Introducing BlueBlood Quantitative Trading Strategies Index

Over last several months I was building the system that would help to easier integrate multiple (or rather, any number of) quantitative trading strategies, their components, higher level risk control models, various data collection and trading plugins into one solution (“index”).

So, here I present this proof of concept — one command getting all required data, calculating strategies, statistics of each strategy and resulting index, also generating various visual examinations and getting required portfolio weights for next trading day.

So,

# runs through all portfolios, strategies and generates index:
python manage.py --gen=x

Stats:

Basics -----------------------
Start: 2008-01-07
End: 2018-09-13
Years: 11
Total return: 220.60%
YTD: 1.89%
Month to date: -0.00%
3 months: 2.51%
6 months: 3.12%
3 years: 71.76%
Daily skew: -0.62
Daily kurtosis: 8.05
Best day: 4.67%
Worst day: -6.84%
Monthly volatility: 3.66%
Monthly skew: 0.92
Monthly kurtosis: 0.92
Best month: 15.21%
Worst month: -5.11%
Best year: 40.36%
Worst year: 1.89%
Yearly average: 20.05%
Yearly volatility: 10.68%
Yearly skew: 0.15
Yearly kurtosis: 0.17
Average down month -0.56%
Average up month: 2.27%
Win years: 100.00%
Win months: 68.22%
Win weeks: 60.75%
Volatility 0.819%
Average month return 1.710%
Profit factor 1.83
Average trade 0.08%
Average win 0.30%
Average loss -0.21%
Wins 1529
Losses 1153
Win rate 57.010%
Autocorrelation -0.029
Ratios -----------------------
Sharpe* 1.589
Monthly Sharpe: 1.62
Weekly Sharpe: 1.67
yearly Sharpe: 1.88
Common Sense Ratio: 1.56
Beta 0.322
Alpha 0.001
Treynor* 0.040
Information ratio 0.035
Modigliani ratio* 0.008
Omega Ratio* -15.875
Sortino Ratio* 1.581
Kappa Three 0.257
Upside potential ratio 0.100
Calmar Ratio* 0.094
Ulcer Index 464.596
Ulcer Performance Index* 0.000
Burke Ratio* 0.437
Win-Loss Ratio -1.38
CPC Index -1.444
Tail ratio -1.129
Outlier win ratio 8.027
Outlier loss ratio 11.139
VaR --------------------------
VaR 0.059
Conditional VaR 0.066
Excess VaR* 0.222
Conditional Sharpe* 3.144
DD ---------------------------
Max DD 13.897%
Average DD -2.98%
Average DD Squared 0.089%
Max DD duration 44
Drawdown probability 0.035
Return probability 0.000
* Values are annualized.

Let’s examine how it all looks. Cumulative returns (without reinvestments):

Cumulative returns

Drawdowns:

Drawdowns

Drawdowns to probability (frequentist approach)

Returns by year to date:

Returns by year

Returns by month to date:

Returns by month

Correlations (full data):

Correlations

Rolling Sharpe (annualized):

Rolling Sharpe

Rolling yearly return:

Rolling yearly return

Of course, this repository has no publicly available implementations, you need to do your own work creating portfolios, strategies, risk models and index, but it still can be useful when creating great quantitative trading experiences, playing out experiments or, collecting data.

BlueBloodLtd/blueblood

Anyone interested in trading index live, just contact us to discuss possibilities.