Overall Statistics |
Total Trades
762
Average Win
0.58%
Average Loss
-1.30%
Compounding Annual Return
6.995%
Drawdown
29.300%
Expectancy
0.238
Net Profit
330.578%
Sharpe Ratio
0.717
Probabilistic Sharpe Ratio
7.776%
Loss Rate
14%
Win Rate
86%
Profit-Loss Ratio
0.45
Alpha
0.053
Beta
0.251
Annual Standard Deviation
0.106
Annual Variance
0.011
Information Ratio
-0.092
Tracking Error
0.173
Treynor Ratio
0.304
Total Fees
$1950.33
Estimated Strategy Capacity
$2700000.00
Lowest Capacity Asset
GSG TKH7EPK7SRC5
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# https://quantpedia.com/strategies/asset-class-trend-following/ # # Use 5 ETFs (SPY - US stocks, EFA - foreign stocks, IEF - bonds, VNQ - REITs, # GSG - commodities), equal weight the portfolio. Hold asset class ETF only when # it is over its 10 month Simple Moving Average, otherwise stay in cash. # # QC implementation: # - SMA with period of days is used. class AssetClassTrendFollowing(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 1, 1) self.SetCash(100000) self.data = {} period = 10 * 21 self.SetWarmUp(period) self.symbols = ["SPY", "EFA", "IEF", "VNQ", "GSG"] self.rebalance_flag = False self.tracked_symbol = None for symbol in self.symbols: self.AddEquity(symbol, Resolution.Minute) self.data[symbol] = self.SMA(symbol, period, Resolution.Daily) self.data["SPY"].Updated += self.OnSmaUpdated self.recent_month = -1 def OnSmaUpdated(self, sender, updated): # set rebalance flag if self.recent_month != self.Time.month: self.recent_month = self.Time.month self.rebalance_flag = True def OnData(self, data): # rebalance once a month if self.rebalance_flag: self.rebalance_flag = False long = [] for symbol in self.symbols: if symbol in data and data[symbol]: if self.data[symbol].IsReady: if data[symbol].Value > self.data[symbol].Current.Value: long.append(symbol) # Trade execution. invested = [x.Key.Value 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: hist = self.History(self.Symbol(symbol), 2, Resolution.Daily) self.SetHoldings(symbol, 1 / len(long))