Cross-Sectional Momentum in Futures

1from AlgorithmImports import *
2class MomentumInFutures(QCAlgorithm):
3def Initialize(self):
4 self.SetStartDate(2000, 1, 1)
5 self.SetCash(100000)
6 self.symbols = [
7     "CME_AD1", # Australian Dollar Futures, Continuous Contract #1
8     "CME_BP1", # British Pound Futures, Continuous Contract #1
9     "CME_CD1", # Canadian Dollar Futures, Continuous Contract #1
10     "CME_EC1", # Euro FX Futures, Continuous Contract #1
11     "CME_JY1", # Japanese Yen Futures, Continuous Contract #1
12     "CME_MP1", # Mexican Peso Futures, Continuous Contract #1
13     "CME_SF1", # Swiss Franc Futures, Continuous Contract #1
14     "CME_ES1",      # E-mini S&P 500 Futures, Continuous Contract #1
15     "EUREX_FSMI1",  # SMI Futures, Continuous Contract #1
16     "EUREX_FSTX1",  # STOXX Europe 50 Index Futures, Continuous Contract #1
17     "LIFFE_FCE1",   # CAC40 Index Futures, Continuous Contract #1
18     "LIFFE_Z1",     # FTSE 100 Index Futures, Continuous Contract #1
19     "SGX_NK1",      # SGX Nikkei 225 Index Futures, Continuous Contract #1
20     
21     "CME_TY1",      # 10 Yr Note Futures, Continuous Contract #1
22     "CME_FV1",      # 5 Yr Note Futures, Continuous Contract #1
23     "CME_TU1",      # 2 Yr Note Futures, Continuous Contract #1
24     "EUREX_FGBL1",  # Euro-Bund (10Y) Futures, Continuous Contract #1
25     "SGX_JB1"       # SGX 10-Year Mini Japanese Government Bond Futures
26     ]
27 self.period = 6 * 21
28 self.count = 6
29 self.SetWarmup(self.period)
30 
31 # Daily RoC data.
32 self.data = {}
33 
34 for symbol in self.symbols:
35     data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily)
36     data.SetFeeModel(CustomFeeModel())
37     data.SetLeverage(5)
38     
39     self.data[symbol] = self.ROC(symbol, self.period, Resolution.Daily)
40 
41 self.rebalance_flag: bool = False
42 self.month = 1
43 self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.At(0, 0), self.Rebalance)
44def on_data(self, data: Slice) -> None:
45 if not self.rebalance_flag:
46     return
47 self.rebalance_flag = False
48 self.month += 1
49 if self.month > 6:
50     self.month = 1
51 
52 if self.month != 6: return
53 # Return sorting.
54 long = []
55 short = []
56 sorted_by_return = sorted([x for x in self.data.items() if x[1].IsReady and self.Securities[x[0]].GetLastData() and self.Time.date() < QuantpediaFutures.get_last_update_date()[x[0]]], key = lambda x: x[1].Current.Value, reverse = True)
57 if len(sorted_by_return) >= self.count * 2:
58     long = [x[0] for x in sorted_by_return[:self.count]]
59     short = [x[0] for x in sorted_by_return[-self.count:]]
60 # Trade execution.
61 invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
62 for symbol in invested:
63     if symbol not in long + short:
64         self.Liquidate(symbol)
65         
66 for symbol in long:
67     if data.contains_key(symbol) and data[symbol]:
68         self.SetHoldings(symbol, 1 / len(long))
69 for symbol in short:
70     if data.contains_key(symbol) and data[symbol]:
71         self.SetHoldings(symbol, -1 / len(short))
72def Rebalance(self):
73 self.rebalance_flag = True
74# Custom fee model
75class CustomFeeModel(FeeModel):
76def GetOrderFee(self, parameters):
77 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
78 return OrderFee(CashAmount(fee, "USD"))
79# Quantpedia data.
80# NOTE: IMPORTANT: Data order must be ascending (datewise)
81class QuantpediaFutures(PythonData):
82_last_update_date:Dict[Symbol, datetime.date] = {}
83@staticmethod
84def get_last_update_date() -> Dict[Symbol, datetime.date]:
85return QuantpediaFutures._last_update_date
86def GetSource(self, config, date, isLiveMode):
87 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
88def Reader(self, config, line, date, isLiveMode):
89 data = QuantpediaFutures()
90 data.Symbol = config.Symbol
91 
92 if not line[0].isdigit(): return None
93 split = line.split(';')
94 
95 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
96 data['back_adjusted'] = float(split[1])
97 data['spliced'] = float(split[2])
98 data.Value = float(split[1])
99 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
100     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
101 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
102     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
103 return data