Debt Growth Effect Combined with Asset Growth Effect

1from AlgorithmImports import *
2from numpy import isnan
3class DebtGrowthEffectCombinedwithAssetGrowthEffect(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2000, 1, 1)
6self.SetCash(100000)
7
8self.quantile:int = 10
9self.sec_quantile:int = 4
10self.traded_percentage:float = .5
11self.leverage:int = 5
12self.min_share_price:float = 5.
13self.exchange_codes:List[str] = ['NYS', 'NAS', 'ASE']
14market:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
15self.fundamental_count:int = 3000
16self.fundamental_sorting_key = lambda x: x.MarketCap
17# Last year's debt value.
18self.latest_debt:List[Symbol, float] = {}
19self.weight:Dict[Symbol, float] = {}
20
21self.selection_flag:bool = False
22self.UniverseSettings.Resolution = Resolution.Daily
23self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
24self.AddUniverse(self.FundamentalSelectionFunction)
25self.Schedule.On(self.DateRules.MonthEnd(market), self.TimeRules.AfterMarketOpen(market), self.Selection)
26self.settings.daily_precise_end_time = False
27def OnSecuritiesChanged(self, changes: SecurityChanges) -> None:
28for security in changes.AddedSecurities:
29    security.SetFeeModel(CustomFeeModel())
30    security.SetLeverage(self.leverage)
31    
32def FundamentalSelectionFunction(self, fundamental: List[Fundamental]) -> List[Symbol]:
33if not self.selection_flag:
34    return Universe.Unchanged
35selected:List[Fundamental] = [
36    x for x in fundamental if x.HasFundamentalData and x.Market == 'usa' and \
37    x.Price >= self.min_share_price and x.SecurityReference.ExchangeId in self.exchange_codes and \
38    not isnan(x.OperationRatios.TotalAssetsGrowth.OneYear) and x.OperationRatios.TotalAssetsGrowth.OneYear != 0 and \
39    not isnan(x.FinancialStatements.BalanceSheet.TotalDebt.TwelveMonths) and x.FinancialStatements.BalanceSheet.TotalDebt.TwelveMonths != 0
40]
41if len(selected) > self.fundamental_count:
42    selected = [x for x in sorted(selected, key=self.fundamental_sorting_key, reverse=True)[:self.fundamental_count]]
43growth_data:Dict[Fundamental, float] = {}
44
45for stock in selected:
46    symbol:Symbol = stock.Symbol
47    if symbol not in self.latest_debt:
48        # Previous year's data.
49        self.latest_debt[symbol] = None
50    
51    asset_growth:float = stock.OperationRatios.TotalAssetsGrowth.OneYear
52    debt:float = stock.FinancialStatements.BalanceSheet.TotalDebt.TwelveMonths
53    
54    # Previous year's data is ready.
55    if self.latest_debt[symbol]:
56        debt_growth:float = (debt - self.latest_debt[symbol]) / self.latest_debt[symbol]
57        growth_data[stock] = (asset_growth, debt_growth)
58        
59    self.latest_debt[symbol] = debt
60
61# Remove not updated symbols.
62updated_symbols:List[Symbol] = [x.Symbol for x in selected]
63not_updated:List[Symbol] = [x for x in self.latest_debt if x not in updated_symbols]
64for symbol in not_updated:
65    del self.latest_debt[symbol]
66
67if len(growth_data) >= self.sec_quantile * self.quantile:
68    # Sort by asset and debt growth.
69    sorted_by_asset_growth:List = sorted(growth_data.items(), key = lambda x: x[1][0], reverse = True)
70    quantile:int = int(len(sorted_by_asset_growth) / self.quantile)
71    high_by_asset_growth = [x for x in sorted_by_asset_growth[:quantile]]
72    
73    sorted_by_debt_growth:List = sorted(high_by_asset_growth, key = lambda x: x[1][1], reverse = True)
74    quantile = int(len(sorted_by_debt_growth) / self.sec_quantile)
75    short:List[Fundamental] = [x for x in sorted_by_debt_growth[:quantile]]
76    
77    total_market_cap:float = sum([x[0].MarketCap for x in short])
78    for stock, _ in short:
79        self.weight[stock.Symbol] = -(stock.MarketCap / total_market_cap) * self.traded_percentage
80
81return list(self.weight.keys())
82
83def OnData(self, data: Slice) -> None:
84if not self.selection_flag:
85    return
86self.selection_flag = False
87
88# trade execution
89portfolio:List[PortfolioTarget] = [PortfolioTarget(symbol, w) for symbol, w in self.weight.items() if symbol in data and data[symbol]]
90self.SetHoldings(portfolio, True)
91self.weight.clear()
92
93def Selection(self) -> None:
94self.selection_flag = True
95# Custom fee model
96class CustomFeeModel(FeeModel):
97def GetOrderFee(self, parameters):
98fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
99return OrderFee(CashAmount(fee, "USD"))