Days to Cover Strategy

1import numpy as np
2from AlgorithmImports import *
3class ShortInterestEffect(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2015, 1, 1)
6self.SetCash(100000)
7# NOTE: We use only s&p 100 stocks so it's possible to fetch short interest data from quandl.
8self.symbols = ['AAPL','MSFT','AMZN','FB','BRK.B','GOOGL','GOOG','JPM','JNJ','V','PG','XOM','UNH','BAC','MA','T','DIS','INTC','HD','VZ','MRK','PFE','CVX','KO','CMCSA','CSCO','PEP','WFC','C','BA','ADBE','WMT','CRM','MCD','MDT','BMY','ABT','NVDA','NFLX','AMGN','PM','PYPL','TMO','COST','ABBV','ACN','HON','NKE','UNP','UTX','NEE','IBM','TXN','AVGO','LLY','ORCL','LIN','SBUX','AMT','LMT','GE','MMM','DHR','QCOM','CVS','MO','LOW','FIS','AXP','BKNG','UPS','GILD','CHTR','CAT','MDLZ','GS','USB','CI','ANTM','BDX','TJX','ADP','TFC','CME','SPGI','COP','INTU','ISRG','CB','SO','D','FISV','PNC','DUK','SYK','ZTS','MS','RTN','AGN','BLK']
9self.period = 21
10self.fine = []
11
12self.symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
13
14self.last_month = -1
15self.selection_flag = False
16self.AddUniverseSelection(FineFundamentalUniverseSelectionModel(self.SelectCoarse, self.SelectFine))
17 
18for symbol in self.symbols:
19    self.AddData(QuandlFINRA_ShortVolume, 'FINRA/FNSQ_' + symbol, Resolution.Daily)
20
21def SelectCoarse(self, coarse):
22if not self.selection_flag:
23    return Universe.Unchanged
24    
25return [Symbol.Create(x, SecurityType.Equity, Market.USA) for x in self.symbols]
26def SelectFine(self, fine):
27self.fine = [f.Symbol for f in fine] 
28return self.fine
29
30def OnSecuritiesChanged(self, changes):
31for security in changes.AddedSecurities:
32    security.SetLeverage(10)
33    security.SetFeeModel(CustomFeeModel())
34
35def OnData(self, data):
36# Rebalance once a month.
37if self.last_month != self.Time.month:
38    self.selection_flag = True
39    self.last_month = self.Time.month
40    return
41        
42if not self.selection_flag:
43    return
44self.selection_flag = False
45
46# Days to cover calc.
47days_to_cover = {}
48for symbol in self.fine:
49    ticker = symbol.Value
50    
51    hist = self.History(symbol, self.period, Resolution.Daily)
52    if len(hist) == self.period:
53        mean_volume = np.mean(hist.loc[symbol]['volume'])
54        shares_outstanding = self.Securities[symbol].Fundamentals.EarningReports.BasicAverageShares.ThreeMonths
55        if mean_volume != 0 and shares_outstanding != 0:
56            daily_turnover = mean_volume / shares_outstanding
57        
58            if self.Securities.ContainsKey('FINRA/FNSQ_' + ticker):
59                data = self.Securities['FINRA/FNSQ_' + ticker].GetLastData()
60                if data != None:
61                    short_vol = data.GetProperty("SHORTVOLUME")
62                    total_vol = data.GetProperty("TOTALVOLUME")
63                    if short_vol != 0 and total_vol != 0:
64                        short_ratio = short_vol / total_vol
65                        days_to_cover[symbol] = short_ratio / daily_turnover
66    
67# Sorting by DTC.
68sorted_by_dtc = sorted(days_to_cover.items(), key = lambda x: x[1], reverse = True)
69decile = int(len(sorted_by_dtc) / 10)
70long = [x[0] for x in sorted_by_dtc[-decile:]]
71short = [x[0] for x in sorted_by_dtc[:decile]]
72        
73# Trade execution and rebalance.
74long_count = len(long)
75short_count = len(short)
76
77stocks_invested = [x.Key for x in self.Portfolio if x.Value.Invested]
78for symbol in stocks_invested:
79    if symbol not in long + short:
80        self.Liquidate(symbol)
81for symbol in long:
82    if self.Securities[symbol].Price != 0:
83        self.SetHoldings(symbol, 1 / long_count)
84for symbol in short:
85    if self.Securities[symbol].Price != 0:
86        self.SetHoldings(symbol, -1 / short_count)
87    
88class QuandlFINRA_ShortVolume(PythonQuandl):
89def __init__(self):
90self.ValueColumnName = 'SHORTVOLUME'    # also 'TOTALVOLUME' is accesible
91# Custom fee model
92class CustomFeeModel(FeeModel):
93def GetOrderFee(self, parameters):
94fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
95return OrderFee(CashAmount(fee, "USD"))