Overall Statistics |
Total Trades
12367
Average Win
0.07%
Average Loss
-0.07%
Compounding Annual Return
-0.833%
Drawdown
41.500%
Expectancy
-0.028
Net Profit
-13.441%
Sharpe Ratio
0.005
Probabilistic Sharpe Ratio
0.000%
Loss Rate
53%
Win Rate
47%
Profit-Loss Ratio
1.05
Alpha
-0.003
Beta
0.047
Annual Standard Deviation
0.122
Annual Variance
0.015
Information Ratio
-0.419
Tracking Error
0.203
Treynor Ratio
0.012
Total Fees
$883.24
|
# https://quantpedia.com/strategies/earnings-announcement-premium/ # # The investment universe consists of all stocks from the CRSP database. At the beginning of every calendar month, stocks are ranked in ascending # order on the basis of the volume concentration ratio, which is defined as the volume of the previous 16 announcement months divided by the total # volume in the previous 48 months. The ranked stocks are assigned to one of 5 quintile portfolios. Within each quintile, stocks are assigned to # one of two portfolios (expected announcers and expected non-announcers) using the predicted announcement based on the previous year. All stocks # are value-weighted within a given portfolio, and portfolios are rebalanced every calendar month to maintain value weights. The investor invests # in a long-short portfolio, which is a zero-cost portfolio that holds the portfolio of high volume expected announcers and sells short the # portfolio of high volume expected non-announcers. import fk_tools from collections import deque class EarningsAnnouncementPremium(QCAlgorithm): def Initialize(self): self.SetStartDate(2003, 1, 1) self.SetCash(100000) self.symbol = 'SPY' self.AddEquity(self.symbol, Resolution.Daily) self.period = 21 self.month_period = 48 # Volume daily data. self.data = {} # Volume monthly data. self.monthly_volume = {} self.course_count = 1000 self.weight = {} self.selection_flag = False self.rebalance_flag = False self.UniverseSettings.Resolution = Resolution.Daily self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction) self.Schedule.On(self.DateRules.MonthStart(self.symbol), self.TimeRules.AfterMarketOpen(self.symbol), self.Selection) def OnSecuritiesChanged(self, changes): for security in changes.AddedSecurities: security.SetFeeModel(fk_tools.CustomFeeModel(self)) def CoarseSelectionFunction(self, coarse): if not self.selection_flag: return Universe.Unchanged self.selection_flag = False selected = sorted([x for x in coarse if x.HasFundamentalData and x.Market == 'usa' and x.Price > 5], key=lambda x: x.DollarVolume, reverse=True) return [x.Symbol for x in selected[:self.course_count]] def FineSelectionFunction(self, fine): fine = [x for x in fine if x.EarningReports.BasicAverageShares.ThreeMonths > 0 and x.EarningReports.BasicEPS.TwelveMonths > 0 and x.ValuationRatios.PERatio > 0] # Ratio/market cap pair. volume_concentration_ratio_market_cap = {} for stock in fine: symbol = stock.Symbol # Store daily price and volume data. if symbol not in self.data: self.data[symbol] = deque(maxlen = self.period) # Month worth of daily data is ready. if len(self.data[symbol]) == self.data[symbol].maxlen: # Store last month volume. if symbol not in self.monthly_volume: self.monthly_volume[symbol] = deque(maxlen = self.month_period) monthly_vol = sum([x for x in self.data[symbol]]) last_month_date = self.Time - timedelta(days=self.Time.day) last_file_date = stock.FinancialStatements.FileDate was_announcement_month = (last_file_date.year == last_month_date.year and last_file_date.month == last_month_date.month) # Last month was announcement date. self.monthly_volume[symbol].append(VolumeData(last_month_date, monthly_vol, was_announcement_month)) # 48 months of volume data is ready. if len(self.monthly_volume[symbol]) == self.monthly_volume[symbol].maxlen: # Volume concentration ratio calc. announcement_months_volume = sum([x.Volume for x in self.monthly_volume[symbol] if x.Was_announcement_month][-16:]) total_volume = sum([x.Volume for x in self.monthly_volume[symbol]]) if announcement_months_volume != 0 and total_volume != 0: # Market cap calc. market_cap = float(stock.EarningReports.BasicAverageShares.ThreeMonths * (stock.EarningReports.BasicEPS.TwelveMonths*stock.ValuationRatios.PERatio)) # Store ratio, market cap pair. volume_concentration_ratio = announcement_months_volume / total_volume volume_concentration_ratio_market_cap[symbol] = [volume_concentration_ratio, market_cap] fine_symbols = [x.Symbol for x in fine] # Remove old data, so we only store consecutive data. symbols_to_remove = [] for symbol in self.monthly_volume: if symbol not in fine_symbols: symbols_to_remove.append(symbol) for symbol in symbols_to_remove: del self.monthly_volume[symbol] # NOTE: Do we want ot remove symbol from daily data also? This way we save memory dramatically. - storing only self.course_count of symbols and its history compared to expanding dict of symbols with its history. # Therefore we only store actually selected symbols and delete those, which are not in self.course_count-long selection. # Otherwise, we would be storing whole lot of data which will not be used anymore. But those may appear in self.course_count-long selection later. # It appears to be minor difference in final equity and only 70 trades more has been opened with every peace of daily data stored. # # Storing every data throughout the backtest is more precise tho and it depends on use case and backtested strategy I guess. # del self.data[symbol] if len(volume_concentration_ratio_market_cap) == 0: return fine_symbols # Volume sorting. sorted_by_volume = sorted(volume_concentration_ratio_market_cap.items(), key = lambda x: x[1][0], reverse = True) quintile = int(len(sorted_by_volume) / 5) high_volume = [x for x in sorted_by_volume[:quintile]] # Filering announcers and non-announcers. month_to_lookup = self.Time.month year_to_lookup = self.Time.year - 1 long = [] short = [] for data in high_volume: symbol = data[0] announcement_dates = [[x.Date.year, x.Date.month] for x in self.monthly_volume[symbol] if x.Was_announcement_month] if [year_to_lookup, month_to_lookup] in announcement_dates: long.append(data) else: short.append(data) # Market cap weighting. total_market_cap = sum([x[1][1] for x in long + short]) long_symbols = [x[0] for x in long] for symbol, volume_concentration_ratio_market_cap in long + short: if symbol in long_symbols: self.weight[symbol] = volume_concentration_ratio_market_cap[1] / total_market_cap else: self.weight[symbol] = - volume_concentration_ratio_market_cap[1] / total_market_cap self.rebalance_flag = True return fine_symbols def OnData(self, data): # Store daily volume data. # for symbol in self.data: for symbol in self.Securities.Keys: if symbol.Value == 'SPY': continue if self.Securities.ContainsKey(symbol): volume = self.Securities[symbol].Volume if volume != 0: self.data[symbol].append(volume) else: # Append latest price as a next one in case there's 0 as price. if len(self.data[symbol]) > 0: last_data = self.data[symbol][-1] self.data[symbol].append(last_data) # Rabalance. if not self.rebalance_flag: return self.rebalance_flag = False # Trade execution count = len(self.weight) if count == 0: return stocks_invested = [x.Key for x in self.Portfolio if x.Value.Invested] symbols_to_rebalance = [x[0] for x in self.weight.items()] for symbol in stocks_invested: if symbol not in symbols_to_rebalance: self.Liquidate(symbol) # self.Liquidate() for symbol, w in self.weight.items(): if self.Securities[symbol].Price != 0: # Prevent error message. self.SetHoldings(symbol, 0.9 * w) self.weight.clear() def Selection(self): self.selection_flag = True # Monthly volume data. class VolumeData(): def __init__(self, date, monthly_volume, was_announcement_month): self.Date = date self.Volume = monthly_volume self.Was_announcement_month = was_announcement_month
import numpy as np from scipy.optimize import minimize sp100_stocks = ['AAPL','MSFT','AMZN','FB','BRK.B','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) # 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['settle'] = float(split[1]) data.Value = float(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.weight = 1 / (self.long_size + self.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, self.weight) self.long_len += 1 # Open new short trade. else: # If there's a place for it. if self.long_len < self.short_size: self.symbols.append(managed_symbol) self.algorithm.SetHoldings(symbol, - self.weight) self.short_len += 1 # 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) 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