Accrual Effect in Family Firms

1from AlgorithmImports import *
2from typing import Dict, List
3from data_tools import SymbolData, CustomFeeModel
4# endregion
5
6class AccrualEffectInFamilyFirms(QCAlgorithm):
7
8def Initialize(self):
9self.SetStartDate(2000, 1, 1)
10self.SetCash(100000)
11
12self.leverage:int = 5
13self.quantile:int = 5
14
15self.max_missing_days:int = 356 + 10
16
17self.data:Dict[Symbol, SymbolData] = {}
18self.weights:Dict[Symbol, float] = {}
19
20family_businesses_csv:str = self.Download('data.quantpedia.com/backtesting_data/economic/family_businesses_tickers.csv').replace('\r\n', '')
21self.tickers:List[str] = family_businesses_csv.split(';')
22
23self.market:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
24
25self.selection_month:int = 6
26self.selection_flag:bool = False
27self.UniverseSettings.Resolution = Resolution.Daily
28self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
29
30self.Schedule.On(self.DateRules.MonthEnd(self.market), self.TimeRules.BeforeMarketClose(self.market, 0), self.Selection)
31
32def OnSecuritiesChanged(self, changes:SecurityChanges) -> None:
33for security in changes.AddedSecurities:
34    security.SetFeeModel(CustomFeeModel())
35    security.SetLeverage(self.leverage)
36
37def CoarseSelectionFunction(self, coarse:List[CoarseFundamental]) -> List[Symbol]:
38if not self.selection_flag:
39    return Universe.Unchanged
40
41selected_symbols:List[CoarseFundamental] = [x.Symbol for x in coarse if x.Symbol.Value in self.tickers]
42
43return selected_symbols
44
45def FineSelectionFunction(self, fine:List[FineFundamental]) -> List[Symbol]:
46curr_date:datetime.date = self.Time.date()
47total_accurals:Dict[Symbol, float] = {}
48
49for stock in fine:
50    if stock.FinancialStatements.BalanceSheet.CurrentAssets.TwelveMonths != 0 and \
51        stock.FinancialStatements.BalanceSheet.CurrentLiabilities.TwelveMonths != 0 and \
52        stock.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths != 0:
53
54        symbol:Symbol = stock.Symbol
55
56        operating_assets:float = stock.FinancialStatements.BalanceSheet.CurrentAssets.TwelveMonths
57        operating_liabilities:float = stock.FinancialStatements.BalanceSheet.CurrentLiabilities.TwelveMonths
58
59        net_operating_assets:float = operating_assets - operating_liabilities
60
61        if symbol not in self.data:
62            self.data[symbol] = SymbolData()
63
64        if not self.data[symbol].net_operating_assets_data_coming(curr_date, self.max_missing_days):
65            self.data[symbol].reset()
66
67        if self.data[symbol].net_operating_assets_ready():
68            total_assets:float = stock.FinancialStatements.BalanceSheet.TotalAssets.TwelveMonths
69            net_operating_assets_change:float = self.data[symbol].get_net_operating_assets_change(net_operating_assets)
70            total_accurals_value:float = net_operating_assets_change / total_assets
71
72            total_accurals[symbol] = total_accurals_value
73
74        self.data[symbol].set_net_operating_assets(curr_date, net_operating_assets)
75
76# make sure there are enough stocks for selection
77if len(total_accurals) < self.quantile:
78    return Universe.Unchanged
79
80quantile:int = int(len(total_accurals) / self.quantile)
81sorted_by_total_accs:List[Symbol] = [x[0] for x in sorted(total_accurals.items(), key=lambda item: item[1])]
82
83# long companies with low total accurals and short companies with high total accs
84long_leg:List[float] = sorted_by_total_accs[:quantile]
85short_leg:List[float] = sorted_by_total_accs[-quantile:]
86
87for symbol in long_leg:
88    self.weights[symbol] = 1 / quantile
89
90for symbol in short_leg:
91    self.weights[symbol] = -1 / quantile
92
93return list(self.weights.keys())  
94
95def OnData(self, data:Slice) -> None:
96if not self.selection_flag:
97    return
98self.selection_flag = False
99
100# trade execution
101invested:List[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
102for symbol in invested:
103    if symbol not in self.weights:
104        self.Liquidate(symbol)
105        
106for symbol, w in self.weights.items():
107    self.SetHoldings(symbol, w)
108        
109self.weights.clear()
110
111def Selection(self):
112if self.selection_month == self.Time.month:
113    self.selection_flag = True