Combining Momentum, Term Structure, and Idiosyncratic Volatility within Commodities

1from AlgorithmImports import *
2import numpy as np
3from collections import deque
4class MomentumTermStructureIdiosyncraticVolatility(QCAlgorithm):
5def Initialize(self):
6 self.SetStartDate(2010, 1, 1)
7 self.SetCash(100000)
8 self.symbols = {
9     "CME_S1"  : Futures.Grains.Soybeans,        # Soybean Futures, Continuous Contract #1
10     "CME_W1"  : Futures.Grains.Wheat,           # Wheat Futures, Continuous Contract #1
11     "CME_SM1" : Futures.Grains.SoybeanMeal,     # Soybean Meal Futures, Continuous Contract #1
12     "CME_BO1" : Futures.Grains.SoybeanOil,      # Soybean Oil Futures, Continuous Contract #1
13     "CME_C1"  : Futures.Grains.Corn,            # Corn Futures, Continuous Contract #1
14     "CME_O1"  : Futures.Grains.Oats,            # Oats Futures, Continuous Contract #1
15     
16     "CME_LC1" : Futures.Meats.LiveCattle,       # Live Cattle Futures, Continuous Contract #1 
17     "CME_FC1" : Futures.Meats.FeederCattle,     # Feeder Cattle Futures, Continuous Contract #1
18     "CME_LN1" : Futures.Meats.LeanHogs,         # Lean Hog Futures, Continuous Contract #1 
19     
20     "CME_GC1" : Futures.Metals.Gold,            # Gold Futures, Continuous Contract #1 
21     "CME_SI1" : Futures.Metals.Silver,          # Silver Futures, Continuous Contract #1 
22     "CME_PL1" : Futures.Metals.Platinum,        # Platinum Futures, Continuous Contract #1 
23     "CME_PA1" : Futures.Metals.Palladium,       # Palladium Futures, Continuous Contract 
24     "CME_HG1" : Futures.Metals.Copper,          # Copper Futures, Continuous Contract
25     # "CME_NG1" : Futures.Energies.NaturalGas,    # Natural Gas (Henry Hub) Physical Futures, Continuous Contract
26     "CME_CL1" : Futures.Energies.CrudeOilWTI,   # Crude Oil Futures, Continuous Contract
27     "ICE_O1"  : Futures.Energies.HeatingOil,    # Heating Oil Futures, Continuous Contract #1
28     
29     # "ICE_CC1" : Futures.Softs.Cocoa,            # Cocoa Futures, Continuous Contract 
30     # "ICE_CT1" : Futures.Softs.Cotton2,          # Cotton No. 2 Futures, Continuous Contract
31     # "ICE_KC1" : Futures.Softs.Coffee,           # Coffee C Futures, Continuous Contract
32     # "ICE_OJ1" : Futures.Softs.OrangeJuice,      # Orange Juice Futures, Continuous Contract
33     # "ICE_SB1" : Futures.Softs.Sugar11           # Sugar No. 11 Futures, Continuous Contract
34 }
35 
36 self.data = {}
37 self.chains = {}
38 R = [1,3,6,12]
39 self.period = R[2] * 21
40 self.SetWarmUp(self.period)
41 for symbol in self.symbols:
42     data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily)
43     data.SetLeverage(8)
44     data.SetFeeModel(CustomFeeModel())
45     future = self.AddFuture(self.symbols[symbol], Resolution.Minute)
46     future.SetFilter(timedelta(0), timedelta(days = self.period))
47     self.data[symbol] = SymbolData(symbol, str(self.symbols[symbol]), self.period)
48 
49 symbols = [x for x in self.symbols]      
50 self.rebalance_flag: bool = False                  
51 self.Schedule.On(self.DateRules.MonthStart(symbols[0]), self.TimeRules.At(0, 0), self.Rebalance)
52 self.settings.daily_precise_end_time = False
53 self.settings.minimum_order_margin_portfolio_percentage = 0.
