Cash Holdings Effect and Net Operating Assets

1from AlgorithmImports import *
2# endregion
3
4class CashHoldingsEffectAndNetOperatingAssets(QCAlgorithm):
5
6def Initialize(self):
7self.SetStartDate(2000, 1, 1)
8self.SetCash(100000)
9
10self.leverage:int = 5
11self.cash_holdings_quantile:int = 5
12self.net_operating_assets_quantile:int = 2
13self.three_months_flag:bool = True
14
15self.weights:Dict[Symbol, float] = {}
16
17self.market:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
18
19self.coarse_count:int = 3000
20self.selection_flag:bool = False
21self.UniverseSettings.Resolution = Resolution.Daily
22self.AddUniverse(self.FundamentalSelectionFunction)
23
24self.Settings.MinimumOrderMarginPortfolioPercentage = 0.        
25self.Schedule.On(self.DateRules.MonthStart(self.market), self.TimeRules.BeforeMarketClose(self.market, 0), self.Selection)
26
27def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
28for security in changes.AddedSecurities:
29    security.SetFeeModel(CustomFeeModel())
30    security.SetLeverage(self.leverage)
31
32def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
33if not self.selection_flag:
34    return Universe.Unchanged
35
36fundamental = [x for x in fundamental if not np.isnan(x.FinancialStatements.BalanceSheet.Cash.ThreeMonths) and x.FinancialStatements.BalanceSheet.Cash.ThreeMonths != 0 and \
37    not np.isnan(x.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths) and x.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths != 0 and \
38    not np.isnan(x.FinancialStatements.BalanceSheet.FinancialAssets.ThreeMonths) and x.FinancialStatements.BalanceSheet.FinancialAssets.ThreeMonths != 0 and \
39    not np.isnan(x.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths) and x.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths != 0
40    ]
41
42if self.coarse_count <= 1000:
43    selected:List = sorted([x for x in fundamental if x.HasFundamentalData and x.Market == 'usa'],
44            key=lambda x: x.DollarVolume, reverse=True)[:self.coarse_count]
45else:
46    selected:List = list(filter(lambda stock: stock.MarketCap != 0, [x for x in fundamental if x.HasFundamentalData and x.Market == 'usa' and x.AdjustedPrice >= 5]))[-self.coarse_count:]
47
48cash_holdings:Dict[Symbol, float] = {}
49net_operating_assets:Dict[Symbol, float] = {}
50
51for stock in selected:
52    symbol:Symbol = stock.Symbol
53
54    cash:float = stock.FinancialStatements.BalanceSheet.Cash.ThreeMonths if self.three_months_flag \
55        else stock.FinancialStatements.BalanceSheet.Cash.TwelveMonths
56    total_assets:float = stock.FinancialStatements.BalanceSheet.TotalAssets.ThreeMonths if self.three_months_flag \
57        else stock.FinancialStatements.BalanceSheet.TotalAssets.TwelveMonths
58    financial_assets:float = stock.FinancialStatements.BalanceSheet.FinancialAssets.ThreeMonths if self.three_months_flag \
59        else stock.FinancialStatements.BalanceSheet.FinancialAssets.TwelveMonths
60    total_liabilities:float = stock.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.ThreeMonths if self.three_months_flag \
61        else stock.FinancialStatements.BalanceSheet.TotalLiabilitiesAsReported.TwelveMonths
62
63    if all([cash, total_assets, financial_assets, total_liabilities]):
64        cash_holdings_value:float = cash / total_assets
65        cash_holdings[symbol] = cash_holdings_value
66
67        operating_assets:float = total_assets - financial_assets
68        net_operating_assets_value:float = (operating_assets - total_liabilities) / total_assets
69        net_operating_assets[symbol] = net_operating_assets_value
70
71if len(cash_holdings) < self.cash_holdings_quantile or len(net_operating_assets) < self.net_operating_assets_quantile:
72    return Universe.Unchanged
73
74cash_holdings_quantile:int = int(len(cash_holdings) / self.cash_holdings_quantile)
75sorted_by_cash_holdings:List[Symbol] = [x[0] for x in sorted(cash_holdings.items(), key=lambda item: item[1])]
76high_cash_holdings:List[Symbol] = sorted_by_cash_holdings[-cash_holdings_quantile:]
77low_cash_holdings:List[Symbol] = sorted_by_cash_holdings[:cash_holdings_quantile]
78
79net_operating_assets_quantile:int = int(len(net_operating_assets) / self.net_operating_assets_quantile)
80sorted_by_net_op_assets:List[Symbol] = [x[0] for x in sorted(net_operating_assets.items(), key=lambda item: item[1])]
81low_net_operating_assets:List[Symbol] = sorted_by_net_op_assets[:net_operating_assets_quantile]
82high_net_operating_assets:List[Symbol] = sorted_by_net_op_assets[-net_operating_assets_quantile:]
83
84long:List[Symbol] = [symbol for symbol in high_cash_holdings if symbol in low_net_operating_assets]
85short:List[Symbol] = [symbol for symbol in low_cash_holdings if symbol in high_net_operating_assets]
86
87for i, portfolio in enumerate([long, short]):
88    for symbol in portfolio:
89        self.weights[symbol] = ((-1) ** i) / len(portfolio)
90
91return list(self.weights.keys())
92
93def OnData(self, data: Slice) -> None:
94if not self.selection_flag:
95    return
96self.selection_flag = False
97
98# trade execution
99invested:List[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
100for symbol in invested:
101    if symbol not in self.weights:
102        self.Liquidate(symbol)
103        
104for symbol, w in self.weights.items():
105    if symbol in data and data[symbol]:
106        self.SetHoldings(symbol, w)
107        
108self.weights.clear()
109
110def Selection(self) -> None:
111self.selection_flag = True
112
113# Custom fee model
114class CustomFeeModel(FeeModel):
115def GetOrderFee(self, parameters):
116fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
117return OrderFee(CashAmount(fee, "USD"))