.Liquidate(managed_symbol.symbol) if managed_symbol.long_flag: self.long_len -= 1 else: self.short_len -= 1 # Remove symbols from management. for managed_symbol in symbols_to_delete: self.symbols.remove(managed_symbol) def LiquidateTicker(self, ticker): symbol_to_delete = None for managed_symbol in self.symbols: if managed_symbol.symbol.Value == ticker: self.algorithm.Liquidate(managed_symbol.symbol) symbol_to_delete = managed_symbol if managed_symbol.long_flag: self.long_len -= 1 else: self.short_len -= 1 break if symbol_to_delete: self.symbols.remove(symbol_to_delete) else: self.algorithm.Debug("Ticker is not held in portfolio!") class ManagedSymbol(): def __init__(self, symbol, days_to_liquidate, long_flag): self.symbol = symbol self.days_to_liquidate = days_to_liquidate self.long_flag = long_flag class PortfolioOptimization(object): def __init__(self, df_return, risk_free_rate, num_assets): self.daily_return = df_return self.risk_free_rate = risk_free_rate self.n = num_assets # numbers of risk assets in portfolio self.target_vol = 0.05 def annual_port_return(self, weights): # calculate the annual return of portfolio return np.sum(self.daily_return.mean() * weights) * 252 def annual_port_vol(self, weights): # calculate the annual volatility of portfolio return np.sqrt(np.dot(weights.T, np.dot(self.daily_return.cov() * 252, weights))) def min_func(self, weights): # method 1: maximize sharp ratio return - self.annual_port_return(weights) / self.annual_port_vol(weights) # method 2: maximize the return with target volatility #return - self.annual_port_return(weights) / self.target_vol def opt_portfolio(self): # maximize the sharpe ratio to find the optimal weights cons = ({'type': 'eq', 'fun': lambda x: np.sum(x) - 1}) bnds = tuple((0, 1) for x in range(2)) + tuple((0, 0.25) for x in range(self.n - 2)) opt = minimize(self.min_func, # object function np.array(self.n * [1. / self.n]), # initial value method='SLSQP', # optimization method bounds=bnds, # bounds for variables constraints=cons) # constraint conditions opt_weights = opt['x'] return opt_weights