High-to-Price Factor in Commodities

1from AlgorithmImports import *
2from functools import reduce
3from data_tools import CustomFeeModel, QuantpediaFutures, SymbolData
4# endregion
5
6class HighToPriceFactorInCommodities(QCAlgorithm):
7
8def Initialize(self):
9self.SetStartDate(2000, 1, 1)
10self.SetCash(100000)
11
12self.leverage:int = 5
13self.quantile:int = 3
14
15self.month_period:int = 21
16self.period:int = self.month_period * 12
17self.total_months_in_year:int = 12
18self.max_missing_days:int = 5
19self.min_prices:int = 15
20self.recent_month:int = -1
21
22self.data:dict[Symbol, SymbolData] = {}
23
24tickers:list[str] = [
25    "CME_S1",   # Soybean Futures, Continuous Contract #1
26    "CME_W1",   # Wheat Futures, Continuous Contract #1
27    "CME_SM1",  # Soybean Meal Futures, Continuous Contract #1
28    "CME_BO1",  # Soybean Oil Futures, Continuous Contract #1
29    "CME_C1",   # Corn Futures, Continuous Contract #1
30    "CME_O1",   # Oats Futures, Continuous Contract #1
31    "CME_LC1",  # Live Cattle Futures, Continuous Contract #1
32    "CME_FC1",  # Feeder Cattle Futures, Continuous Contract #1
33    "CME_LN1",  # Lean Hog Futures, Continuous Contract #1
34    "CME_GC1",  # Gold Futures, Continuous Contract #1
35    "CME_SI1",  # Silver Futures, Continuous Contract #1
36    "CME_PL1",  # Platinum Futures, Continuous Contract #1
37    "CME_CL1",  # Crude Oil Futures, Continuous Contract #1
38    "CME_HG1",  # Copper Futures, Continuous Contract #1
39    "CME_LB1",  # Random Length Lumber Futures, Continuous Contract #1
40    "CME_NG1",  # Natural Gas (Henry Hub) Physical Futures, Continuous Contract #1
41    "CME_PA1",  # Palladium Futures, Continuous Contract  #1
42    "CME_RR1",  # Rough Rice Futures, Continuous Contract #1
43    "CME_CU1",  # Chicago Ethanol (Platts) Futures
44    "CME_DA1",  # Class III Milk Futures
45    
46    "ICE_CC1",  # Cocoa Futures, Continuous Contract  #1
47    "ICE_CT1",  # Cotton No. 2 Futures, Continuous Contract #1
48    "ICE_KC1",  # Coffee C Futures, Continuous Contract #1
49    "ICE_O1",   # Heating Oil Futures, Continuous Contract #1
50    "ICE_OJ1",  # Orange Juice Futures, Continuous Contract #1
51    "ICE_SB1"   # Sugar No. 11 Futures, Continuous Contract #1
52]
53
54for ticker in tickers:
55    security = self.AddData(QuantpediaFutures, ticker, Resolution.Daily)
56    security.SetFeeModel(CustomFeeModel())
57    security.SetLeverage(self.leverage)
58
59    symbol:Symbol = security.Symbol
60
61    self.data[symbol] = SymbolData(self.period)
62
63self.SetWarmup(self.period)
64
65def OnData(self, data: Slice):
66curr_date:datetime.date = self.Time.date()
67
68for symbol, symbol_data in self.data.items():
69    if symbol in data and data[symbol] and data[symbol].Value != 0:
70        price:float = data[symbol].Value
71        symbol_data.update_monthly_prices(price)
72        symbol_data.set_last_update_date(curr_date)
73
74if self.recent_month == self.Time.month:
75    return
76self.recent_month = self.Time.month
77
78htp:dict[Symbol, float] = {}
79
80for symbol, symbol_data in self.data.items():
81    if not symbol_data.monthly_prices_ready(self.min_prices) or \
82         not symbol_data.data_still_coming(curr_date, self.max_missing_days):
83        symbol_data.reset_data()
84    else:
85        symbol_data.update_prices(self.total_months_in_year)
86
87    if symbol_data.is_ready(self.total_months_in_year):
88        prices_in_months:list[list[float]] = symbol_data.get_prices_in_months()
89        prices_in_months = prices_in_months[:-1] # ommit last month
90        prices:list[float] = list(reduce(lambda x,y: x+y, prices_in_months))
91
92        highest_price:float = max(prices)
93        first_price:float = prices[0]
94
95        htp_value:float = np.log(highest_price / first_price)
96
97        htp[symbol] = htp_value
98
99    symbol_data.reset_monthly_prices()
100
101if self.IsWarmingUp or len(htp) < self.quantile:
102    self.Liquidate()
103    return
104
105quantile:int = int(len(htp) / self.quantile)
106sorted_by_htp:list[Symbol] = [x[0] for x in sorted(htp.items(), key=lambda item: item[1])]
107
108# investors go long on the commodities with high factor values and short on the commodities with low factor values
109long_leg:list[Symbol] = sorted_by_htp[-quantile:]
110short_leg:list[Symbol] = sorted_by_htp[:quantile]
111
112# trade execution
113invested:list[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
114for symbol in invested:
115    if symbol not in long_leg + short_leg:
116        self.Liquidate(symbol)
117
118long_length:int = len(long_leg)
119short_length:int = len(short_leg)
120        
121for symbol in long_leg:
122    self.SetHoldings(symbol, 1 / long_length)
123
124for symbol in short_leg:
125    self.SetHoldings(symbol, -1 / short_length)