Combination of the Long-term and the Short-term Reversal in China

1from AlgorithmImports import *
2#endregion
3
4class CombinationoftheLongtermandtheShorttermReversalinChina(QCAlgorithm):
5
6def Initialize(self):
7self.SetStartDate(2000, 1, 1)
8self.SetCash(100000)
9
10self.data:dict = {}
11self.quantity:dict[Symbol, int] = {}
12
13# https://www.tradingview.com/markets/stocks-hong-kong/market-movers-large-cap/
14self.tickers:list[str] = [
15    '0700','1299','3690','9618','0883','0388','9633','1810','2388','1876',
16    '0011','0016','1024','0066','0267','1109','0688','2020','0669','0981',
17    '0003','0020','0001','0960','0002','2269','1113','2015','0027','2319',
18    '2328','0012','0291','0316','0788','2313','1929','2057','2331','2382',
19    '1928','1038','0968','0762','6618','2618','0881','1972','0006','2688',
20    '1997','0175','1821','1093','6098',
21    # NOTE price data error exclusion
22    # '1913','2007','6969','0151','9961',
23    # '1177','0004','0017','0083','1308',
24    # '0992','1378','0322','3692','6823',
25    '0868','6186','3323','1209','0101','2638','0586','3800','0836','0270',
26    '1179','6862','0288','1193','0019','0656','0135','2066','1099','0384',
27    '3799','9889','0916','0241','1359','0144','0489','3311','1044','0268'
28]
29
30# long and short term period
31self.st_period:int = 3 * 21
32self.st_period_skip:int = 1 * 21
33self.lt_period:int = 36 * 21
34self.lt_period_skip:int = 13 * 21
35self.quantile:int = 10
36self.max_missing_days = 5
37
38self.SetWarmup(self.lt_period, Resolution.Daily)
39
40for ticker in self.tickers:
41    # price data
42    data = self.AddData(ChineseStock, ticker, Resolution.Daily)
43    data.SetLeverage(10)
44    data.SetFeeModel(CustomFeeModel())
45
46    self.data[ticker] = SymbolData(self.lt_period)
47
48self.recent_month:int = -1
49
50def OnData(self, data:Slice):
51# store daily prices
52for ticker in self.tickers:
53    if ticker in data and data[ticker]:
54        self.data[ticker].update_close(data[ticker].Value)
55
56if self.Time.month == self.recent_month:
57    return
58self.recent_month = self.Time.month
59
60lt_momentum:dict = { ticker : self.data[ticker].momentum(self.lt_period, self.lt_period_skip) for ticker in self.tickers if self.data[ticker].closes_are_ready() and (self.Time.date() - self.Securities[ticker].GetLastData().Time.date()).days < self.max_missing_days}
61st_momentum:dict = { ticker : self.data[ticker].momentum(self.st_period, self.st_period_skip) for ticker in self.tickers if self.data[ticker].closes_are_ready() and (self.Time.date() - self.Securities[ticker].GetLastData().Time.date()).days < self.max_missing_days}
62
63if len(lt_momentum) >= self.quantile:
64    # both lt and st reversal strategy sorting
65    sorted_by_lt_momentum:list = sorted(lt_momentum.items(), key = lambda x: x[1], reverse=True)
66    self.vw_reversal_strategy_quantity(sorted_by_lt_momentum)
67    
68    sorted_by_st_momentum:list = sorted(st_momentum.items(), key = lambda x: x[1], reverse=True)
69    self.vw_reversal_strategy_quantity(sorted_by_st_momentum)
70
71# trade execution
72invested:list = [x.Key for x in self.Portfolio if x.Value.Invested]
73for symbol in invested:
74    if symbol not in self.quantity:
75        self.Liquidate(symbol)
76        
77for symbol, q in self.quantity.items():
78    self.MarketOrder(symbol, q)
79    
80self.quantity.clear()
81
82def vw_reversal_strategy_quantity(self, sorted_by_momentum:dict) -> None:
83quantile:int = int(len(sorted_by_momentum) / self.quantile)
84
85# long and short leg
86short:list = [x[0] for x in sorted_by_momentum[:quantile]]
87long:list = [x[0] for x in sorted_by_momentum[-quantile:]]
88
89# calculate weights and quantities
90w:float = 0.5 / len(short)
91for ticker in short:
92    q:int = int(np.floor(-(self.Portfolio.TotalPortfolioValue * w) / self.data[ticker].closes[0]))
93    if ticker not in self.quantity:
94        self.quantity[ticker] = q
95    else:
96        self.quantity[ticker] += q
97
98w:float = 0.5 / len(long)
99for ticker in long:
100    q:int = int(np.floor((self.Portfolio.TotalPortfolioValue * w) / self.data[ticker].closes[0]))
101    if ticker not in self.quantity:
102        self.quantity[ticker] = q
103    else:
104        self.quantity[ticker] += q
105
106class SymbolData():
107def __init__(self, max_momentum_period:int) -> None:
108self.closes = RollingWindow[float](max_momentum_period)
109
110def update_close(self, close:float) -> None:
111self.closes.Add(close)
112
113def closes_are_ready(self) -> bool:
114return self.closes.IsReady
115
116def momentum(self, momentum_period:int, skip_period:int) -> float:
117performance:float = self.closes[skip_period - 1] / self.closes[momentum_period - 1] - 1
118return performance
119
120# Custom fee model
121class CustomFeeModel():
122def GetOrderFee(self, parameters):
123fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
124return OrderFee(CashAmount(fee, "USD"))
125
126class ChineseStock(PythonData):
127''' https://finance.yahoo.com/ '''
128
129def GetSource(self, config, date, isLiveMode):
130return SubscriptionDataSource("data.quantpedia.com/backtesting_data/equity/hong_kong_stocks/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
131
132def Reader(self, config, line, date, isLiveMode):
133# Example Line Format:
134# 2003-03-12;590.3811645507812
135
136data = ChineseStock()
137data.Symbol = config.Symbol
138
139if not line[0].isdigit(): return None
140
141split = line.split(';')
142data.Time = datetime.strptime(split[0], "%Y-%m-%d") + timedelta(days=1)
143data.Value = float(split[1])
144
145return data