Alpha Momentum in Country and Industry Equity Indexes

1import numpy as np
2from AlgorithmImports import *
3class AlphaMomentumCountryIndustryEquityIndexes(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2005, 1, 1)
6self.SetCash(100000)
7
8self.symbols = [
9    "EWJ",  # iShares MSCI Japan Index ETF
10    "EZU",  # iShares MSCI Eurozone ETF
11    "EFNL", # iShares MSCI Finland Capped Investable Market Index ETF
12    "EWW",  # iShares MSCI Mexico Inv. Mt. Idx
13    "ERUS", # iShares MSCI Russia ETF
14    "IVV",  # iShares S&P 500 Index
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.lookup_period = 12 * 21
46self.SetWarmup(self.lookup_period)
47self.data = {}
48
49for symbol in self.symbols:
50    self.AddEquity(symbol, Resolution.Daily)
51    self.data[symbol] = RollingWindow[float](self.lookup_period)
52
53self.settings.minimum_order_margin_portfolio_percentage = 0.
54self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.AfterMarketOpen(self.symbols[0]), self.Rebalance)
55
56def OnData(self, data):
57for symbol in self.symbols:
58    if symbol in data and data[symbol]:
59        price = data[symbol].Value
60        self.data[symbol].Add(price)
61        
62def Rebalance(self):
63if self.IsWarmingUp: return
64
65# Returns calculation.
66returns = {x : (self.data[x][0] / self.data[x][self.lookup_period - 1] - 1) for x in self.symbols if self.data[x].IsReady}
67if len(returns) == 0: return
68
69# Alpha score calc.
70eq_returns = [x[1] for x in returns.items()]
71return_mean = np.mean(eq_returns)
72return_std = np.std(eq_returns)
73
74alpha_score = {}
75for symbol in self.symbols:
76    if symbol in returns:
77        alpha = returns[symbol] - return_mean
78        alpha_score[symbol] = alpha / return_std
79        
80# Alpha score sorting.
81sorted_by_alpha_score = sorted(alpha_score.items(), key = lambda x: x[1], reverse = True)
82quintile = int(len(sorted_by_alpha_score) / 5)
83long = [x[0] for x in sorted_by_alpha_score[:quintile]]
84short = [x[0] for x in sorted_by_alpha_score[-quintile:]]
85
86# Trade execution.
87invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
88for symbol in invested:
89    if symbol not in long + short:
90        self.Liquidate(symbol)
91long_count = len(long)
92short_count = len(short)
93
94for symbol in long:
95    self.SetHoldings(symbol, 1/long_count)
96for symbol in short:
97    self.SetHoldings(symbol, -1/short_count)