54def OnData(self, slice):
55 for symbol in self.symbols:
56     if self.securities[symbol].get_last_data() and self.time.date() > QuantpediaFutures.get_last_update_date()[symbol]:
57         self.liquidate(symbol)
58         self.data[symbol].History.clear()
59         continue
60     
61     if symbol in slice and slice[symbol]:
62         price = slice[symbol].Value
63         self.data[symbol].Update(price)
64 # Get futures chains 
65 for chain in slice.FutureChains:
66     if chain.Value.Contracts.Count < 2: continue
67     if chain.Value.Symbol.Value not in self.chains:
68         self.chains[chain.Value.Symbol.Value] = [i for i in chain.Value]
69     self.chains[chain.Value.Symbol.Value] = [i for i in chain.Value]
70 if not self.rebalance_flag:
71     return
72 self.rebalance_flag = False
73 if self.IsWarmingUp: return
74 # Calculate roll return
75 roll_returns = {}
76 for symbol, chain in self.chains.items():
77     contracts = sorted(chain, key = lambda x: x.Expiry)
78     
79     # R  = (log(Pn) - log(Pd)) * 365 / (Td - Tn)
80     # R  - Roll returns
81     # Pn - Nearest contract price
82     # Pd - Distant contract price
83     # Tn - Nearest contract expire date
84     # Pd - Distant contract expire date
85     near_contract = contracts[0]
86     distant_contract = contracts[-1]
87     price_near = near_contract.LastPrice if near_contract.LastPrice > 0 else 0.5 * float(near_contract.AskPrice + near_contract.BidPrice)
88     price_distant = distant_contract.LastPrice if distant_contract.LastPrice > 0 else 0.5 * float(distant_contract.AskPrice + distant_contract.BidPrice)
89     if distant_contract.Expiry == near_contract.Expiry:
90         self.Debug("ERROR: Near and distant contracts have the same expiry!" + str(near_contract))
91         return
92     
93     expire_range = 365 / (distant_contract.Expiry - near_contract.Expiry).days
94     roll_returns[symbol] = (np.log(float(price_near)) - np.log(float(price_distant))) * expire_range
95
96     for data in self.data.items():
97         if data[1].Future == symbol:
98             data[1].Roll_return = (np.log(float(price_near)) - np.log(float(price_distant))) * expire_range
99 max_score = len(self.symbols)
100 score = max_score
101 # Return Sorting
102 sorted_by_ret = sorted([x for x in self.data.items() if x[1].IsReady()], key=lambda x: x[1].Return(), reverse = True)
103 sorted_by_ret = [x[0] for x in sorted_by_ret]
104 for symbol in sorted_by_ret:
105     self.data[symbol].Score += score
106     score -= 1
107 # Volatility Sorting
108 sorted_by_vol = sorted([x for x in self.data.items() if x[1].IsReady()], key=lambda x: x[1].Volatility(), reverse = True)
109 sorted_by_vol = [x[0] for x in sorted_by_vol]
110 score = max_score
111 for symbol in sorted_by_vol:
112     self.data[symbol].Score += score
113     score -= 1
114 # Volatility Sorting
115 sorted_by_roll = sorted([x for x in self.data.items() if x[1].IsReady()], key=lambda x: x[1].Roll_return, reverse = True)
116 sorted_by_roll = [x[0] for x in sorted_by_roll]
117 score = max_score
118 for symbol in sorted_by_roll:
119     self.data[symbol].Score += score
120     score -= 1
121 
122 # Orders
123 sorted_by_score = sorted([x for x in self.data.items() if x[1].IsReady()], key=lambda x: x[1].Score, reverse = True)
124 top = sorted_by_score[:int(0.2 * len(self.symbols))]
125 low = sorted_by_score[int(-0.2 * len(self.symbols)):]
126 
127 top = [x[0] for x in top]
128 low = [x[0] for x in low]
129 
130 targets: List[PortfolioTarget] = []
131 for i, portfolio in enumerate([top, low]):
132     for symbol in portfolio:
133         if slice.contains_key(symbol) and slice[symbol]:
134             targets.append(PortfolioTarget(symbol, ((-1) ** i) / (len(top) + len(low))))
135 
136 self.SetHoldings(targets, True)
137def Rebalance(self):
138 self.rebalance_flag = True
139class SymbolData():
140def __init__(self, symbol, future, lookback):
141 self.Symbol = symbol
142 self.Future = future
143 self.History = deque(maxlen=lookback)
144 self.Close = 0.0
145 self.Roll_return = 0.0
146 self.Score = 0
147 
148def IsReady(self):
149 return len(self.History) == self.History.maxlen
150
151def Update(self, value):
152 self.Close = float(value)
153 self.History.append(float(value))
154def Return(self):
155 prices = np.array(self.History)
156 return (prices[-1]-prices[0])/prices[0]
157 
158def Volatility(self):
159 prices = np.array(self.History)
160 returns = (prices[1:]-prices[:-1])/prices[:-1]
161 return np.std(returns)
162
163def __str__(self):
164 return self.Symbol + " " + self.Future + " Ret: " + str(self.Return()) + " Vol: " + str(self.Volatility()) + " Roll Ret: " + str(self.Roll_return)
165# Quantpedia data
166class QuantpediaFutures(PythonData):
167_last_update_date:Dict[Symbol, datetime.date] = {}
168@staticmethod
169def get_last_update_date() -> Dict[Symbol, datetime.date]:
170return QuantpediaFutures._last_update_date
171def GetSource(self, config, date, isLiveMode):
172 return SubscriptionDataSource("http://data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
173def Reader(self, config, line, date, isLiveMode):
174 data = QuantpediaFutures()
175 data.Symbol = config.Symbol
176 
177 try:
178     if not line[0].isdigit(): return None
179     split = line.split(';')
180     
181     data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
182     data['settle'] = float(split[1])
183     data.Value = float(split[1])
184 except:
185     return None
186 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
187     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
188 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
189     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
190     
191 return data
192# Custom fee model
193class CustomFeeModel(FeeModel):
194def GetOrderFee(self, parameters):
195 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
196 return OrderFee(CashAmount(fee, "USD"))