Combining Seasonality and Momentum in US Equity Sectors

1from AlgorithmImports import *
2#endregion
3class SeasonalityandMomentum(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2007, 1, 1)
6self.SetCash(100000)
7self.cyclical = ["VAW", "XLI", "XLY"]
8self.defensive = ["XLP", "XLV", "VGT", "XLU"]
9self.neutral = ["XLK", "XLF", "XLE", "VNQ"]
10self.symbols = self.cyclical + self.defensive + self.neutral
11self.period = 21
12self.SetWarmUp(self.period)
13
14self.short_momentum = {}
15self.long_momentum = {}
16
17for symbol in self.symbols:
18    data = self.AddEquity(symbol, Resolution.Daily)
19    data.SetLeverage(10)
20    data.SetFeeModel(CustomFeeModel())
21    
22    self.short_momentum[symbol] = self.ROC(symbol, self.period, Resolution.Daily)
23    self.long_momentum[symbol] = self.ROC(symbol, 12*self.period, Resolution.Daily)
24    
25self.recent_month = -1
26def OnData(self, data):
27if self.IsWarmingUp: return
28
29if self.Time.month == self.recent_month:
30    return
31self.recent_month = self.Time.month
32
33returns_12M = { x : self.long_momentum[x].Current.Value for x in self.symbols if self.long_momentum[x].IsReady and x in data and data[x] }
34returns_1M = { x : self.short_momentum[x].Current.Value for x in self.symbols if self.short_momentum[x].IsReady and x in data and data[x] }
35
36if len(returns_12M) < 4 and len(returns_1M) < 4:
37    self.Liquidate()
38    return
39
40score = { x : 0 for x in self.symbols }
41
42# 12M Momentum Sorting
43count = 4
44sorted_by_12M = sorted(returns_12M.items(), key=lambda x: x[1], reverse = True)
45sorted_by_12M = [x[0] for x in sorted_by_12M][:count]
46points = count
47for symbol in sorted_by_12M:
48    score[symbol] += points
49    points -= 1
50# 1M Momentum Sorting
51sorted_by_1M = sorted(returns_1M.items(), key=lambda x: x[1], reverse = True)
52sorted_by_1M = [x[0] for x in sorted_by_1M][:count]
53points = count
54for symbol in sorted_by_1M:
55    score[symbol] += points
56    points -= 1
57
58# Seasonality score
59for symbol in self.neutral:
60    score[symbol] += 2
61if self.Time.month <= 4 or self.Time.month >= 11 :
62    for symbol in self.cyclical:
63        score[symbol] += 4
64elif self.Time.month >= 5 and self.Time.month <= 10:
65    for symbol in self.defensive:
66        score[symbol] += 4
67
68# Trade execution
69long = [x[0] for x in score.items() if x[1] > 9]
70short = [x[0] for x in score.items() if x[1] < 3]
71invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
72for symbol in invested:
73    if symbol not in long + short:
74        self.Liquidate(symbol)
75        
76for symbol in long:
77    self.SetHoldings(symbol, 1 / len(long))
78for symbol in short:
79    self.SetHoldings(symbol, -1 / len(short))
80# Custom fee model.
81class CustomFeeModel(FeeModel):
82def GetOrderFee(self, parameters):
83fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
84return OrderFee(CashAmount(fee, "USD"))