FX Momentum Seasonality

1from AlgorithmImports import *
2class FXMomentumSeasonality(QCAlgorithm):
3def Initialize(self):
4 self.SetStartDate(2000, 1, 1)
5 self.SetCash(100000)
6 
7 self.symbols = [
8     'CME_AD1', # Australian Dollar Futures, Continuous Contract #1
9     'CME_CD1', # Canadian Dollar Futures, Continuous Contract #1
10     'CME_SF1', # Swiss Franc Futures, Continuous Contract #1
11     'CME_EC1', # Euro FX Futures, Continuous Contract #1
12     'CME_BP1', # British Pound Futures, Continuous Contract #1
13     'CME_JY1', # Japanese Yen Futures, Continuous Contract #1
14     'CME_NE1', # New Zealand Dollar Futures, Continuous Contract #1
15     'CME_MP1' # Mexican Peso Futures, Continuous Contract #1
16 ]
17 
18 self.current_prices = {}
19 self.yesterday_prices = {}
20 
21 # Momentum strategy is traded only during the last 1/3 of each month (days 20-29).
22 self.start_day = 20
23 self.end_day = 29
24 leverage: int = 5
25 
26 for currency_future in self.symbols:
27     security = self.AddData(QuantpediaFutures, currency_future, Resolution.Daily)
28     security.SetFeeModel(CustomFeeModel())
29     security.SetLeverage(leverage)
30     
31     self.current_prices[currency_future] = 0
32     self.yesterday_prices[currency_future] = 0
33 self.settings.minimum_order_margin_portfolio_percentage = 0.
34 self.settings.daily_precise_end_time = False
35def OnData(self, data):
36 custom_data_last_update_date: Dict[str, datetime.date] = QuantpediaFutures.get_last_update_date()
37 # Storing daily data about future currencies
38 for symbol in self.symbols:
39     if self.securities[symbol].get_last_data() and self.time.date() > custom_data_last_update_date[symbol]:
40         self.liquidate()
41         return
42     if symbol in data:
43         if data[symbol]:
44             price = data[symbol].Value
45             if price != 0:
46                 self.yesterday_prices[symbol] = self.current_prices[symbol]
47                 self.current_prices[symbol] = price
48     
49 long = []
50 short = []
51 
52 if self.start_day <= self.Time.day <= self.end_day: # Momentum strategy is traded only during the last 1/3 of each month (days 20-29).
53     for symbol in self.symbols:
54         if self.current_prices[symbol] > self.yesterday_prices[symbol]:
55             long.append(symbol)
56         else:
57             short.append(symbol)
58 
59 targets: List[PortfolioTarget] = []
60 for i, portfolio in enumerate([long, short]):
61     for symbol in portfolio:
62         if symbol in data and data[symbol]:
63             targets.append(PortfolioTarget(symbol, ((-1) ** i) / len(portfolio)))
64 
65 self.SetHoldings(targets, True)
66		
67# Custom fee model
68class CustomFeeModel(FeeModel):
69def GetOrderFee(self, parameters):
70 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
71 return OrderFee(CashAmount(fee, "USD"))
72 
73# Quantpedia data.
74# NOTE: IMPORTANT: Data order must be ascending (datewise)
75class QuantpediaFutures(PythonData):
76_last_update_date:Dict[Symbol, datetime.date] = {}
77@staticmethod
78def get_last_update_date() -> Dict[Symbol, datetime.date]:
79return QuantpediaFutures._last_update_date
80def GetSource(self, config, date, isLiveMode):
81 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
82def Reader(self, config, line, date, isLiveMode):
83 data = QuantpediaFutures()
84 data.Symbol = config.Symbol
85 
86 if not line[0].isdigit(): return None
87 split = line.split(';')
88 
89 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
90 data['back_adjusted'] = float(split[1])
91 data['spliced'] = float(split[2])
92 data.Value = float(split[1])
93 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
94     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
95 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
96     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
97 return data