Long-Run Reversal in Commodity Returns

1from AlgorithmImports import *
2class LongRunReversalinCommodityReturns(QCAlgorithm):
3def Initialize(self):
4 self.SetStartDate(1991, 1, 1)
5 self.SetCash(100000)
6 self.symbols = [
7     "CME_S1",   # Soybean Futures, Continuous Contract
8     "CME_W1",   # Wheat Futures, Continuous Contract
9     "CME_SM1",  # Soybean Meal Futures, Continuous Contract
10     "CME_BO1",  # Soybean Oil Futures, Continuous Contract
11     "CME_C1",   # Corn Futures, Continuous Contract
12     "CME_O1",   # Oats Futures, Continuous Contract
13     "CME_LC1",  # Live Cattle Futures, Continuous Contract
14     "CME_FC1",  # Feeder Cattle Futures, Continuous Contract
15     "CME_LN1",  # Lean Hog Futures, Continuous Contract
16     "CME_GC1",  # Gold Futures, Continuous Contract
17     "CME_SI1",  # Silver Futures, Continuous Contract
18     "CME_PL1",  # Platinum Futures, Continuous Contract
19     "CME_CL1",  # Crude Oil Futures, Continuous Contract
20     "CME_HG1",  # Copper Futures, Continuous Contract
21     "CME_LB1",  # Random Length Lumber Futures, Continuous Contract
22     "CME_PA1",  # Palladium Futures, Continuous Contract 
23     "CME_RR1",  # Rough Rice Futures, Continuous Contract
24     "ICE_RS1",  # Canola Futures, Continuous Contract
25     "ICE_GO1",  # Gas Oil Futures, Continuous Contract
26     "CME_RB2",  # Gasoline Futures, Continuous Contract
27     "CME_KW2",  # Wheat Kansas, Continuous Contract
28     "ICE_WT1",  # WTI Crude Futures, Continuous Contract
29     "ICE_CC1",  # Cocoa Futures, Continuous Contract 
30     "ICE_CT1",  # Cotton No. 2 Futures, Continuous Contract
31     "ICE_KC1",  # Coffee C Futures, Continuous Contract
32     "ICE_O1",   # Heating Oil Futures, Continuous Contract
33     "ICE_OJ1",  # Orange Juice Futures, Continuous Contract
34     "ICE_SB1"   # Sugar No. 11 Futures, Continuous Contract
35     ]
36 self.data = {}
37 self.period = 3 * 12 * 21
38 self.SetWarmUp(self.period)
39 
40 self.month = 0
41 self.quantile:int = 5
42 for symbol in self.symbols:
43     data = self.AddData(QuantpediaFutures, symbol, Resolution.Daily)
44     data.SetFeeModel(CustomFeeModel())
45     data.SetLeverage(5)
46     
47     self.data[symbol] = SymbolData(self, symbol, self.period)
48 self.Settings.MinimumOrderMarginPortfolioPercentage = 0.
49 self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.At(0, 0), self.Rebalance)
50
51def Rebalance(self):
52 self.month += 1
53 if self.month > 12:
54     self.month = 1
55 
56 if self.IsWarmingUp: return
57 if self.month != 1: return
58 
59 last_update_date:Dict[str, datetime.date] = QuantpediaFutures.get_last_update_date()
60 performance = { x : self.data[x].roc.Current.Value for x in self.data if \
61     self.data[x].is_ready() and \
62     x in last_update_date and \
63     self.Time.date() < last_update_date[x] }
64 
65 if len(performance) < 5:
66     self.Liquidate()
67     return
68 
69 sorted_by_return = sorted(performance.items(), key = lambda x: x[1], reverse = True)
70 quantile = int(len(sorted_by_return) / self.quantile)
71 long = [x[0] for x in sorted_by_return[-quantile:]]
72 short = [x[0] for x in sorted_by_return[:quantile]]
73 stocks_invested = [x.Key.Value for x in self.Portfolio if x.Value.Invested]
74 for symbol in stocks_invested:
75     if symbol not in long + short:
76         self.Liquidate(symbol)
77 # trade execution
78 long_count = len(long)
79 short_count = len(short)
80 
81 for symbol in long:
82     self.SetHoldings(symbol, 1 / long_count)
83 for symbol in short:
84     self.SetHoldings(symbol, -1 / short_count)
85class SymbolData():
86def __init__(self, algorithm, symbol, period:int) -> None:
87 self.roc = algorithm.ROC(symbol, period, Resolution.Daily)
88 self.roc.Updated += self.roc_updated
89 self.last_update_date = None
90 self.algorithm = algorithm
91 
92def roc_updated(self, sender, bar):
93 self.last_update_date = self.algorithm.Time.date()
94
95def is_ready(self) -> bool:
96 return self.roc.IsReady and self.last_update_date and (self.algorithm.Time.date() - self.last_update_date).days < 5
97 
98# Quantpedia data.
99# NOTE: IMPORTANT: Data order must be ascending (datewise)
100class QuantpediaFutures(PythonData):
101_last_update_date:Dict[str, datetime.date] = {}
102@staticmethod
103def get_last_update_date() -> Dict[str, datetime.date]:
104return QuantpediaFutures._last_update_date
105def GetSource(self, config, date, isLiveMode):
106 return SubscriptionDataSource("data.quantpedia.com/backtesting_data/futures/{0}.csv".format(config.Symbol.Value), SubscriptionTransportMedium.RemoteFile, FileFormat.Csv)
107def Reader(self, config, line, date, isLiveMode):
108 data = QuantpediaFutures()
109 data.Symbol = config.Symbol
110 
111 if not line[0].isdigit(): return None
112 split = line.split(';')
113 
114 data.Time = datetime.strptime(split[0], "%d.%m.%Y") + timedelta(days=1)
115 data['back_adjusted'] = float(split[1])
116 data['spliced'] = float(split[2])
117 data.Value = float(split[1])
118 # store last update date
119 if config.Symbol.Value not in QuantpediaFutures._last_update_date:
120     QuantpediaFutures._last_update_date[config.Symbol.Value] = datetime(1,1,1).date()
121 if data.Time.date() > QuantpediaFutures._last_update_date[config.Symbol.Value]:
122     QuantpediaFutures._last_update_date[config.Symbol.Value] = data.Time.date()
123 return data
124# Custom fee model
125class CustomFeeModel(FeeModel):
126def GetOrderFee(self, parameters):
127 fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
128 return OrderFee(CashAmount(fee, "USD"))