I was just goofing around with this algo, and set the trading time to mid-day. The results were relatively poor. Then I switched to one hour after open, and got this result. There seems to be a time-of-day dependence, although it demands more investigation.

Thought I'd share in case someone has insights, or would like to do some testing.

Grant

Clone Algorithm

775

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Backtest from
to
with
initial capital

Cumulative performance:

Algorithm
Benchmark

Custom data:

Total Returns

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Alpha

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Beta

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Sharpe

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Sortino

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Max Drawdown

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Benchmark Returns

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Volatility

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Returns | 1 Month | 3 Month | 6 Month | 12 Month |

Alpha | 1 Month | 3 Month | 6 Month | 12 Month |

Beta | 1 Month | 3 Month | 6 Month | 12 Month |

Sharpe | 1 Month | 3 Month | 6 Month | 12 Month |

Sortino | 1 Month | 3 Month | 6 Month | 12 Month |

Volatility | 1 Month | 3 Month | 6 Month | 12 Month |

Max Drawdown | 1 Month | 3 Month | 6 Month | 12 Month |

# Adapted from: # Li, Bin, and Steven HOI. "On-Line Portfolio Selection with Moving Average Reversion." The 29th International Conference on Machine Learning (ICML2012), 2012. # http://icml.cc/2012/papers/168.pdf import numpy as np from scipy import optimize import pandas as pd def initialize(context): context.eps = 1.005 # context.pct_index = 1 # max percentage of inverse ETF context.leverage = 1.0 print 'context.eps = ' + str(context.eps) # print 'context.pct_index = ' + str(context.pct_index) print 'context.leverage = ' + str(context.leverage) schedule_function(trade, date_rules.every_day(), time_rules.market_open(minutes=60)) context.data = [] set_benchmark(sid(19920)) # QQQ def before_trading_start(context): fundamental_df = get_fundamentals( query( fundamentals.valuation.market_cap, ) .filter(fundamentals.company_reference.primary_exchange_id == 'NAS') .filter(fundamentals.valuation.market_cap != None) .order_by(fundamentals.valuation.market_cap.desc()).limit(20)) update_universe(fundamental_df.columns.values) context.stocks = [stock for stock in fundamental_df] # context.stocks.append(symbols('PSQ')[0]) # add inverse ETF to universe # check if data exists for stock in context.stocks: if stock not in context.data: context.stocks.remove(stock) def handle_data(context, data): record(leverage = context.account.leverage) context.data = data def get_allocation(context,data,n,prices): prices = pd.ewma(prices,span=390).as_matrix(context.stocks) b_t = [] for stock in context.stocks: b_t.append(context.portfolio.positions[stock].amount*data[stock].price) m = len(b_t) b_0 = np.ones(m) / m # equal-weight portfolio denom = np.sum(b_t) if denom == 0.0: b_t = np.copy(b_0) else: b_t = np.divide(b_t,denom) x_tilde = [] for i, stock in enumerate(context.stocks): mean_price = np.mean(prices[:,i]) x_tilde.append(mean_price/prices[-1,i]) bnds = [] limits = [0,1] for stock in context.stocks: bnds.append(limits) # bnds[-1] = [0,context.pct_index] # limit exposure to index bnds = tuple(tuple(x) for x in bnds) cons = ({'type': 'eq', 'fun': lambda x: np.sum(x)-1.0}, {'type': 'ineq', 'fun': lambda x: np.dot(x,x_tilde) - context.eps}) res= optimize.minimize(norm_squared, b_0, args=b_t,jac=norm_squared_deriv,method='SLSQP',constraints=cons,bounds=bnds, options={'disp': False, 'maxiter': 100, 'iprint': 1, 'ftol': 1e-6}) allocation = res.x allocation[allocation<0] = 0 allocation = allocation/np.sum(allocation) if res.success and (np.dot(allocation,x_tilde)-context.eps > 0): return (allocation,np.dot(allocation,x_tilde)) else: return (b_t,1) def trade(context,data): # check if data exists for stock in context.stocks: if stock not in data: context.stocks.remove(stock) # check for de-listed stocks & leveraged ETFs for stock in context.stocks: if stock.security_end_date < get_datetime(): # de-listed ? context.stocks.remove(stock) if stock in security_lists.leveraged_etf_list: # leveraged ETF? context.stocks.remove(stock) # check for open orders if get_open_orders(): return # find average weighted allocation over range of trailing window lengths a = np.zeros(len(context.stocks)) w = 0 prices = history(8*390,'1m','price') for n in range(1,9): (a,w) = get_allocation(context,data,n,prices.tail(n*390)) a += w*a w += w allocation = a/w allocation = allocation/np.sum(allocation) allocate(context,data,allocation) def allocate(context, data, desired_port): record(long = sum(desired_port)) # record(inverse = desired_port[-1]) for i, stock in enumerate(context.stocks): order_target_percent(stock, context.leverage*desired_port[i]) for stock in data: if stock not in context.stocks: order_target_percent(stock,0) def norm_squared(b,*args): b_t = np.asarray(args) delta_b = b - b_t return 0.5*np.dot(delta_b,delta_b.T) def norm_squared_deriv(b,*args): b_t = np.asarray(args) delta_b = b - b_t return delta_b

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