Global Cross-Asset Time Series Momentum in Bond and Equity Markets

1import numpy as np
2from AlgorithmImports import *
3class GlobalCrossAssetTimeSeriesMomentum(QCAlgorithm):
4def Initialize(self):
5 self.SetStartDate(2000, 1, 1)
6 self.SetCash(100000)
7 
8 self.symbols = {
9     "ASX_YAP1" : "ASX_XT1",        # 10 Year Commonwealth Treasury Bond Futures, Continuous Contract #1 (Australia)
10     "LIFFE_FCE1" : "MX_CGB1",       # Ten-Year Government of Canada Bond Futures, Continuous Contract #1 (Canada)
11     "EUREX_FSTX1" : "EUREX_FGBL1",  # Euro-Bund (10Y) Futures, Continuous Contract #1 (Germany)
12     "SGX_NK1" : "SGX_JB1",          # SGX 10-Year Mini Japanese Government Bond Futures, Continuous Contract #1 (Japan)
13     "LIFFE_Z1" : "LIFFE_R1",        # Long Gilt Futures, Continuous Contract #1 (U.K.)
14     "CME_ES1" : "CME_TY1"           # 10 Yr Note Futures, Continuous Contract #1 (USA)
15 }
16 self.data = {}
17 self.period = 12*21
18 self.SetWarmUp(self.period)
19 self.leverage_cap = 5
20 
21 for eq in self.symbols:
22     bond = self.symbols[eq]
23     
24     data = self.AddData(QuantpediaFutures, eq, Resolution.Daily)
25     self.data[eq] = RollingWindow[float](self.period)
26     data.SetFeeModel(CustomFeeModel())
27     data.SetLeverage(self.leverage_cap)
28     
29     data = self.AddData(QuantpediaFutures, bond, Resolution.Daily)
30     self.data[bond] = RollingWindow[float](self.period)
31     data.SetFeeModel(CustomFeeModel())
32     data.SetLeverage(self.leverage_cap)
33     
34 first_key = [x for x in self.symbols.keys()][0]
35 self.rebalance_flag: bool = False
36 self.Schedule.On(self.DateRules.MonthStart(first_key), self.TimeRules.At(0, 0), self.Rebalance)
37def OnData(self, data):
38 for eq in self.symbols:
39     bond = self.symbols[eq]
40     
41     if eq in data and bond in data:
42         if data[eq] and data[bond]:
43             eq_price = data[eq].Value
44             bond_price = data[bond].Value
45             if eq_price != 0 and bond_price != 0:
46                 self.data[eq].Add(eq_price)
47                 self.data[bond].Add(bond_price)
48 if not self.rebalance_flag:
49     return
50 self.rebalance_flag = False
51 volatility = {}
52 for eq in self.symbols:
53     bond = self.symbols[eq]
54     
55     if all([self.data[x].IsReady and self.Securities[x].GetLastData() and self.Time.date() < QuantpediaFutures.get_last_update_date()[x] for x in [eq, bond]]):
56         eq_prices = np.array([x for x in self.data[eq]])
57         bond_prices = np.array([x for x in self.data[bond]])
58         
59         eq_return = eq_prices[0] / eq_prices[-1] - 1
60         bond_return = bond_prices[0] / bond_prices[-1] - 1
61         
62         if eq_return < 0 and bond_return > 0:
63             bond_returns = bond_prices[:-1] / bond_prices[1:] - 1
64             volatility[bond] = np.std(bond_returns) * np.sqrt(252)
65         elif eq_return > 0 and bond_return > 0:
66             eq_returns = eq_prices[:-1] / eq_prices[1:] - 1
67             volatility[eq] = np.std(eq_returns) * np.sqrt(252)
68 
69 if len(volatility) == 0: return
70 
71 mean_vol = np.mean([x[1] for x in volatility.items()])
72 # leverage = (0.0833 / total_vol_annualized) * 100
73 leverage = min((0.1 / mean_vol), self.leverage_cap)
74 
75 self.Liquidate()
76 count = len(volatility)
77 
78 for symbol in volatility:
79     if data.contains_key(symbol) and data[symbol]:
80     # self.SetHoldings(symbol, 0.1667 * (1/count) * leverage)
81         self.SetHoldings(symbol, leverage / count)
82def Rebalance(self):
83 self.rebalance_flag = True
84# Quantpedia data.
85# NOTE: IMPORTANT: Data order must be ascending (datewise)
86class QuantpediaFutures(PythonData):
87_last_update_date:Dict[Symbol, datetime.date] = {}
88@staticmethod
89def get_last_update_date() -> Dict[Symbol, datetime.date]:
90return QuantpediaFutures._last_update_date
91def GetSource(self, config, date, isLiveMode):
92 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
93def Reader(self, config, line, date, isLiveMode):
94 data = QuantpediaFutures()
95 data.Symbol = config.Symbol
96 
97 if not line[0].isdigit(): return None
98 split = line.split(';')
99 
100 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
101 data['back_adjusted'] = float(split[1])
102 data['spliced'] = float(split[2])
103 data.Value = float(split[1])
104 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
105     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
106 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
107     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
108 return data
109# Custom fee model.
110class CustomFeeModel(FeeModel):
111def GetOrderFee(self, parameters):
112 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
113 return OrderFee(CashAmount(fee, "USD"))