Intangibles-Adjusted Profitability Factor

1from AlgorithmImports import *
2# endregion
3
4class IntangiblesAdjustedProfitabilityFactor(QCAlgorithm):
5
6def Initialize(self):
7self.SetStartDate(2000, 1, 1)
8self.SetCash(100000)
9self.market:Symbol = self.AddEquity('SPY', Resolution.Daily).Symbol
10
11self.leverage:int = 3
12self.quantile:int = 3
13self.coarse_count:int = 1000
14self.selection_month:int = 6
15
16self.long:List[Symbol] = []
17self.short:List[Symbol] = []
18
19self.selection_flag:bool = False
20self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
21self.UniverseSettings.Resolution = Resolution.Daily
22self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
23self.Schedule.On(self.DateRules.MonthEnd(self.market), self.TimeRules.BeforeMarketClose(self.market), self.Selection)
24
25def OnSecuritiesChanged(self, changes:SecurityChanges) -> None:
26for security in changes.AddedSecurities:
27    security.SetFeeModel(CustomFeeModel())
28    security.SetLeverage(self.leverage)
29
30def CoarseSelectionFunction(self, coarse:List[CoarseFundamental]) -> List[Symbol]:
31if not self.selection_flag:
32    return Universe.Unchanged
33
34selected:List[Symbol] = [x.Symbol
35    for x in sorted([x for x in coarse if x.HasFundamentalData and x.Market == 'usa'],
36        key = lambda x: x.DollarVolume, reverse = True)[:self.coarse_count]]
37# selected = [x.Symbol for x in coarse if x.HasFundamentalData and x.Market == 'usa']
38
39return selected
40
41def FineSelectionFunction(self, fine:List[FineFundamental]) -> List[Symbol]:
42fine = [x for x in fine if x.MarketCap != 0 and \
43        (x.SecurityReference.ExchangeId == 'NYS') or (x.SecurityReference.ExchangeId == 'NAS') or (x.SecurityReference.ExchangeId == 'ASE')]
44
45# if len(fine) > self.coarse_count:
46#     fine = sorted(fine, key=lambda x: x.MarketCap, reverse=True)[:self.coarse_count]
47
48# profitability calculation
49profitability:Dict[Symbol, float] = {
50    stock.Symbol : stock.FinancialStatements.IncomeStatement.GrossProfit.TwelveMonths - stock.FinancialStatements.IncomeStatement.InterestExpense.TwelveMonths - stock.FinancialStatements.IncomeStatement.GeneralAndAdministrativeExpense.TwelveMonths \
51    for stock in fine
52}
53
54# sort and divide into quantiles
55if len(profitability) >= self.quantile:
56    sorted_roe:List[Symbol] = sorted(profitability, key=profitability.get, reverse=True)
57    quantile:int = len(sorted_roe) // self.quantile
58    self.long = sorted_roe[:quantile]
59    self.short = sorted_roe[-quantile:]
60    self.rebalance_flag = True
61
62return self.long + self.short
63
64def OnData(self, data: Slice):
65# yearly rebalance
66if not self.selection_flag:
67    return
68self.selection_flag = False
69
70invested:List[Symbol] = [x.Key for x in self.Portfolio if x.Value.Invested]
71for symbol in invested:
72    if symbol not in self.long + self.short:
73        self.Liquidate(symbol)
74
75# trade execution
76for symbol in self.long:
77    if symbol in data and data[symbol]:
78        self.SetHoldings(symbol, 1/len(self.long))
79
80for symbol in self.short:
81    if symbol in data and data[symbol]:
82        self.SetHoldings(symbol, -1/len(self.long))
83
84def Selection(self) -> None:
85# selection on end of June
86if self.Time.month != self.selection_month:
87    return
88self.selection_flag = True
89
90# Custom fee model
91class CustomFeeModel(FeeModel):
92def GetOrderFee(self, parameters):
93fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
94return OrderFee(CashAmount(fee, "USD"))