1 Month Momentum in International Equities

1from collections import deque
2from AlgorithmImports import *
3class OneMonthMomentumInternationalEquities(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2010, 1, 1)
6self.SetCash(100000)
7
8self.symbols = ["EWJ",  # iShares MSCI Japan Index ETF
9                "EZU",  # iShares MSCI Eurozone ETF
10                "EFNL", # iShares MSCI Finland Capped Investable Market Index ETF
11                "EWW",  # iShares MSCI Mexico Inv. Mt. Idx
12                "ERUS", # iShares MSCI Russia ETF
13                "IVV",  # iShares S&P 500 Index
14                "ICOL", # Consumer Discretionary Select Sector SPDR Fund
15                "AAXJ", # iShares MSCI All Country Asia ex Japan Index ETF
16                "AUD",  # Australia Bond Index Fund
17                "EWQ",  # iShares MSCI France Index ETF
18                "BUND", # Pimco Germany Bond Index Fund
19                "EWH",  # iShares MSCI Hong Kong Index ETF
20                "EPI",  # WisdomTree India Earnings ETF
21                "EIDO"  # iShares MSCI Indonesia Investable Market Index ETF
22                "EWI",  # iShares MSCI Italy Index ETF
23                "GAF",  # SPDR S&P Emerging Middle East & Africa ETF
24                "ENZL", # iShares MSCI New Zealand Investable Market Index Fund
25                "NORW"  # Global X FTSE Norway 30 ETF
26                "EWY",  # iShares MSCI South Korea Index ETF
27                "EWP",  # iShares MSCI Spain Index ETF
28                "EWD",  # iShares MSCI Sweden Index ETF
29                "EWL",  # iShares MSCI Switzerland Index ETF
30                "GXC",  # SPDR S&P China ETF
31                "EWC",  # iShares MSCI Canada Index ETF
32                "EWZ",  # iShares MSCI Brazil Index ETF
33                "ARGT", # Global X FTSE Argentina 20 ETF
34                "AND",  # Global X FTSE Andean 40 ETF
35                "AIA",  # iShares S&P Asia 50 Index ETF
36                "EWO",  # iShares MSCI Austria Investable Mkt Index ETF
37                "EWK",  # iShares MSCI Belgium Investable Market Index ETF
38                "BRAQ", # Global X Brazil Consumer ETF
39                "ECH",  # iShares MSCI Chile Investable Market Index ETF
40                "CHIB", # Global X China Technology ETF
41                "EGPT", # Market Vectors Egypt Index ETF
42                "ADRU"  # BLDRS Europe 100 ADR Index ETF
43                ]
44                
45self.period = 21
46self.SetWarmUp(self.period, Resolution.Daily)
47
48self.data = {}
49for symbol in self.symbols:
50    self.AddEquity(symbol, Resolution.Daily)
51    self.data[symbol] = self.ROC(symbol, self.period, Resolution.Daily)
52self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.AfterMarketOpen(self.symbols[0]), self.Rebalance)
53
54def Rebalance(self):
55if self.IsWarmingUp: return
56
57# Return sorting
58returns = { x: self.data[x].Current.Value for x in self.data if self.data[x].IsReady }
59
60long = []
61short = []
62if len(returns) >= 5:
63    sorted_by_return = sorted(returns.items(), key = lambda x: x[1], reverse = True)
64    quintile = int(len(sorted_by_return)/5)
65    long = [x[0] for x in sorted_by_return[:quintile]]
66    short = [x[0] for x in sorted_by_return[-quintile:]]
67    
68# Trade execution
69long_count = len(long)
70short_count = len(short)
71invested = [x.Key for x in self.Portfolio if x.Value.Invested]
72for symbol in invested:
73    if symbol not in long + short:
74        self.Liquidate(symbol)
75
76for symbol in long:
77    self.SetHoldings(symbol, 1/long_count)
78for symbol in short:
79    self.SetHoldings(symbol, -1/short_count)