Overall Statistics |
Total Trades
55
Average Win
9.02%
Average Loss
-6.40%
Compounding Annual Return
7.667%
Drawdown
52.800%
Expectancy
0.695
Net Profit
153.135%
Sharpe Ratio
0.396
Probabilistic Sharpe Ratio
0.777%
Loss Rate
30%
Win Rate
70%
Profit-Loss Ratio
1.41
Alpha
0.099
Beta
-0.085
Annual Standard Deviation
0.23
Annual Variance
0.053
Information Ratio
0.004
Tracking Error
0.308
Treynor Ratio
-1.077
Total Fees
$254.43
|
# https://quantpedia.com/strategies/value-factor-effect-within-countries/ # # The investment universe consists of 32 countries with easily accessible equity markets (via ETFs, for example). At the end of every year, # the investor calculates Shiller’s “CAPE” Cyclically Adjusted PE) ratio, for each country in his investment universe. CAPE is the ratio of # the real price of the equity market (adjusted for inflation) to the 10-year average of the country’s equity index (again adjusted for inflation). # The whole methodology is explained well on Shiller’s home page (http://www.econ.yale.edu/~shiller/data.htm) or # http://turnkeyanalyst.com/2011/10/the-shiller-pe-ratio/). The investor then invests in the cheapest 33% of countries from his sample if those # countries have a CAPE below 15. The portfolio is equally weighted (the investor holds 0% cash instead of countries with a CAPE higher than 15) # and rebalanced yearly. from fk_tools import CustomFeeModel class ValueFactorCAPEEffectwithinCountries(QCAlgorithm): def Initialize(self): self.SetStartDate(2008, 1, 1) self.SetCash(100000) self.symbols = { "Australia" : "EWA", # iShares MSCI Australia Index ETF "Brazil" : "EWZ", # iShares MSCI Brazil Index ETF "Canada" : "EWC", # iShares MSCI Canada Index ETF "Switzerland" : "EWL", # iShares MSCI Switzerland Index ETF "China" : "FXI", # iShares China Large-Cap ETF "France" : "EWQ", # iShares MSCI France Index ETF "Germany" : "EWG", # iShares MSCI Germany ETF "Hong Kong" : "EWH", # iShares MSCI Hong Kong Index ETF "Italy" : "EWI", # iShares MSCI Italy Index ETF "Japan" : "EWJ", # iShares MSCI Japan Index ETF "Korea" : "EWY", # iShares MSCI South Korea ETF "Mexico" : "EWW", # iShares MSCI Mexico Inv. Mt. Idx "Netherlands" : "EWN", # iShares MSCI Netherlands Index ETF "South Africa" : "EZA", # iShares MSCI South Africe Index ETF "Singapore" : "EWS", # iShares MSCI Singapore Index ETF "Spain" : "EWP", # iShares MSCI Spain Index ETF "Sweden" : "EWD", # iShares MSCI Sweden Index ETF "Taiwan" : "EWT", # iShares MSCI Taiwan Index ETF "UK" : "EWU", # iShares MSCI United Kingdom Index ETF "USA" : "SPY", # SPDR S&P 500 ETF "Russia" : "ERUS", # iShares MSCI Russia ETF "Israel" : "EIS", # iShares MSCI Israel ETF "India" : "INDA", # iShares MSCI India ETF "Poland" : "EPOL", # iShares MSCI Poland ETF "Turkey" : "TUR" # iShares MSCI Turkey ETF } for country, etf_symbol in self.symbols.items(): data = self.AddEquity(etf_symbol, Resolution.Daily) data.SetFeeModel(CustomFeeModel(self)) # CAPE data import. self.AddData(CAPE, 'CAPE', Resolution.Daily) self.month = 11 self.Schedule.On(self.DateRules.MonthStart('EWA'), self.TimeRules.AfterMarketOpen('EWA'), self.Rebalance) def Rebalance(self): self.month += 1 if self.month > 12: self.month = 1 if self.month != 12: return price = {} for country, etf_symbol in self.symbols.items(): if self.Securities.ContainsKey('CAPE') and self.Securities.ContainsKey(etf_symbol): cape_data = self.Securities['CAPE'].GetLastData() if cape_data: country_cape = cape_data.GetProperty(country) if country_cape < 15: etf_price = self.Securities[etf_symbol].Price if etf_price != 0: price[etf_symbol] = etf_price long = [] # Cape and price sorting. if len(price) != 0: sorted_by_price = sorted(price.items(), key = lambda x: x[1], reverse = True) tercile = int(len(sorted_by_price) / 3) long = [x[0] for x in sorted_by_price[-tercile:]] # 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: if self.Securities[etf_symbol].Price != 0 and self.Securities[etf_symbol].IsTradable: self.SetHoldings(symbol, 1 / len(long)) # NOTE: IMPORTANT: Data order must be ascending (datewise) # Data source: https://indices.barclays/IM/21/en/indices/static/historic-cape.app class CAPE(PythonData): def GetSource(self, config, date, isLiveMode): return SubscriptionDataSource("data.quantpedia.com/backtesting_data/economic/cape_by_country.csv", SubscriptionTransportMedium.RemoteFile, FileFormat.Csv) def Reader(self, config, line, date, isLiveMode): data = CAPE() 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['Australia'] = float(split[1]) data['Brazil'] = float(split[2]) data['Canada'] = float(split[3]) data['Switzerland'] = float(split[4]) data['China'] = float(split[5]) data['France'] = float(split[6]) data['Germany'] = float(split[7]) data['Hong Kong'] = float(split[8]) data['India'] = float(split[9]) data['Israel'] = float(split[10]) data['Italy'] = float(split[11]) data['Japan'] = float(split[12]) data['Korea'] = float(split[13]) data['Mexico'] = float(split[14]) data['Netherlands'] = float(split[15]) data['Poland'] = float(split[16]) data['Russia'] = float(split[17]) data['South Africa'] = float(split[18]) data['Singapore'] = float(split[19]) data['Spain'] = float(split[20]) data['Sweden'] = float(split[21]) data['Taiwan'] = float(split[22]) data['Turkey'] = float(split[23]) data['UK'] = float(split[24]) data['USA'] = float(split[25]) data.Value = float(split[1]) return data
import numpy as np from scipy.optimize import minimize 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 GetFutureMulitpliers(algorithm): symbol_multiplier = {} csv_string_file = algorithm.Download('data.quantpedia.com/backtesting_data/futures/contract_multiplier.csv') mulitpliers_lines = csv_string_file.split('\r\n') for line in mulitpliers_lines: symbol, multiplier = line.split(';') symbol_multiplier[symbol] = multiplier return symbol_multiplier # 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 # 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