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Ray Dalio's All Weather Strategy - Algorithm Quantconnect
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| from datetime import datetime | |
| from collections import * | |
| ### <summary> | |
| ### All Weather Strategy (Ray Dalio) w/ annual rebalance. Run on QuantConnect www.quantconnect.com | |
| ### #http://www.lazyportfolioetf.com/allocation/ray-dalio-all-weather/ | |
| ### </summary>> | |
| class AllWeatherStrategy(QCAlgorithm): | |
| def Initialize(self): | |
| self.SetStartDate(2011, 1, 1) | |
| self.SetEndDate(2019, 1, 31) | |
| self.SetCash(100000) | |
| self.monthCounter = 0 | |
| # Country index ETFs according to https://seekingalpha.com/etfs-and-funds/etf-tables/countries | |
| self.etfs = [ | |
| (self.AddEquity('SPY', Resolution.Daily).Symbol,0.0), | |
| (self.AddEquity('VTI', Resolution.Daily).Symbol,0.3), #Vanguard Total Stock Market ETF | |
| (self.AddEquity('TLT', Resolution.Daily).Symbol,0.4), # iShares 20+ Year Treasury ETF (TLT) | |
| (self.AddEquity('IEF', Resolution.Daily).Symbol,0.15), #iShares 7 – 10 Year Treasury ETF (IEF) | |
| (self.AddEquity('GLD', Resolution.Daily).Symbol,0.075), #SPDR Gold Shares ETF (GLD), #SPDR Gold Shares (GLD) | |
| (self.AddEquity('DBC', Resolution.Daily).Symbol,0.075) # PowerShares DB Commodity Index Tracking Fund (DBC)" | |
| ] | |
| self.Schedule.On(self.DateRules.MonthStart(self.etfs[0][0]), self.TimeRules.AfterMarketOpen(self.etfs[0][0]), self.Rebalance) | |
| self.leverage = 1.5 | |
| self.monthCounter = 1 | |
| # Set Benchmark | |
| self.SetBenchmark("SPY") | |
| # Variable to hold the last calculated benchmark value | |
| self.lastBenchmarkValue = None | |
| # Our inital benchmark value scaled to match our portfolio | |
| self.BenchmarkPerformance = self.Portfolio.TotalPortfolioValue | |
| def OnData(self, data): | |
| benchmark = self.Securities["SPY"].Close | |
| # Calculate the performance of our benchmark and update our benchmark value for plotting | |
| if self.lastBenchmarkValue is not None: | |
| self.BenchmarkPerformance = self.BenchmarkPerformance * (benchmark/self.lastBenchmarkValue) | |
| # store today's benchmark close price for use tomorrow | |
| self.lastBenchmarkValue = benchmark | |
| # make our plots | |
| self.Plot("Strategy vs Benchmark", "Portfolio Value", self.Portfolio.TotalPortfolioValue) | |
| self.Plot("Strategy vs Benchmark", "Benchmark", self.BenchmarkPerformance) | |
| def Rebalance(self): | |
| if self.monthCounter is 12: | |
| self.SetHoldings([PortfolioTarget(etf,target*self.leverage) for etf,target in self.etfs]) | |
| self.monthCounter = 1 | |
| else: | |
| self.monthCounter = self.monthCounter+1 |
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