Long-Term Reversal Combined with a Momentum Effect

1from AlgorithmImports import *
2from math import floor
3class LongTermReversalCombinedwithaMomentumEffect(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2004, 1, 1)
6self.SetCash(100000)     
7
8self.symbols = [
9    "EWJ",  # iShares MSCI Japan Index ETF
10    "EWA",  # iShares MSCI Australia ETF
11    "EWG",  # iShares MSCI Germany ETF
12    "EWU",  # iShares MSCI United Kingdom ETF
13    "EWW",  # iShares MSCI Mexico Inv. Mt. Idx
14    "EWS",  # iShares MSCI Singapore ETF
15    "ERUS", # iShares MSCI Russia ETF
16    "IVV",  # iShares S&P 500 Index
17    "AAXJ", # iShares MSCI All Country Asia ex Japan Index ETF
18    "EWQ",  # iShares MSCI France Index ETF
19    "EWH",  # iShares MSCI Hong Kong Index ETF
20    "EPI",  # WisdomTree India Earnings ETF
21    "EIDO"  # iShares MSCI Indonesia Investable Market Index ETF
22    "EWI",  # iShares MSCI Italy Index ETF
23    "ENZL", # iShares MSCI New Zealand Investable Market Index Fund
24    "NORW"  # Global X FTSE Norway 30 ETF
25    "EWY",  # iShares MSCI South Korea Index ETF
26    "EWP",  # iShares MSCI Spain Index ETF
27    "EWD",  # iShares MSCI Sweden Index ETF
28    "EWL",  # iShares MSCI Switzerland Index ETF
29    "GXC",  # SPDR S&P China ETF
30    "EWC",  # iShares MSCI Canada Index ETF
31    "EWZ",  # iShares MSCI Brazil Index ETF
32    "ARGT", # Global X FTSE Argentina 20 ETF
33    "EWO",  # iShares MSCI Austria Investable Mkt Index ETF
34    "EWK",  # iShares MSCI Belgium Investable Market Index ETF
35    "ECH",  # iShares MSCI Chile Investable Market Index ETF
36    "EGPT", # Market Vectors Egypt Index ETF
37]
38self.holding_period = 6
39
40self.data = {}
41self.managed_queue = []
42
43self.long_period = 60*21
44self.short_period = 6*21
45self.SetWarmUp(self.long_period, Resolution.Daily)
46
47for symbol in self.symbols:
48    data = self.AddEquity(symbol, Resolution.Daily)
49    data.SetLeverage(10)
50    data.SetFeeModel(CustomFeeModel())
51    
52    self.data[symbol] = SymbolData(symbol, self.long_period)
53
54self.Schedule.On(self.DateRules.MonthStart(self.symbols[0]), self.TimeRules.AfterMarketOpen(self.symbols[0]), self.Rebalance)
55
56def OnData(self, data):
57for symbol in self.data:
58    symbol_obj = self.Symbol(symbol)
59    if symbol_obj in data and data[symbol_obj]:
60        self.data[symbol].update(data[symbol_obj].Value)
61                
62def Rebalance(self):
63# momentum pair - long and short period momentum.
64momentum = {
65    x : (self.data[x].performance(self.long_period), self.data[x].performance(self.short_period)) for x in self.symbols if self.data[x].is_ready()
66}
67
68long = []
69short = []
70if len(momentum) != 0:
71    sorted_long_mom = sorted(momentum.items(), key = lambda x: x[1][0])
72    quartile = floor(len(sorted_long_mom) / 4)
73    long_winners = sorted_long_mom[-quartile:]
74    long_loosers = sorted_long_mom[:quartile]
75    
76    short_term_n = 3
77    long_winners_sorted_short_mom = sorted(long_winners, key = lambda x: x[1][1])
78    short = [x[0] for x in long_winners_sorted_short_mom][:short_term_n]
79    
80    long_loosers_sorted_short_mom = sorted(long_loosers, key = lambda x: x[1][1])
81    long = [x[0] for x in long_loosers_sorted_short_mom][-short_term_n:]
82
83    long_w = self.Portfolio.TotalPortfolioValue / self.holding_period / len(long)
84    short_w = self.Portfolio.TotalPortfolioValue / self.holding_period / len(short)
85    
86    # symbol/quantity collection
87    long_symbol_q = [(x, floor(long_w / self.Securities[x].Price)) for x in long]
88    short_symbol_q = [(x, -floor(short_w / self.Securities[x].Price)) for x in short]
89
90    self.managed_queue.append(RebalanceQueueItem(long_symbol_q + short_symbol_q))
91    
92if len(self.managed_queue) == 0: return
93
94remove_item = None
95
96# Rebalance portfolio
97for item in self.managed_queue:
98    if item.holding_period == self.holding_period:
99        
100        # liquidate
101        for symbol, quantity in item.symbol_q:
102            self.MarketOrder(symbol, -quantity)
103        remove_item = item
104        
105    elif item.holding_period == 0:
106        opened_symbol_q = []
107        
108        for symbol, quantity in item.symbol_q:
109            self.MarketOrder(symbol, quantity)
110            opened_symbol_q.append((symbol, quantity))
111                    
112        # Only opened orders will be closed        
113        item.symbol_q = opened_symbol_q
114        
115    item.holding_period += 1
116    
117# We need to remove closed part of portfolio after loop. Otherwise it will miss one item in self.managed_queue.
118if remove_item:
119    self.managed_queue.remove(remove_item)
120class RebalanceQueueItem():
121def __init__(self, symbol_q):
122# symbol/quantity collections
123self.symbol_q = symbol_q
124self.holding_period = 0
125class SymbolData():
126def __init__(self, symbol, period):
127self.Symbol = symbol
128self.Price = RollingWindow[float](period)
129
130def update(self, value):
131self.Price.Add(value)
132
133def is_ready(self) -> bool:
134return self.Price.IsReady
135
136def performance(self, days_to_count_in) -> float:
137closes = [x for x in self.Price][:days_to_count_in]
138return (closes[0] / closes[-1] - 1)
139# Custom fee model.
140class CustomFeeModel(FeeModel):
141def GetOrderFee(self, parameters):
142fee = parameters.Security.Price * parameters.Order.AbsoluteQuantity * 0.00005
143return OrderFee(CashAmount(fee, "USD"))