CEO Interviews Effect

1from AlgorithmImports import *
2from typing import Dict, List
3import json
4#endregion
5class CEOInterviewsEffect(QCAlgorithm):
6def Initialize(self) -> None:
7self.SetStartDate(2010, 1, 1) # Interviews data starts in December 2006
8self.SetCash(100_000)
9self.UniverseSettings.Leverage = 10
10self.UniverseSettings.Resolution = Resolution.Minute
11self.AddUniverse(self.FundamentalSelectionFunction)
12self.Settings.MinimumOrderMarginPortfolioPercentage = 0.0
13self.settings.daily_precise_end_time = False
14
15self.holding_period: int = 10 # Days
16self.selection_flag: bool = False
17self.interviews_data: Dict[date, List[str]] = {}
18self.selected_securities: Dict[str, Symbol] = {}
19self.opened_short_positions_period: Dict[Symbol, int] = {}
20self.universe_tickers: Set(str) = set()
21
22url: str = 'data.quantpedia.com/backtesting_data/index/sp500_ceo_interviews.json'
23response: str = self.Download(url)
24ceo_interviews: List[Dict[str, str]] = json.loads(response)
25
26for interview_data in ceo_interviews:
27    date: datetime.date = datetime.strptime(interview_data['date'], '%d.%m.%Y').date()
28    self.interviews_data[date] = []
29    for ticker in interview_data['tickers']:
30        self.universe_tickers.add(ticker)
31        self.interviews_data[date].append(ticker)
32self.market: Symbol = self.AddEquity('SPY', Resolution.Minute).Symbol
33self.Schedule.On(
34    self.DateRules.MonthStart(self.market), 
35    self.TimeRules.BeforeMarketClose(self.market), 
36    self.Selection)
37self.Schedule.On(
38    self.DateRules.EveryDay(self.market), 
39    self.TimeRules.BeforeMarketClose(self.market, 1), 
40    self.ManageTrade)
41def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
42for security in changes.AddedSecurities:
43    security.SetFeeModel(CustomFeeModel())
44def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
45# Rebalance monthly
46if not self.selection_flag:
47    return Universe.Unchanged
48self.selection_flag = False
49  
50self.selected_securities = {
51    f.Symbol.Value: f.Symbol for f in fundamental
52    if f.Symbol.Value in self.universe_tickers
53}
54return list(self.selected_securities.values())
55
56def ManageTrade(self) -> None:
57# Liquidate opened symbols
58symbols_to_remove: List[Symbol] = []
59rebalance_flag: bool = False
60
61for symbol in self.opened_short_positions_period:
62    holding_period_remaining: int = self.opened_short_positions_period[symbol]
63    if holding_period_remaining == 0:
64        symbols_to_remove.append(symbol)
65    else:
66        self.opened_short_positions_period[symbol] -= 1
67
68for symbol in symbols_to_remove:
69    rebalance_flag = True
70    self.Liquidate(symbol)
71    del self.opened_short_positions_period[symbol]
72# Storing symbol of stocks, which CEOs had interview today
73short_symbols: List[Symbol] = [] 
74curr_date: datetime.date = self.Time.date()
75
76if curr_date in self.interviews_data:
77    tickers: List[str] = self.interviews_data[curr_date]
78    for ticker in tickers:
79        if ticker not in self.selected_securities:
80            continue
81        rebalance_flag = True
82        symbol: Symbol = self.selected_securities[ticker]
83        self.opened_short_positions_period[symbol] = self.holding_period
84
85if rebalance_flag:
86    opened_shorts: int = len(self.opened_short_positions_period)
87    if opened_shorts != 0:                
88        # Rebalance whole trade selection alongside the hedge
89        for symbol in self.opened_short_positions_period:
90            price: float = self.Securities[symbol].Price
91            if price != 0:
92                self.SetHoldings(symbol, -1 / opened_shorts)
93        
94        # Hedge with S&P500 future
95        self.SetHoldings(self.market, 1)
96    else:
97        # Liquidate hedge
98        self.Liquidate(self.market)
99def Selection(self) -> None:
100self.selection_flag = True
101class CustomFeeModel(FeeModel):
102def GetOrderFee(self, parameters: OrderFeeParameters) -> OrderFee:
103fee: float = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
104return OrderFee(CashAmount(fee, "USD"))